def test_piecewise_methods(self): for trait in ProbabilityTrait: for interpolator in Interpolator: curve = PiecewiseDefaultCurve.from_reference_date( trait, interpolator, reference_date=self.todays_date, helpers=[self.helper], daycounter=Actual365Fixed()) if interpolator == Interpolator.LogLinear and \ trait in [ProbabilityTrait.HazardRate, ProbabilityTrait.DefaultDensity]: with self.assertRaisesRegexp( RuntimeError, 'LogInterpolation primitive not implemented'): curve.survival_probability(self.d) else: self.assertEqual( curve.survival_probability(self.d), curve.survival_probability( curve.time_from_reference(self.d))) self.assertEqual( curve.hazard_rate(self.d), curve.hazard_rate(curve.time_from_reference(self.d)))
def test_create_piecewise(self): for trait in ProbabilityTrait: for interpolator in Interpolator: curve = PiecewiseDefaultCurve.from_reference_date( trait, interpolator, reference_date=self.todays_date, helpers=[self.helper], daycounter=Actual365Fixed()) self.assertIsNotNone(curve)
def test_create_piecewise(self): for trait in ProbabilityTrait: for interpolator in Interpolator: curve = PiecewiseDefaultCurve.from_reference_date( trait, interpolator, reference_date=self.todays_date, helpers=[self.helper], daycounter=Actual365Fixed() ) self.assertIsNotNone(curve)
def test_piecewise_methods(self): for trait in ProbabilityTrait: for interpolator in Interpolator: curve = PiecewiseDefaultCurve.from_reference_date( trait, interpolator, reference_date=self.todays_date, helpers=[self.helper], daycounter=Actual365Fixed() ) if interpolator == Interpolator.LogLinear and \ trait in [ProbabilityTrait.HazardRate, ProbabilityTrait.DefaultDensity]: with self.assertRaisesRegexp(RuntimeError, 'LogInterpolation primitive not implemented'): curve.survival_probability(self.d) else: self.assertEqual(curve.survival_probability(self.d), curve.survival_probability(curve.time_from_reference(self.d))) self.assertEqual(curve.hazard_rate(self.d), curve.hazard_rate(curve.time_from_reference(self.d)))
tenors[i], 0, calendar, Quarterly, Following, TwentiethIMM, Actual365Fixed(), recovery_rate, ts_curve, ) instruments.append(helper) # Bootstrap hazard rates hazard_rate_structure = PiecewiseDefaultCurve.from_reference_date( ProbabilityTrait.HazardRate, Interpolator.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: ") print("1Y survival probability: {:%}".format(hazard_rate_structure.survival_probability(target)))
def example01(): #********************* #*** MARKET DATA *** #********************* calendar = TARGET() todays_date = Date(15, May, 2007) # must be a business day todays_date = calendar.adjust(todays_date) Settings.instance().evaluation_date = todays_date # dummy curve ts_curve = FlatForward( reference_date=todays_date, forward=0.01, daycounter=Actual365Fixed() ) # In Lehmans Brothers "guide to exotic credit derivatives" # p. 32 there's a simple case, zero flat curve with a flat CDS # curve with constant market spreads of 150 bp and RR = 50% # corresponds to a flat 3% hazard rate. The implied 1-year # survival probability is 97.04% and the 2-years is 94.18% # market recovery_rate = 0.5 quoted_spreads = [0.0150, 0.0150, 0.0150, 0.0150 ] 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, Rule.TwentiethIMM, Actual365Fixed(), recovery_rate, ts_curve ) instruments.append(helper) # Bootstrap hazard rates hazard_rate_structure = PiecewiseDefaultCurve.from_reference_date( ProbabilityTrait.HazardRate, Interpolator.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: ") print("1Y survival probability: {:%}".format( hazard_rate_structure.survival_probability(target) )) print(" expected: {:%}".format(0.9704)) print("2Y survival probability: {:%}".format( hazard_rate_structure.survival_probability(todays_date + Period(2, Years)) )) print(" expected: {:%}".format(0.9418)) # reprice instruments nominal = 1000000.0; #Handle<DefaultProbabilityTermStructure> probability(hazardRateStructure); engine = MidPointCdsEngine(hazard_rate_structure, recovery_rate, ts_curve) cds_schedule = Schedule.from_rule( todays_date, maturities[0], Period(Quarterly), calendar, termination_date_convention=Unadjusted, date_generation_rule=Rule.TwentiethIMM ) cds_3m = CreditDefaultSwap( Side.Seller, nominal, quoted_spreads[0], cds_schedule, Following, Actual365Fixed() ) cds_schedule = Schedule.from_rule( todays_date, maturities[1], Period(Quarterly), calendar, termination_date_convention=Unadjusted, date_generation_rule=Rule.TwentiethIMM ) cds_6m = CreditDefaultSwap( Side.Seller, nominal, quoted_spreads[1], cds_schedule, Following, Actual365Fixed() ) cds_schedule = Schedule.from_rule( todays_date, maturities[2], Period(Quarterly), calendar, termination_date_convention=Unadjusted, date_generation_rule=Rule.TwentiethIMM ) cds_1y = CreditDefaultSwap( Side.Seller, nominal, quoted_spreads[2], cds_schedule, Following, Actual365Fixed() ) cds_schedule = Schedule.from_rule( todays_date, maturities[3], Period(Quarterly), calendar, termination_date_convention=Unadjusted, date_generation_rule=Rule.TwentiethIMM ) cds_2y = CreditDefaultSwap( Side.Seller, nominal, quoted_spreads[3], cds_schedule, Following, Actual365Fixed() ) cds_3m.set_pricing_engine(engine); cds_6m.set_pricing_engine(engine); cds_1y.set_pricing_engine(engine); cds_2y.set_pricing_engine(engine); print("Repricing of quoted CDSs employed for calibration: ") print("3M fair spread: {}".format(cds_3m.fair_spread)) print(" NPV: ", cds_3m.net_present_value) print(" default leg: ", cds_3m.default_leg_npv) print(" coupon leg: ", cds_3m.coupon_leg_npv) print("6M fair spread: {}".format(cds_6m.fair_spread)) print(" NPV: ", cds_6m.net_present_value) print(" default leg: ", cds_6m.default_leg_npv) print(" coupon leg: ", cds_6m.coupon_leg_npv) print("1Y fair spread: {}".format(cds_1y.fair_spread)) print(" NPV: ", cds_1y.net_present_value) print(" default leg: ", cds_1y.default_leg_npv) print(" coupon leg: ", cds_1y.coupon_leg_npv) print("2Y fair spread: {}".format(cds_2y.fair_spread)) print(" NPV: ", cds_2y.net_present_value) print(" default leg: ", cds_2y.default_leg_npv) print(" coupon leg: ", cds_2y.coupon_leg_npv) print()
quoted_spreads = [0.0150, 0.0150, 0.0150, 0.0150] 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.from_reference_date( ProbabilityTrait.HazardRate, Interpolator.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: ") print("1Y survival probability: {:%}".format(