forked from domokane/FinancePy
-
Notifications
You must be signed in to change notification settings - Fork 0
/
Copy pathtest_FinIborSwaption.py
221 lines (185 loc) · 7.82 KB
/
test_FinIborSwaption.py
1
2
3
4
5
6
7
8
9
10
11
12
13
14
15
16
17
18
19
20
21
22
23
24
25
26
27
28
29
30
31
32
33
34
35
36
37
38
39
40
41
42
43
44
45
46
47
48
49
50
51
52
53
54
55
56
57
58
59
60
61
62
63
64
65
66
67
68
69
70
71
72
73
74
75
76
77
78
79
80
81
82
83
84
85
86
87
88
89
90
91
92
93
94
95
96
97
98
99
100
101
102
103
104
105
106
107
108
109
110
111
112
113
114
115
116
117
118
119
120
121
122
123
124
125
126
127
128
129
130
131
132
133
134
135
136
137
138
139
140
141
142
143
144
145
146
147
148
149
150
151
152
153
154
155
156
157
158
159
160
161
162
163
164
165
166
167
168
169
170
171
172
173
174
175
176
177
178
179
180
181
182
183
184
185
186
187
188
189
190
191
192
193
194
195
196
197
198
199
200
201
202
203
204
205
206
207
208
209
210
211
212
213
214
215
216
217
218
219
220
221
###############################################################################
# Copyright (C) 2018, 2019, 2020 Dominic O'Kane
###############################################################################
from financepy.products.rates.ibor_single_curve import IborSingleCurve
from financepy.models.bk_tree import BKTree
from financepy.models.hw_tree import HWTree
from financepy.models.sabr_shifted import SABRShifted
from financepy.models.sabr import SABR
from financepy.models.black_shifted import BlackShifted
from financepy.models.black import Black
from financepy.products.rates.ibor_swaption import SwapTypes
from financepy.products.rates.ibor_swaption import IborSwaption
from financepy.products.rates.ibor_swap import IborSwap
from financepy.products.rates.ibor_deposit import IborDeposit
from financepy.utils.frequency import FrequencyTypes
from financepy.utils.day_count import DayCountTypes
from financepy.utils.date import Date
import numpy as np
def build_curve(value_dt):
depoBasis = DayCountTypes.THIRTY_E_360_ISDA
depos = []
spot_days = 0
settle_dt = value_dt.add_weekdays(spot_days)
deposit_rate = 0.05
depo1 = IborDeposit(settle_dt, "1M", deposit_rate, depoBasis)
depo2 = IborDeposit(settle_dt, "3M", deposit_rate, depoBasis)
depo3 = IborDeposit(settle_dt, "6M", deposit_rate, depoBasis)
depos.append(depo1)
depos.append(depo2)
depos.append(depo3)
fras = []
swaps = []
fixedBasis = DayCountTypes.ACT_365F
fixedFreq = FrequencyTypes.SEMI_ANNUAL
fixed_leg_type = SwapTypes.PAY
swap_rate = 0.05
swap1 = IborSwap(settle_dt, "1Y", fixed_leg_type,
swap_rate, fixedFreq, fixedBasis)
swap2 = IborSwap(settle_dt, "3Y", fixed_leg_type,
swap_rate, fixedFreq, fixedBasis)
swap3 = IborSwap(settle_dt, "5Y", fixed_leg_type,
swap_rate, fixedFreq, fixedBasis)
swaps.append(swap1)
swaps.append(swap2)
swaps.append(swap3)
libor_curve = IborSingleCurve(value_dt, depos, fras, swaps)
return libor_curve
value_dt = Date(1, 1, 2011)
exercise_dt = Date(1, 1, 2012)
swap_maturity_dt = Date(1, 1, 2017)
swap_fixed_freq_type = FrequencyTypes.SEMI_ANNUAL
swapFixedDayCountType = DayCountTypes.ACT_365F
model1 = Black(0.00001)
model2 = BlackShifted(0.00001, 0.0)
model3 = SABR(0.013, 0.5, 0.5, 0.5)
model4 = SABRShifted(0.013, 0.5, 0.5, 0.5, -0.008)
model5 = HWTree(0.00001, 0.00001)
model6 = BKTree(0.01, 0.01)
settle_dt = value_dt.add_weekdays(2)
libor_curve = build_curve(value_dt)
def test_pay():
libor_curve = build_curve(value_dt)
swaptionType = SwapTypes.PAY
k = 0.02
swaption = IborSwaption(settle_dt,
exercise_dt,
swap_maturity_dt,
swaptionType,
k,
swap_fixed_freq_type,
swapFixedDayCountType)
swap1 = swaption.value(value_dt, libor_curve, model1)
swap2 = swaption.value(value_dt, libor_curve, model2)
swap3 = swaption.value(value_dt, libor_curve, model3)
swap4 = swaption.value(value_dt, libor_curve, model4)
swap5 = swaption.value(value_dt, libor_curve, model5)
swap6 = swaption.value(value_dt, libor_curve, model6)
assert round(swap1, 0) == 125087
assert round(swap2, 0) == 125087
assert round(swap3, 0) == 125087
assert round(swap4, 0) == 125087
assert round(swap5, 0) == 125684
assert round(swap6, 0) == 124501
k = 0.035
swaption = IborSwaption(settle_dt,
exercise_dt,
swap_maturity_dt,
swaptionType,
k,
swap_fixed_freq_type,
swapFixedDayCountType)
swap1 = swaption.value(value_dt, libor_curve, model1)
swap2 = swaption.value(value_dt, libor_curve, model2)
swap3 = swaption.value(value_dt, libor_curve, model3)
swap4 = swaption.value(value_dt, libor_curve, model4)
swap5 = swaption.value(value_dt, libor_curve, model5)
swap6 = swaption.value(value_dt, libor_curve, model6)
assert round(swap1, 1) == 62492.6
assert round(swap2, 1) == 62492.6
assert round(swap3, 1) == 62492.6
assert round(swap4, 1) == 62492.8
assert round(swap5, 1) == 63098.5
assert round(swap6, 1) == 62307.2
k = 0.065
swaption = IborSwaption(settle_dt,
exercise_dt,
swap_maturity_dt,
swaptionType,
k,
swap_fixed_freq_type,
swapFixedDayCountType)
swap1 = swaption.value(value_dt, libor_curve, model1)
swap2 = swaption.value(value_dt, libor_curve, model2)
swap3 = swaption.value(value_dt, libor_curve, model3)
swap4 = swaption.value(value_dt, libor_curve, model4)
swap5 = swaption.value(value_dt, libor_curve, model5)
swap6 = swaption.value(value_dt, libor_curve, model6)
assert round(swap1, 4) == 0.0
assert round(swap2, 4) == 0.0
assert round(swap3, 1) == 22.1
assert round(swap4, 1) == 60.3
assert round(swap5, 4) == 0.0
assert round(swap6, 4) == 0.0
def test_receive():
swaptionType = SwapTypes.RECEIVE
k = 0.02
swaption = IborSwaption(settle_dt,
exercise_dt,
swap_maturity_dt,
swaptionType,
k,
swap_fixed_freq_type,
swapFixedDayCountType)
swap1 = swaption.value(value_dt, libor_curve, model1)
swap2 = swaption.value(value_dt, libor_curve, model2)
swap3 = swaption.value(value_dt, libor_curve, model3)
swap4 = swaption.value(value_dt, libor_curve, model4)
swap5 = swaption.value(value_dt, libor_curve, model5)
swap6 = swaption.value(value_dt, libor_curve, model6)
assert round(swap1, 4) == 0.0
assert round(swap2, 4) == 0.0
assert round(swap3, 4) == 0.0
assert round(swap4, 4) == 0.0046
assert round(swap5, 4) == 0.0
assert round(swap6, 4) == 0.0
k = 0.05
swaption = IborSwaption(settle_dt,
exercise_dt,
swap_maturity_dt,
swaptionType,
k,
swap_fixed_freq_type,
swapFixedDayCountType)
swap1 = swaption.value(value_dt, libor_curve, model1)
swap2 = swaption.value(value_dt, libor_curve, model2)
swap3 = swaption.value(value_dt, libor_curve, model3)
swap4 = swaption.value(value_dt, libor_curve, model4)
swap5 = swaption.value(value_dt, libor_curve, model5)
swap6 = swaption.value(value_dt, libor_curve, model6)
assert round(swap1, 1) == 101.8
assert round(swap2, 1) == 101.8
assert round(swap3, 1) == 4945.4
assert round(swap4, 1) == 5392.6
assert round(swap5, 4) == 0.0
assert round(swap6, 1) == 762.5
k = 0.08
swaption = IborSwaption(settle_dt,
exercise_dt,
swap_maturity_dt,
swaptionType,
k,
swap_fixed_freq_type,
swapFixedDayCountType)
swap1 = swaption.value(value_dt, libor_curve, model1)
swap2 = swaption.value(value_dt, libor_curve, model2)
swap3 = swaption.value(value_dt, libor_curve, model3)
swap4 = swaption.value(value_dt, libor_curve, model4)
swap5 = swaption.value(value_dt, libor_curve, model5)
swap6 = swaption.value(value_dt, libor_curve, model6)
assert round(swap1, 1) == 125290.5
assert round(swap2, 1) == 125290.5
assert round(swap3, 1) == 125291.1
assert round(swap4, 1) == 125293.6
assert round(swap5, 1) == 124657.1
assert round(swap6, 1) == 124274.9