def test_basisswap_pv_zero_if_onecurve_termstructure():
notl = 1e8
dt_start = dt_val
leg6m = IborLeg.from_tenor(dt_start, length, frequency=6, notional=notl)
leg3m = IborLeg.from_tenor(dt_start, length, frequency=3, notional=-notl)
basis_swap = Swap(leg3m, leg6m)
mkt_1crv = RatesTermStructure(dt_val, {curr: {'discount': crv_disc}})
pv_6m_1crv = present_value(leg6m, mkt_1crv, curr)
pv_3m_1crv = present_value(leg3m, mkt_1crv, curr)
pv_1crv = present_value(basis_swap, mkt_1crv, curr)
assert np.isclose(pv_6m_1crv, notl)
assert np.isclose(pv_3m_1crv, -notl)
assert np.isclose(pv_1crv, 0.0)
spread = 0.005 # 5 basis point spread
crv_6m = DiscountCurveWithNodes(dt_val,
node_dates,
node_rates + spread,
interpolator=interpolator,
extrapolate=('clamped', 'natural'))
mkt_2crv = RatesTermStructure(dt_val,
{curr: {
'discount': crv_disc,
6: crv_6m
}})
pv_2crv = present_value(basis_swap, mkt_2crv, curr)
assert not np.isclose(pv_2crv, 0.0)
def test_present_value_vanilla_ibor_leg_at_fixing_date_equals_notional():
"""Confirm spot starting Iborleg with Notional Exchange is worth par
This is a canonical result of funding at ibor.
Though there are two curves, both discount and ibor curves are equal.
"""
# Constant Curves
zero_spread = 0.0
crv_ibor_no_spread = ConstantDiscountRateCurve(dt_valuation=dt_val,
zero_rate=rate_discount +
zero_spread,
daycount_conv='30360',
currency=curr)
curves = {curr: {'discount': crv_discount, frqncy: crv_ibor_no_spread}}
two_constant_curves = RatesTermStructure.from_curve_map(dt_val, curves)
spot_starting = IborLeg.from_tenor(dt_settlement=dt_val,
tenor=length,
frequency=frqncy,
rate=np.nan,
notional=-notional,
fixing_lag=0)
pv_flt = present_value(spot_starting, two_constant_curves, curr)
assert np.isclose(pv_flt, -notional)
# Nodal Curves
assert np.isclose(present_value(spot_starting, nodal_rates_market, curr),
-notional)
def test_present_value_fixed_leg_at_par_equals_ibor_pv():
swap_rate = par_rate(swap, simple_rates_market)
df_fixed_at_market = fixed_leg.frame.copy()
df_fixed_at_market['rate'] = swap_rate
fixed_at_market = FixedLeg(df_fixed_at_market)
pv_fix_at_market = present_value(fixed_at_market, simple_rates_market, curr)
pv_flt = present_value(float_leg, simple_rates_market, curr)
assert np.isclose(pv_fix_at_market, -pv_flt)
def present_value(portfolio, market, reporting_ccy):
"""Present Value of Trade and RatesTermStructure"""
pv = 0.0
for t in portfolio.trades:
pv += present_value(t, market, reporting_ccy)
for p in portfolio.subportfolios:
pv += present_value(p, market, reporting_ccy)
return pv
def test_present_value_fixed_leg_with_rates_equal_to_forwards_is_also_par():
forwards = ibor_rate(float_leg, simple_rates_market)
df_fixed_at_forwards = fixed_leg.frame.copy()
unfixed = float_leg.frame.fixing > dt_val
df_fixed_at_forwards.loc[unfixed, 'rate'] = forwards.loc[unfixed]
fixed_at_forwards = FixedLeg(df_fixed_at_forwards)
pv_fixed_at_forward = present_value(fixed_at_forwards, simple_rates_market, curr)
pv_flt = present_value(float_leg, simple_rates_market, curr)
assert np.isclose(pv_fixed_at_forward, -pv_flt)
def test_present_value_fixed_leg_at_par_equals_ibor_pv():
swap_rate = par_rate(swap, simple_rates_market)
df_fixed_at_market = fixed_leg.frame.copy()
df_fixed_at_market['rate'] = swap_rate
fixed_at_market = FixedLeg(df_fixed_at_market)
pv_fix_at_market = present_value(fixed_at_market, simple_rates_market,
curr)
pv_flt = present_value(float_leg, simple_rates_market, curr)
assert np.isclose(pv_fix_at_market, -pv_flt)
def test_present_value_fixed_leg_with_rates_equal_to_forwards_is_also_par():
forwards = ibor_rate(float_leg, simple_rates_market)
df_fixed_at_forwards = fixed_leg.frame.copy()
unfixed = float_leg.frame.fixing > dt_val
df_fixed_at_forwards.loc[unfixed, 'rate'] = forwards.loc[unfixed]
fixed_at_forwards = FixedLeg(df_fixed_at_forwards)
pv_fixed_at_forward = present_value(fixed_at_forwards, simple_rates_market,
curr)
pv_flt = present_value(float_leg, simple_rates_market, curr)
assert np.isclose(pv_fixed_at_forward, -pv_flt)
def test_present_value_dispatch_catches_base_classes():
"""Test behavior of multipledispatched present_value."""
with pytest.raises(NotImplementedError):
pv = present_value(Asset(), Market(dt_val))
with pytest.raises(NotImplementedError):
pv = present_value(Asset(), simple_rates_market)
with pytest.raises(NotImplementedError):
pv = present_value(swap, Market(dt_val))
assert False
def test_present_value_dispatch_catches_base_classes():
"""Test behavior of multipledispatched present_value."""
with pytest.raises(NotImplementedError):
pv = present_value(Asset(), Market(dt_val))
with pytest.raises(NotImplementedError):
pv = present_value(Asset(), simple_rates_market)
with pytest.raises(NotImplementedError):
pv = present_value(swap, Market(dt_val))
assert False
def test_present_value_of_swap_after_expiry():
dt_settle = dt_val - pd.Timedelta(days=1000)
fixed_leg = FixedLeg.from_tenor(dt_settlement=dt_settle, tenor=length,
frequency=frqncy, rate=fixed_rate,
notional=notional)
float_leg = IborLeg.from_tenor(dt_settlement=dt_settle, tenor=length,
frequency=frqncy, rate=fixed_rate,
notional=-notional, fixing_lag=0)
pv_fix = present_value(fixed_leg, simple_rates_market, curr)
assert np.isclose(pv_fix, 0.0)
pv_flt = present_value(float_leg, simple_rates_market, curr)
assert np.isclose(pv_flt, 0.0)
def test_present_value_of_swap_after_expiry():
dt_settle = dt_val - pd.Timedelta(days=1000)
fixed_leg = FixedLeg.from_tenor(dt_settlement=dt_settle,
tenor=length,
frequency=frqncy,
rate=fixed_rate,
notional=notional)
float_leg = IborLeg.from_tenor(dt_settlement=dt_settle,
tenor=length,
frequency=frqncy,
rate=fixed_rate,
notional=-notional,
fixing_lag=0)
pv_fix = present_value(fixed_leg, simple_rates_market, curr)
assert np.isclose(pv_fix, 0.0)
pv_flt = present_value(float_leg, simple_rates_market, curr)
assert np.isclose(pv_flt, 0.0)
def test_basisswap_pv_zero_if_onecurve_termstructure():
notl = 1e8
dt_start = dt_val
leg6m = IborLeg.from_tenor(dt_start, length, frequency=6, notional=notl)
leg3m = IborLeg.from_tenor(dt_start, length, frequency=3, notional=-notl)
basis_swap = Swap(leg3m, leg6m)
mkt_1crv = RatesTermStructure(dt_val, {curr: {'discount': crv_disc}})
pv_6m_1crv = present_value(leg6m, mkt_1crv, curr)
pv_3m_1crv = present_value(leg3m, mkt_1crv, curr)
pv_1crv = present_value(basis_swap, mkt_1crv, curr)
assert np.isclose(pv_6m_1crv, notl)
assert np.isclose(pv_3m_1crv, -notl)
assert np.isclose(pv_1crv, 0.0)
spread = 0.005 # 5 basis point spread
crv_6m = DiscountCurveWithNodes(dt_val, node_dates, node_rates + spread,
interpolator=interpolator,
extrapolate=('clamped', 'natural'))
mkt_2crv = RatesTermStructure(dt_val, {curr: {'discount': crv_disc,
6: crv_6m}})
pv_2crv = present_value(basis_swap, mkt_2crv, curr)
assert not np.isclose(pv_2crv, 0.0)
def test_present_value_vanilla_ibor_leg_at_fixing_date_equals_notional():
"""Confirm spot starting Iborleg with Notional Exchange is worth par
This is a canonical result of funding at ibor.
Though there are two curves, both discount and ibor curves are equal.
"""
# Constant Curves
zero_spread = 0.0
crv_ibor_no_spread = ConstantDiscountRateCurve(
dt_valuation=dt_val, zero_rate=rate_discount + zero_spread,
daycount_conv='30360', currency=curr)
curves = {curr: {'discount': crv_discount, frqncy: crv_ibor_no_spread}}
two_constant_curves = RatesTermStructure.from_curve_map(dt_val, curves)
spot_starting = IborLeg.from_tenor(dt_settlement=dt_val, tenor=length,
frequency=frqncy, rate=np.nan,
notional=-notional, fixing_lag=0)
pv_flt = present_value(spot_starting, two_constant_curves, curr)
assert np.isclose(pv_flt, -notional)
# Nodal Curves
assert np.isclose(present_value(spot_starting,nodal_rates_market, curr),
-notional)
def test_present_value_swap_equals_sum_of_legs():
"""Test dispatch works, and pv is self-consistent"""
pv_fix = present_value(fixed_leg, simple_rates_market, curr)
pv_flt = present_value(float_leg, simple_rates_market, curr)
pv_swap = present_value(swap, simple_rates_market, curr)
assert np.isclose(pv_swap, pv_fix + pv_flt)
def present_value(trade, market, reporting_ccy):
"""Present Value of Trade and RatesTermStructure"""
pv = present_value(trade.contract, market, reporting_ccy)
if trade.settlement is not None:
pv += present_value(trade.settlement, market, reporting_ccy)
return pv
def test_present_value_swap_equals_sum_of_legs():
"""Test dispatch works, and pv is self-consistent"""
pv_fix = present_value(fixed_leg, simple_rates_market, curr)
pv_flt = present_value(float_leg, simple_rates_market, curr)
pv_swap = present_value(swap, simple_rates_market, curr)
assert np.isclose(pv_swap, pv_fix + pv_flt)