def example03(): print("example 3:\n") todays_date = Date(13, 6, 2011) Settings.instance().evaluation_date = todays_date quotes = [0.00445, 0.00949, 0.01234, 0.01776, 0.01935, 0.02084] tenors = [1, 2, 3, 6, 9, 12] calendar = WeekendsOnly() deps = [ DepositRateHelper(q, Period(t, Months), 2, calendar, ModifiedFollowing, False, Actual360()) for q, t in zip(quotes, tenors) ] quotes = [ 0.01652, 0.02018, 0.02303, 0.02525, 0.0285, 0.02931, 0.03017, 0.03092, 0.03160, 0.03231, 0.03367, 0.03419, 0.03411, 0.03411, 0.03412 ] tenors = [2, 3, 4, 5, 6, 7, 8, 9, 10, 11, 12, 15, 20, 25, 30] swaps = [ SwapRateHelper.from_tenor(q, Period(t, Years), calendar, Annual, ModifiedFollowing, Thirty360(), Euribor6M(), SimpleQuote(0)) for q, t in zip(quotes, tenors) ] yield_helpers = deps + swaps isda_yts = PiecewiseYieldCurve(BootstrapTrait.Discount, Interpolator.LogLinear, 0, WeekendsOnly(), yield_helpers, Actual365Fixed()) spreads = [0.007927, 0.012239, 0.016979, 0.019271, 0.020860] tenors = [1, 3, 5, 7, 10] spread_helpers = [SpreadCdsHelper(0.007927, Period(6, Months), 1, WeekendsOnly(), Quarterly, Following, Rule.CDS2015, Actual360(), 0.4, isda_yts, True, True, Date(), Actual360(True), True, PricingModel.ISDA)] + \ [SpreadCdsHelper(s, Period(t, Years), 1, WeekendsOnly(), Quarterly, Following, Rule.CDS2015, Actual360(), 0.4, isda_yts, True, True, Date(), Actual360(True), True, PricingModel.ISDA) for s, t in zip(spreads, tenors)] isda_cts = PiecewiseDefaultCurve(ProbabilityTrait.SurvivalProbability, Interpolator.LogLinear, 0, WeekendsOnly(), spread_helpers, Actual365Fixed()) isda_pricer = IsdaCdsEngine(isda_cts, 0.4, isda_yts) print("Isda yield curve:") for h in yield_helpers: d = h.latest_date t = isda_yts.time_from_reference(d) print(d, t, isda_yts.zero_rate(d, Actual365Fixed()).rate) print() print("Isda credit curve:") for h in spread_helpers: d = h.latest_date t = isda_cts.time_from_reference(d) print(d, t, isda_cts.survival_probability(d))
def test_create_piecewise(self): todays_date, helper = create_helper() for trait in ['HazardRate', 'DefaultDensity', 'SurvivalProbability']: for interpolator in ['Linear', 'LogLinear', 'BackwardFlat']: curve = PiecewiseDefaultCurve( trait, interpolator, reference_date=todays_date, helpers=[helper], daycounter=Actual365Fixed() ) self.assertIsNotNone(curve)
tenors = [Period(i, Months) for i in [3, 6, 12, 24]] maturities = [ calendar.adjust(todays_date + tenors[i], Following) for i in range(4) ] instruments = [] for i in range(4): helper = SpreadCdsHelper( quoted_spreads[i], tenors[i], 0, calendar, Quarterly, Following, TwentiethIMM, Actual365Fixed(), recovery_rate, ts_curve ) instruments.append(helper) # Bootstrap hazard rates hazard_rate_structure = PiecewiseDefaultCurve( 'HazardRate', 'BackwardFlat', todays_date, instruments, Actual365Fixed() ) #vector<pair<Date, Real> > hr_curve_data = hazardRateStructure->nodes(); #cout << "Calibrated hazard rate values: " << endl ; #for (Size i=0; i<hr_curve_data.size(); i++) { # cout << "hazard rate on " << hr_curve_data[i].first << " is " # << hr_curve_data[i].second << endl; #} #cout << endl; target = todays_date + Period(1, Years) print(target) print("Some survival probability values: ")