def zero_curve(ts, dtObs):
dtMax = ts.max_date
calendar = TARGET()
days = range(10, 365 * 20, 30)
dtMat = [min(dtMax, calendar.advance(Date.from_datetime(dtObs), d, Days))
for d in days]
# largest dtMat < dtMax, yet QL run time error
df = np.array([ts.discount(dt) for dt in dtMat])
dtMat = [pydate_from_qldate(dt) for dt in dtMat]
dtToday = dtObs.date()
dt = np.array([(d - dtToday).days / 365.0 for d in dtMat])
zc = -np.log(df) / dt
return (dtMat, zc)
def zero_curve(ts, dtObs):
dtMax = ts.max_date
calendar = TARGET()
days = range(10, 365 * 20, 30)
dtMat = [
min(dtMax, calendar.advance(Date.from_datetime(dtObs), d, Days))
for d in days
]
# largest dtMat < dtMax, yet QL run time error
df = np.array([ts.discount(dt) for dt in dtMat])
dtMat = [pydate_from_qldate(dt) for dt in dtMat]
dtToday = dtObs.date()
dt = np.array([(d - dtToday).days / 365.0 for d in dtMat])
zc = -np.log(df) / dt
return (dtMat, zc)
def _get_option_npv(self):
""" Suboptimal getter for the npv.
FIXME: We currently have to recreate most of the objects because we do not
expose enough of the QuantLib api.
"""
# convert datetime object to QlDate
maturity = QlDate.from_datetime(self.maturity)
underlyingH = SimpleQuote(self.underlying)
# bootstrap the yield/dividend/vol curves
flat_term_structure = FlatForward(
reference_date = settlement_date,
forward = self.risk_free_rate,
daycounter = self.daycounter
)
flat_dividend_ts = FlatForward(
reference_date = settlement_date,
forward = self.dividend_yield,
daycounter = self.daycounter
)
flat_vol_ts = BlackConstantVol(
settlement_date, calendar, self.volatility, self.daycounter
)
black_scholes_merton_process = BlackScholesMertonProcess(
underlyingH, flat_dividend_ts, flat_term_structure,flat_vol_ts
)
payoff = PlainVanillaPayoff(self.option_type, self.strike)
european_exercise = EuropeanExercise(maturity)
european_option = VanillaOption(payoff, european_exercise)
analytic_european_engine = AnalyticEuropeanEngine(black_scholes_merton_process)
european_option.set_pricing_engine(analytic_european_engine)
return european_option.net_present_value
def get_term_structure(df_libor, dtObs):
settings = Settings()
# Market information
calendar = TARGET()
# must be a business day
eval_date = calendar.adjust(Date.from_datetime(dtObs))
settings.evaluation_date = eval_date
settlement_days = 2
settlement_date = calendar.advance(eval_date, settlement_days, Days)
# must be a business day
settlement_date = calendar.adjust(settlement_date)
depositData = [[1, Months, 'Libor1M'], [3, Months, 'Libor3M'],
[6, Months, 'Libor6M']]
swapData = [[1, Years, 'Swap1Y'], [2, Years,
'Swap2Y'], [3, Years, 'Swap3Y'],
[4, Years, 'Swap4Y'], [5, Years, 'Swap5Y'],
[7, Years, 'Swap7Y'], [10, Years, 'Swap10Y'],
[30, Years, 'Swap30Y']]
rate_helpers = []
end_of_month = True
for m, period, label in depositData:
tenor = Period(m, Months)
rate = df_libor.get_value(dtObs, label)
helper = DepositRateHelper(SimpleQuote(rate / 100.0), tenor,
settlement_days,
calendar, ModifiedFollowing, end_of_month,
Actual360())
rate_helpers.append(helper)
liborIndex = Libor('USD Libor', Period(3, Months), settlement_days,
USDCurrency(), calendar, Actual360())
spread = SimpleQuote(0)
fwdStart = Period(0, Days)
for m, period, label in swapData:
rate = df_libor.get_value(dtObs, label)
helper = SwapRateHelper.from_tenor(SimpleQuote(rate / 100.0),
Period(m, Years), calendar,
Semiannual, ModifiedFollowing,
Thirty360(), liborIndex, spread,
fwdStart)
rate_helpers.append(helper)
ts_day_counter = ActualActual(ISDA)
tolerance = 1.0e-15
ts = PiecewiseYieldCurve.from_reference_date(BootstrapTrait.Discount,
Interpolator.LogLinear,
settlement_date, rate_helpers,
ts_day_counter, tolerance)
ts.extrapolation = True
return ts
def get_term_structure(df_libor, dtObs):
settings = Settings()
# Market information
calendar = TARGET()
# must be a business day
eval_date = calendar.adjust(Date.from_datetime(dtObs))
settings.evaluation_date = eval_date
settlement_days = 2
settlement_date = calendar.advance(eval_date, settlement_days, Days)
# must be a business day
settlement_date = calendar.adjust(settlement_date)
depositData = [[1, Months, 'Libor1M'],
[3, Months, 'Libor3M'],
[6, Months, 'Libor6M']]
swapData = [[1, Years, 'Swap1Y'],
[2, Years, 'Swap2Y'],
[3, Years, 'Swap3Y'],
[4, Years, 'Swap4Y'],
[5, Years, 'Swap5Y'],
[7, Years, 'Swap7Y'],
[10, Years, 'Swap10Y'],
[30, Years, 'Swap30Y']]
rate_helpers = []
end_of_month = True
for m, period, label in depositData:
tenor = Period(m, Months)
rate = df_libor.get_value(dtObs, label)
helper = DepositRateHelper(SimpleQuote(rate / 100.0), tenor,
settlement_days,
calendar, ModifiedFollowing,
end_of_month,
Actual360())
rate_helpers.append(helper)
liborIndex = Libor('USD Libor', Period(3, Months),
settlement_days,
USDCurrency(), calendar,
Actual360())
spread = SimpleQuote(0)
fwdStart = Period(0, Days)
for m, period, label in swapData:
rate = df_libor.get_value(dtObs, label)
helper = SwapRateHelper.from_tenor(
SimpleQuote(rate / 100.0),
Period(m, Years),
calendar, Semiannual,
ModifiedFollowing, Thirty360(),
liborIndex, spread, fwdStart)
rate_helpers.append(helper)
ts_day_counter = ActualActual(ISDA)
tolerance = 1.0e-15
ts = PiecewiseYieldCurve.from_reference_date(BootstrapTrait.Discount,
Interpolator.LogLinear,
settlement_date,
rate_helpers,
ts_day_counter,
tolerance)
ts.extrapolation = True
return ts