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helpers.py
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###############################################################################
# Copyright (C) 2018, 2019, 2020 Dominic O'Kane
###############################################################################
from financepy.utils.global_types import SwapTypes
from financepy.utils.date import Date
from financepy.utils.day_count import DayCountTypes
from financepy.utils.frequency import FrequencyTypes
from financepy.products.credit.cds_curve import CDSCurve
from financepy.products.rates.ibor_fra import IborFRA
from financepy.products.rates.ibor_single_curve import IborSingleCurve
from financepy.products.rates.ibor_swap import IborSwap
from financepy.products.rates.ibor_deposit import IborDeposit
from financepy.products.credit.cds import CDS
from os.path import dirname, join
def build_Ibor_Curve(tradeDate):
value_dt = tradeDate.add_days(1)
dcType = DayCountTypes.ACT_360
depos = []
fras = []
swaps = []
dcType = DayCountTypes.THIRTY_E_360_ISDA
fixedFreq = FrequencyTypes.SEMI_ANNUAL
settle_dt = value_dt
maturity_dt = settle_dt.add_months(12)
swap1 = IborSwap(
settle_dt,
maturity_dt,
SwapTypes.PAY,
0.0502,
fixedFreq,
dcType)
swaps.append(swap1)
maturity_dt = settle_dt.add_months(24)
swap2 = IborSwap(
settle_dt,
maturity_dt,
SwapTypes.PAY,
0.0502,
fixedFreq,
dcType)
swaps.append(swap2)
maturity_dt = settle_dt.add_months(36)
swap3 = IborSwap(
settle_dt,
maturity_dt,
SwapTypes.PAY,
0.0501,
fixedFreq,
dcType)
swaps.append(swap3)
maturity_dt = settle_dt.add_months(48)
swap4 = IborSwap(
settle_dt,
maturity_dt,
SwapTypes.PAY,
0.0502,
fixedFreq,
dcType)
swaps.append(swap4)
maturity_dt = settle_dt.add_months(60)
swap5 = IborSwap(
settle_dt,
maturity_dt,
SwapTypes.PAY,
0.0501,
fixedFreq,
dcType)
swaps.append(swap5)
libor_curve = IborSingleCurve(value_dt, depos, fras, swaps)
return libor_curve
def buildIssuerCurve(tradeDate, libor_curve):
value_dt = tradeDate.add_days(1)
cdsMarketContracts = []
cds_cpn = 0.0048375
maturity_dt = Date(29, 6, 2010)
cds = CDS(value_dt, maturity_dt, cds_cpn)
cdsMarketContracts.append(cds)
recovery_rate = 0.40
issuer_curve = CDSCurve(value_dt,
cdsMarketContracts,
libor_curve,
recovery_rate)
return issuer_curve
def buildFlatIssuerCurve(tradeDate, libor_curve, spread, recovery_rate):
value_dt = tradeDate.add_days(1)
cdsMarketContracts = []
maturity_dt = Date(29, 6, 2010)
cds = CDS(value_dt, maturity_dt, spread)
cdsMarketContracts.append(cds)
issuer_curve = CDSCurve(value_dt,
cdsMarketContracts,
libor_curve,
recovery_rate)
return issuer_curve
def buildFullIssuerCurve(value_dt):
dcType = DayCountTypes.ACT_360
depos = []
irBump = 0.0
m = 1.0 # 0.00000000000
spot_days = 0
settle_dt = value_dt.add_days(spot_days)
maturity_dt = settle_dt.add_months(1)
depo1 = IborDeposit(settle_dt, maturity_dt, m * 0.0016, dcType)
maturity_dt = settle_dt.add_months(2)
depo2 = IborDeposit(settle_dt, maturity_dt, m * 0.0020, dcType)
maturity_dt = settle_dt.add_months(3)
depo3 = IborDeposit(settle_dt, maturity_dt, m * 0.0024, dcType)
maturity_dt = settle_dt.add_months(6)
depo4 = IborDeposit(settle_dt, maturity_dt, m * 0.0033, dcType)
maturity_dt = settle_dt.add_months(12)
depo5 = IborDeposit(settle_dt, maturity_dt, m * 0.0056, dcType)
depos.append(depo1)
depos.append(depo2)
depos.append(depo3)
depos.append(depo4)
depos.append(depo5)
fras = []
spot_days = 2
settle_dt = value_dt.add_days(spot_days)
swaps = []
dcType = DayCountTypes.THIRTY_E_360_ISDA
fixedFreq = FrequencyTypes.SEMI_ANNUAL
maturity_dt = settle_dt.add_months(24)
swap1 = IborSwap(
settle_dt,
maturity_dt,
SwapTypes.PAY,
m * 0.0044 + irBump,
fixedFreq,
dcType)
swaps.append(swap1)
maturity_dt = settle_dt.add_months(36)
swap2 = IborSwap(
settle_dt,
maturity_dt,
SwapTypes.PAY,
m * 0.0078 + irBump,
fixedFreq,
dcType)
swaps.append(swap2)
maturity_dt = settle_dt.add_months(48)
swap3 = IborSwap(
settle_dt,
maturity_dt,
SwapTypes.PAY,
m * 0.0119 + irBump,
fixedFreq,
dcType)
swaps.append(swap3)
maturity_dt = settle_dt.add_months(60)
swap4 = IborSwap(
settle_dt,
maturity_dt,
SwapTypes.PAY,
m * 0.0158 + irBump,
fixedFreq,
dcType)
swaps.append(swap4)
maturity_dt = settle_dt.add_months(72)
swap5 = IborSwap(
settle_dt,
maturity_dt,
SwapTypes.PAY,
m * 0.0192 + irBump,
fixedFreq,
dcType)
swaps.append(swap5)
maturity_dt = settle_dt.add_months(84)
swap6 = IborSwap(
settle_dt,
maturity_dt,
SwapTypes.PAY,
m * 0.0219 + irBump,
fixedFreq,
dcType)
swaps.append(swap6)
maturity_dt = settle_dt.add_months(96)
swap7 = IborSwap(
settle_dt,
maturity_dt,
SwapTypes.PAY,
m * 0.0242 + irBump,
fixedFreq,
dcType)
swaps.append(swap7)
maturity_dt = settle_dt.add_months(108)
swap8 = IborSwap(
settle_dt,
maturity_dt,
SwapTypes.PAY,
m * 0.0261 + irBump,
fixedFreq,
dcType)
swaps.append(swap8)
maturity_dt = settle_dt.add_months(120)
swap9 = IborSwap(
settle_dt,
maturity_dt,
SwapTypes.PAY,
m * 0.0276 + irBump,
fixedFreq,
dcType)
swaps.append(swap9)
libor_curve = IborSingleCurve(value_dt, depos, fras, swaps)
cdsMarketContracts = []
cds_cpn = 0.005743
maturity_dt = value_dt.next_cds_date(6)
cds = CDS(value_dt, maturity_dt, cds_cpn)
cdsMarketContracts.append(cds)
cds_cpn = 0.007497
maturity_dt = value_dt.next_cds_date(12)
cds = CDS(value_dt, maturity_dt, cds_cpn)
cdsMarketContracts.append(cds)
cds_cpn = 0.011132
maturity_dt = value_dt.next_cds_date(24)
cds = CDS(value_dt, maturity_dt, cds_cpn)
cdsMarketContracts.append(cds)
cds_cpn = 0.013932
maturity_dt = value_dt.next_cds_date(36)
cds = CDS(value_dt, maturity_dt, cds_cpn)
cdsMarketContracts.append(cds)
cds_cpn = 0.015764
maturity_dt = value_dt.next_cds_date(48)
cds = CDS(value_dt, maturity_dt, cds_cpn)
cdsMarketContracts.append(cds)
cds_cpn = 0.017366
maturity_dt = value_dt.next_cds_date(60)
cds = CDS(value_dt, maturity_dt, cds_cpn)
cdsMarketContracts.append(cds)
cds_cpn = 0.020928
maturity_dt = value_dt.next_cds_date(84)
cds = CDS(value_dt, maturity_dt, cds_cpn)
cdsMarketContracts.append(cds)
cds_cpn = 0.022835
maturity_dt = value_dt.next_cds_date(120)
cds = CDS(value_dt, maturity_dt, cds_cpn)
cdsMarketContracts.append(cds)
recovery_rate = 0.40
issuer_curve = CDSCurve(value_dt,
cdsMarketContracts,
libor_curve,
recovery_rate)
return libor_curve, issuer_curve
def loadHomogeneousSpreadCurves(value_dt,
libor_curve,
cdsSpread3Y,
cdsSpread5Y,
cdsSpread7Y,
cdsSpread10Y,
num_credits):
maturity3Y = value_dt.next_cds_date(36)
maturity5Y = value_dt.next_cds_date(60)
maturity7Y = value_dt.next_cds_date(84)
maturity10Y = value_dt.next_cds_date(120)
recovery_rate = 0.40
cds3Y = CDS(value_dt, maturity3Y, cdsSpread3Y)
cds5Y = CDS(value_dt, maturity5Y, cdsSpread5Y)
cds7Y = CDS(value_dt, maturity7Y, cdsSpread7Y)
cds10Y = CDS(value_dt, maturity10Y, cdsSpread10Y)
contracts = [cds3Y, cds5Y, cds7Y, cds10Y]
issuer_curve = CDSCurve(value_dt,
contracts,
libor_curve,
recovery_rate)
issuer_curves = []
for _ in range(0, num_credits):
issuer_curves.append(issuer_curve)
return issuer_curves
def loadHeterogeneousSpreadCurves(value_dt, libor_curve):
maturity3Y = value_dt.next_cds_date(36)
maturity5Y = value_dt.next_cds_date(60)
maturity7Y = value_dt.next_cds_date(84)
maturity10Y = value_dt.next_cds_date(120)
path = dirname(__file__)
filename = "CDX_NA_IG_S7_SPREADS.csv"
full_filename_path = join(path, "data", filename)
f = open(full_filename_path, 'r')
data = f.readlines()
issuer_curves = []
for row in data[1:]:
splitRow = row.split(",")
spd3Y = float(splitRow[1]) / 10000.0
spd5Y = float(splitRow[2]) / 10000.0
spd7Y = float(splitRow[3]) / 10000.0
spd10Y = float(splitRow[4]) / 10000.0
recovery_rate = float(splitRow[5])
cds3Y = CDS(value_dt, maturity3Y, spd3Y)
cds5Y = CDS(value_dt, maturity5Y, spd5Y)
cds7Y = CDS(value_dt, maturity7Y, spd7Y)
cds10Y = CDS(value_dt, maturity10Y, spd10Y)
cds_contracts = [cds3Y, cds5Y, cds7Y, cds10Y]
issuer_curve = CDSCurve(value_dt,
cds_contracts,
libor_curve,
recovery_rate)
issuer_curves.append(issuer_curve)
return issuer_curves
def loadHomogeneousCDSCurves(value_dt,
libor_curve,
cdsSpread3Y,
cdsSpread5Y,
cdsSpread7Y,
cdsSpread10Y,
num_credits):
maturity3Y = value_dt.next_cds_date(36)
maturity5Y = value_dt.next_cds_date(60)
maturity7Y = value_dt.next_cds_date(84)
maturity10Y = value_dt.next_cds_date(120)
recovery_rate = 0.40
cds3Y = CDS(value_dt, maturity3Y, cdsSpread3Y)
cds5Y = CDS(value_dt, maturity5Y, cdsSpread5Y)
cds7Y = CDS(value_dt, maturity7Y, cdsSpread7Y)
cds10Y = CDS(value_dt, maturity10Y, cdsSpread10Y)
contracts = [cds3Y, cds5Y, cds7Y, cds10Y]
issuer_curve = CDSCurve(value_dt,
contracts,
libor_curve,
recovery_rate)
issuer_curves = []
for _ in range(0, num_credits):
issuer_curves.append(issuer_curve)
return issuer_curves
def buildIborSingleCurve(value_dt, last_tenor='51Y'):
settle_dt = value_dt.add_days(2)
dcType = DayCountTypes.ACT_360
depos = []
fras = []
swaps = []
maturity_dt = settle_dt.add_months(1)
depo1 = IborDeposit(value_dt, maturity_dt, -0.00251, dcType)
depos.append(depo1)
# Series of 1M futures
start_dt = settle_dt.next_imm_date()
end_dt = start_dt.add_months(1)
fra = IborFRA(start_dt, end_dt, -0.0023, dcType)
fras.append(fra)
start_dt = start_dt.add_months(1)
end_dt = start_dt.add_months(1)
fra = IborFRA(start_dt, end_dt, -0.00234, dcType)
fras.append(fra)
start_dt = start_dt.add_months(1)
end_dt = start_dt.add_months(1)
fra = IborFRA(start_dt, end_dt, -0.00225, dcType)
fras.append(fra)
start_dt = start_dt.add_months(1)
end_dt = start_dt.add_months(1)
fra = IborFRA(start_dt, end_dt, -0.00226, dcType)
fras.append(fra)
start_dt = start_dt.add_months(1)
end_dt = start_dt.add_months(1)
fra = IborFRA(start_dt, end_dt, -0.00219, dcType)
fras.append(fra)
start_dt = start_dt.add_months(1)
end_dt = start_dt.add_months(1)
fra = IborFRA(start_dt, end_dt, -0.00213, dcType)
fras.append(fra)
start_dt = start_dt.add_months(1)
end_dt = start_dt.add_months(1)
fra = IborFRA(start_dt, end_dt, -0.00186, dcType)
fras.append(fra)
start_dt = start_dt.add_months(1)
end_dt = start_dt.add_months(1)
fra = IborFRA(start_dt, end_dt, -0.00189, dcType)
fras.append(fra)
start_dt = start_dt.add_months(1)
end_dt = start_dt.add_months(1)
fra = IborFRA(start_dt, end_dt, -0.00175, dcType)
fras.append(fra)
start_dt = start_dt.add_months(1)
end_dt = start_dt.add_months(1)
fra = IborFRA(start_dt, end_dt, -0.00143, dcType)
fras.append(fra)
start_dt = start_dt.add_months(1)
end_dt = start_dt.add_months(1)
fra = IborFRA(start_dt, end_dt, -0.00126, dcType)
fras.append(fra)
start_dt = start_dt.add_months(1)
end_dt = start_dt.add_months(1)
fra = IborFRA(start_dt, end_dt, -0.00126, dcType)
fras.append(fra)
###########################################################################
###########################################################################
###########################################################################
###########################################################################
fixedFreq = FrequencyTypes.ANNUAL
dcType = DayCountTypes.THIRTY_E_360
fixed_leg_type = SwapTypes.PAY
#######################################
maturity_dt = settle_dt.add_months(24)
swap_rate = -0.001506
swap1 = IborSwap(settle_dt, maturity_dt, fixed_leg_type,
swap_rate, fixedFreq, dcType)
swaps.append(swap1)
#######################################
maturity_dt = settle_dt.add_months(36)
swap_rate = -0.000185
swap2 = IborSwap(settle_dt, maturity_dt, fixed_leg_type,
swap_rate, fixedFreq, dcType)
swaps.append(swap2)
#######################################
maturity_dt = settle_dt.add_months(48)
swap_rate = 0.001358
swap3 = IborSwap(settle_dt, maturity_dt, fixed_leg_type,
swap_rate, fixedFreq, dcType)
swaps.append(swap3)
#######################################
maturity_dt = settle_dt.add_months(60)
swap_rate = 0.0027652
swap4 = IborSwap(settle_dt, maturity_dt, fixed_leg_type,
swap_rate, fixedFreq, dcType)
swaps.append(swap4)
#######################################
maturity_dt = settle_dt.add_months(72)
swap_rate = 0.0041539
swap5 = IborSwap(settle_dt, maturity_dt, fixed_leg_type,
swap_rate, fixedFreq, dcType)
swaps.append(swap5)
#######################################
maturity_dt = settle_dt.add_months(84)
swap_rate = 0.0054604
swap6 = IborSwap(settle_dt, maturity_dt, fixed_leg_type,
swap_rate, fixedFreq, dcType)
swaps.append(swap6)
#######################################
maturity_dt = settle_dt.add_months(96)
swap_rate = 0.006674
swap7 = IborSwap(settle_dt, maturity_dt, fixed_leg_type,
swap_rate, fixedFreq, dcType)
swaps.append(swap7)
#######################################
maturity_dt = settle_dt.add_months(108)
swap_rate = 0.007826
swap8 = IborSwap(settle_dt, maturity_dt, fixed_leg_type,
swap_rate, fixedFreq, dcType)
swaps.append(swap8)
#######################################
maturity_dt = settle_dt.add_months(120)
swap_rate = 0.008821
swap9 = IborSwap(settle_dt, maturity_dt, fixed_leg_type,
swap_rate, fixedFreq, dcType)
swaps.append(swap9)
#######################################
maturity_dt = settle_dt.add_months(132)
swap_rate = 0.0097379
swap10 = IborSwap(settle_dt, maturity_dt, fixed_leg_type,
swap_rate, fixedFreq, dcType)
swaps.append(swap10)
#######################################
maturity_dt = settle_dt.add_months(144)
swap_rate = 0.0105406
swap11 = IborSwap(settle_dt, maturity_dt, fixed_leg_type,
swap_rate, fixedFreq, dcType)
swaps.append(swap11)
#######################################
maturity_dt = settle_dt.add_months(180)
swap_rate = 0.0123927
swap12 = IborSwap(settle_dt, maturity_dt, fixed_leg_type,
swap_rate, fixedFreq, dcType)
swaps.append(swap12)
#######################################
maturity_dt = settle_dt.add_months(240)
swap_rate = 0.0139882
swap13 = IborSwap(settle_dt, maturity_dt, fixed_leg_type,
swap_rate, fixedFreq, dcType)
swaps.append(swap13)
#######################################
maturity_dt = settle_dt.add_months(300)
swap_rate = 0.0144972
swap14 = IborSwap(settle_dt, maturity_dt, fixed_leg_type,
swap_rate, fixedFreq, dcType)
swaps.append(swap14)
#######################################
maturity_dt = settle_dt.add_months(360)
swap_rate = 0.0146081
swap15 = IborSwap(settle_dt, maturity_dt, fixed_leg_type,
swap_rate, fixedFreq, dcType)
swaps.append(swap15)
#######################################
maturity_dt = settle_dt.add_months(420)
swap_rate = 0.01461897
swap16 = IborSwap(settle_dt, maturity_dt, fixed_leg_type,
swap_rate, fixedFreq, dcType)
swaps.append(swap16)
#######################################
maturity_dt = settle_dt.add_months(480)
swap_rate = 0.014567455
swap17 = IborSwap(settle_dt, maturity_dt, fixed_leg_type,
swap_rate, fixedFreq, dcType)
swaps.append(swap17)
#######################################
maturity_dt = settle_dt.add_months(540)
swap_rate = 0.0140826
swap18 = IborSwap(settle_dt, maturity_dt, fixed_leg_type,
swap_rate, fixedFreq, dcType)
swaps.append(swap18)
#######################################
maturity_dt = settle_dt.add_months(600)
swap_rate = 0.01436822
swap19 = IborSwap(settle_dt, maturity_dt, fixed_leg_type,
swap_rate, fixedFreq, dcType)
swaps.append(swap19)
########################################
last_maturity_date = settle_dt.add_tenor(last_tenor)
swaps_to_use = [s for s in swaps if s.fixed_leg.maturity_dt <= last_maturity_date]
libor_curve = IborSingleCurve(value_dt, depos, fras, swaps_to_use)
return libor_curve