def zbt_libor_yield(instruments,
yields,
pricing_date,
basis='Actual/Actual (Bond)',
compounding_freq='Continuous',
maturity_dates=None):
"""
Bootstrap a zero-coupon curve from libor rates and swap yields
Args:
instruments: list of instruments, of the form Libor?M for Libor rates
and Swap?Y for swap rates
yields: market rates
pricing_date: the date where market data is observed. Settlement
is by default 2 days after pricing_date
Optional:
compounding_frequency: ... of zero-coupon rates. By default:
'Continuous'
Returns:
zero_rate: zero-coupon rate
maturity_date: ... of corresponding rate
"""
calendar = TARGET()
settings = Settings()
# must be a business day
eval_date = calendar.adjust(pydate_to_qldate(pricing_date))
settings.evaluation_date = eval_date
rates = dict(zip(instruments, yields))
ts = make_term_structure(rates, pricing_date)
cnt = DayCounter.from_name(basis)
if maturity_dates is None:
# schedule of maturity dates from settlement date to last date on
# the term structure
s = Schedule(effective_date=ts.reference_date,
termination_date=ts.max_date,
tenor=Period(1, Months),
calendar=TARGET())
maturity_dates = [qldate_to_pydate(dt) for dt in s.dates()]
cp_freq = Compounding[compounding_freq]
zc = [
ts.zero_rate(pydate_to_qldate(dt),
day_counter=cnt,
compounding=cp_freq).rate for dt in maturity_dates
]
return (maturity_dates, zc)
class ScheduleMethodTestCase(unittest.TestCase):
def setUp(self):
self.from_date = Date(1, Jan, 2011)
self.to_date = Date(31, Dec, 2011)
self.tenor = Period(4, Weeks)
self.calendar = UnitedKingdom()
self.convention = Following
self.termination_convention = Preceding
self.rule = Twentieth
self.schedule = Schedule(self.from_date, self.to_date, self.tenor,
self.calendar, self.convention,
self.termination_convention, self.rule)
def test_size(self):
self.assertEquals(15, self.schedule.size())
def test_dates(self):
expected_dates_length = self.schedule.size()
dates = list(self.schedule.dates())
self.assertEquals(expected_dates_length, len(dates))
def test_at(self):
expected_date = self.calendar.adjust(self.from_date, Following)
self.assertTrue(expected_date == self.schedule.at(0))
next_date = self.calendar.adjust(self.from_date + Period(4, Weeks),
Following)
expected_date = Date(20, next_date.month, next_date.year)
self.assertTrue(expected_date == self.schedule.at(1))
def test_previous_next_reference_date(self):
from_date = Date(3, Sep, 2011)
to_date = Date(15, Dec, 2011)
tenor = Period(1, Months)
calendar = UnitedKingdom()
convention = Following
termination_convention = Following
rule = Forward
fwd_schedule = Schedule(from_date, to_date, tenor, calendar,
convention, termination_convention, rule)
expected_date = Date(5, Sep, 2011)
self.assert_(expected_date == fwd_schedule.next_date(from_date))
rule = Backward
bwd_schedule = Schedule(from_date, to_date, tenor, calendar,
convention, termination_convention, rule)
expected_date = Date(15, Nov, 2011)
self.assert_(expected_date == bwd_schedule.previous_date(to_date))
def zbt_libor_yield(instruments, yields, pricing_date,
basis='Actual/Actual (Bond)',
compounding_freq='Continuous',
maturity_dates=None):
"""
Bootstrap a zero-coupon curve from libor rates and swap yields
Args:
insruments: list of instruments, of the form Libor?M for Libor rates
and Swap?Y for swap rates
yields: market rates
pricing_date: the date where market data is observed. Settlement
is by default 2 days after pricing_date
Optional:
compounding_frequency: ... of zero-coupon rates. By default:
'Continuous'
Returns:
zero_rate: zero-coupon rate
maturity_date: ... of corresponding rate
"""
calendar = TARGET()
settings = Settings()
# must be a business day
eval_date = calendar.adjust(pydate_to_qldate(pricing_date))
settings.evaluation_date = eval_date
rates = dict(zip(instruments, yields))
ts = make_term_structure(rates, pricing_date)
cnt = DayCounter.from_name(basis)
if maturity_dates is None:
# schedule of maturity dates from settlement date to last date on
# the term structure
s = Schedule(effective_date=ts.reference_date,
termination_date=ts.max_date,
tenor=Period(1, Months),
calendar=TARGET())
maturity_dates = [qldate_to_pydate(dt) for dt in s.dates()]
cp_freq = compounding_from_name(compounding_freq)
zc = [ts.zero_rate(date=pydate_to_qldate(dt),
day_counter=cnt,
compounding=cp_freq).rate for dt in maturity_dates]
return (maturity_dates, zc)
def test_create_schedule(self):
from_date = Date(1, Jan, 2011)
to_date = Date(31, Dec, 2011)
tenor = Period(3, Weeks)
calendar = UnitedKingdom()
convention = Following
termination_convention = Following
rule = Forward
schedule = Schedule(from_date, to_date, tenor, calendar, convention, termination_convention, rule)
for date in schedule.dates():
print date
self.assert_(schedule is not None)
# Constructor using the defaults for the different conventions
schedule = Schedule(from_date, to_date, tenor, calendar)
self.assert_(schedule is not None)
def test_create_schedule(self):
from_date = Date(1, Jan, 2011)
to_date = Date(31, Dec, 2011)
tenor = Period(3, Weeks)
calendar = UnitedKingdom()
convention = Following
termination_convention = Following
rule = Forward
schedule = Schedule(from_date, to_date, tenor, calendar, convention,
termination_convention, rule)
self.assertIsNotNone(schedule)
for date in schedule.dates():
pass
# Constructor using the defaults for the different conventions
schedule = Schedule(from_date, to_date, tenor, calendar)
self.assertIsNotNone(schedule)
class ScheduleMethodTestCase(unittest.TestCase):
def setUp(self):
self.from_date = Date(1, Jan, 2011)
self.to_date = Date(31, Dec, 2011)
self.tenor = Period(4, Weeks)
self.calendar = UnitedKingdom()
self.convention = Following
self.termination_convention = Preceding
self.rule = Twentieth
self.schedule = Schedule(
self.from_date, self.to_date, self.tenor, self.calendar,
self.convention, self.termination_convention, self.rule
)
def test_size(self):
self.assertEquals(15, self.schedule.size())
def test_dates(self):
expected_dates_length = self.schedule.size()
dates = list(self.schedule.dates())
self.assertEquals(expected_dates_length, len(dates))
def test_iter_dates(self):
expected_dates_length = self.schedule.size()
dates= [date for date in self.schedule]
self.assertEqual(expected_dates_length, len(dates))
def test_at(self):
expected_date = self.calendar.adjust(self.from_date, Following)
self.assertTrue(expected_date == self.schedule.at(0))
next_date = self.calendar.adjust(
self.from_date + Period(4, Weeks), Following
)
expected_date = Date(20, next_date.month, next_date.year)
self.assertTrue(expected_date == self.schedule.at(1))
def test_previous_next_reference_date(self):
from_date = Date(3, Sep, 2011)
to_date = Date(15, Dec, 2011)
tenor = Period(1, Months)
calendar = UnitedKingdom()
convention = Following
termination_convention = Following
rule = Forward
fwd_schedule = Schedule(from_date, to_date, tenor, calendar, convention,
termination_convention, rule)
expected_date = Date(5, Sep, 2011)
self.assert_(expected_date == fwd_schedule.next_date(from_date))
rule = Backward
bwd_schedule = Schedule(from_date, to_date, tenor, calendar, convention,
termination_convention, rule)
expected_date = Date(15, Nov, 2011)
self.assert_(expected_date == bwd_schedule.previous_date(to_date))
