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swap.py
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'''
QuantLib with python example
Copyright (C) 2014 John Orford
This program is free software: you can redistribute it and/or modify
it under the terms of the GNU Affero General Public License as
published by the Free Software Foundation, either version 3 of the
License, or (at your option) any later version.
This program is distributed in the hope that it will be useful,
but WITHOUT ANY WARRANTY; without even the implied warranty of
MERCHANTABILITY or FITNESS FOR A PARTICULAR PURPOSE. See the
GNU Affero General Public License for more details.
You should have received a copy of the GNU Affero General Public License
along with this program. If not, see <http://www.gnu.org/licenses/>.
'''
#######################################################################
## 1) Global data
## 2) Date setup
## 3) Construct yield term structure
## 4) Setup initial bond
## 5) Calibrate and find spread
## 6) Collate results
from QuantLib import *
from volkills.models import IRS
def modelSwap_Calibrate(s):
#Assumptions
floatingLegAdjustment = ModifiedFollowing
compounding = QuantLib.Compounded
dayCounter = ActualActual(ActualActual.ISDA)
settlementDays = 2
fixingDays = 2
fixedLegAdjustment = Unadjusted
valuation_date_ql = Date(s.valuation_date.day,s.valuation_date.month,s.valuation_date.year)
#not really necessary for swaps which have already started
start_date_ql = Date(s.start_date.day,s.start_date.month,s.start_date.year)
maturity_date_ql = Date(s.maturity_date.day,s.maturity_date.month,s.maturity_date.year)
if s.fixed_leg_frequency == 'once':
fixed_leg_frequency_ql = QuantLib.Once
elif s.fixed_leg_frequency == 'annual':
fixed_leg_frequency_ql = QuantLib.Annual
elif s.fixed_leg_frequency == 'semiannual':
fixed_leg_frequency_ql = QuantLib.Semiannual
elif s.fixed_leg_frequency == 'quarterly':
fixed_leg_frequency_ql = QuantLib.Quarterly
elif s.fixed_leg_frequency == 'bimonthly':
fixed_leg_frequency_ql = QuantLib.Bimonthly
elif s.fixed_leg_frequency == 'monthly':
fixed_leg_frequency_ql = QuantLib.Monthly
elif s.fixed_leg_frequency == 'weekly':
fixed_leg_frequency_ql = QuantLib.Weekly
elif s.fixed_leg_frequency == 'daily':
fixed_leg_frequency_ql = QuantLib.Daily
if s.floating_leg_frequency == 'once':
floating_leg_frequency_ql = QuantLib.Once
elif s.floating_leg_frequency == 'annual':
floating_leg_frequency_ql = QuantLib.Annual
elif s.floating_leg_frequency == 'semiannual':
floating_leg_frequency_ql = QuantLib.Semiannual
elif s.floating_leg_frequency == 'quarterly':
floating_leg_frequency_ql = QuantLib.Quarterly
elif s.floating_leg_frequency == 'bimonthly':
floating_leg_frequency_ql = QuantLib.Bimonthly
elif s.floating_leg_frequency == 'monthly':
floating_leg_frequency_ql = QuantLib.Monthly
elif s.floating_leg_frequency == 'weekly':
floating_leg_frequency_ql = QuantLib.Weekly
elif s.floating_leg_frequency == 'daily':
floating_leg_frequency_ql = QuantLib.Daily
fixedLegTenor = Period(fixed_leg_frequency_ql)
floatingLegTenor = Period(floating_leg_frequency_ql)
#######################################################################
## 2) Date setup
calendar = TARGET()
#Assume settlement is +2
settlementDate_ql = calendar.advance(valuation_date_ql,2,Days)
Settings.instance().evaluationDate = valuation_date_ql
#######################################################################
## 3) Construct yield term structure
## Discounting setup
zcQuotes = [ (s.term_structure_1m, Period(1,Months)),
(s.term_structure_3m, Period(3,Months)),
(s.term_structure_6m, Period(6,Months)),
(s.term_structure_1y, Period(1,Years)),
(s.term_structure_2y, Period(2,Years)),
(s.term_structure_3y, Period(3,Years)),
(s.term_structure_5y, Period(5,Years)),
(s.term_structure_7y, Period(7,Years)),
(s.term_structure_10y, Period(10,Years)),
(s.term_structure_20y, Period(20,Years)),
(s.term_structure_30y, Period(30,Years))
]
zcHelpers = [ DepositRateHelper(QuoteHandle(SimpleQuote(r)),
tenor,
fixingDays,
calendar,
ModifiedFollowing,
True,
dayCounter)
for (r,tenor) in zcQuotes ]
bondDiscountingTermStructure = PiecewiseFlatForward( valuation_date_ql,
zcHelpers,
dayCounter)
discountTermStructure = RelinkableYieldTermStructureHandle()
discountTermStructure.linkTo(bondDiscountingTermStructure)
#######################################################################
## Libor/Reference curve set up
zcQuotes2 = [ (s.reference_index_term_structure_1m, Period(1,Months)),
(s.reference_index_term_structure_3m, Period(3,Months)),
(s.reference_index_term_structure_6m, Period(6,Months)),
(s.reference_index_term_structure_1y, Period(1,Years)),
(s.reference_index_term_structure_2y, Period(2,Years)),
(s.reference_index_term_structure_3y, Period(3,Years)),
(s.reference_index_term_structure_5y, Period(5,Years)),
(s.reference_index_term_structure_7y, Period(7,Years)),
(s.reference_index_term_structure_10y, Period(10,Years)),
(s.reference_index_term_structure_20y, Period(20,Years)),
(s.reference_index_term_structure_30y, Period(30,Years))
]
zcHelpers2 = [ DepositRateHelper(QuoteHandle(SimpleQuote(r)),
tenor, fixingDays,
calendar, ModifiedFollowing,
True, dayCounter)
for (r,tenor) in zcQuotes2 ]
bondDiscountingTermStructure2 = PiecewiseFlatForward( valuation_date_ql,
zcHelpers2,
dayCounter)
forecastTermStructure = RelinkableYieldTermStructureHandle()
forecastTermStructure.linkTo(bondDiscountingTermStructure2)
index = Euribor(floatingLegTenor,forecastTermStructure)
floatingLegDayCounter = index.dayCounter()
#######################################################################
## 4) Setup initial swap
# swaps to be priced
swapEngine = DiscountingSwapEngine(discountTermStructure)
#is this forward starting or not?
if start_date_ql > settlementDate_ql:
ss_date = start_date_ql
else:
ss_date = settlementDate_ql
fixedSchedule = Schedule(ss_date, maturity_date_ql,
fixedLegTenor, calendar,
fixedLegAdjustment, fixedLegAdjustment,
DateGeneration.Backward, False)
floatingSchedule = Schedule(ss_date, maturity_date_ql,
floatingLegTenor, calendar,
floatingLegAdjustment, floatingLegAdjustment,
DateGeneration.Backward, False)
forward = VanillaSwap(VanillaSwap.Receiver, s.face,
fixedSchedule, s.fixed_rate, dayCounter,
floatingSchedule, index, s.spread,
dayCounter)
forward.setPricingEngine(swapEngine)
#######################################################################
## 5) Calibrate and find spread
#if receive fixed then counterparty credit risk might cause fixed leg to actually be lower
#which means a zspread should be added to discount away difference...
#if pay fixed, then receive float
calibration_spread = (s.market_value - forward.NPV()) / (forward.fixedLegBPS() * 10000)
forward = VanillaSwap(VanillaSwap.Receiver, s.face,
fixedSchedule, s.fixed_rate + calibration_spread, dayCounter,
floatingSchedule, index, s.spread,
dayCounter)
forward.setPricingEngine(swapEngine)
#######################################################################
## 6) Collate results
s.result_npv = forward.NPV()
s.result_fixed_leg_bps = forward.fixedLegBPS()
s.result_fair_spread = forward.fairSpread()
s.result_spread = calibration_spread
s.result_floating_leg_bps = forward.floatingLegBPS()
s.result_fair_rate = forward.fairRate()
s.save()
return s
def modelSwap_Value(s):
#Assumptions
floatingLegAdjustment = ModifiedFollowing
compounding = QuantLib.Compounded
dayCounter = ActualActual(ActualActual.ISDA)
settlementDays = 2
fixingDays = 2
fixedLegAdjustment = Unadjusted
valuation_date_ql = Date(s.valuation_date.day,s.valuation_date.month,s.valuation_date.year)
#not really necessary for swaps which have already started
start_date_ql = Date(s.start_date.day,s.start_date.month,s.start_date.year)
maturity_date_ql = Date(s.maturity_date.day,s.maturity_date.month,s.maturity_date.year)
if s.fixed_leg_frequency == 'once':
fixed_leg_frequency_ql = QuantLib.Once
elif s.fixed_leg_frequency == 'annual':
fixed_leg_frequency_ql = QuantLib.Annual
elif s.fixed_leg_frequency == 'semiannual':
fixed_leg_frequency_ql = QuantLib.Semiannual
elif s.fixed_leg_frequency == 'quarterly':
fixed_leg_frequency_ql = QuantLib.Quarterly
elif s.fixed_leg_frequency == 'bimonthly':
fixed_leg_frequency_ql = QuantLib.Bimonthly
elif s.fixed_leg_frequency == 'monthly':
fixed_leg_frequency_ql = QuantLib.Monthly
elif s.fixed_leg_frequency == 'weekly':
fixed_leg_frequency_ql = QuantLib.Weekly
elif s.fixed_leg_frequency == 'daily':
fixed_leg_frequency_ql = QuantLib.Daily
if s.floating_leg_frequency == 'once':
floating_leg_frequency_ql = QuantLib.Once
elif s.floating_leg_frequency == 'annual':
floating_leg_frequency_ql = QuantLib.Annual
elif s.floating_leg_frequency == 'semiannual':
floating_leg_frequency_ql = QuantLib.Semiannual
elif s.floating_leg_frequency == 'quarterly':
floating_leg_frequency_ql = QuantLib.Quarterly
elif s.floating_leg_frequency == 'bimonthly':
floating_leg_frequency_ql = QuantLib.Bimonthly
elif s.floating_leg_frequency == 'monthly':
floating_leg_frequency_ql = QuantLib.Monthly
elif s.floating_leg_frequency == 'weekly':
floating_leg_frequency_ql = QuantLib.Weekly
elif s.floating_leg_frequency == 'daily':
floating_leg_frequency_ql = QuantLib.Daily
fixedLegTenor = Period(fixed_leg_frequency_ql)
floatingLegTenor = Period(floating_leg_frequency_ql)
#######################################################################
## 2) Date setup
calendar = TARGET()
#Assume settlement is +2
settlementDate_ql = calendar.advance(valuation_date_ql,2,Days)
Settings.instance().evaluationDate = valuation_date_ql
#######################################################################
## 3) Construct yield term structure
## Discounting setup
zcQuotes = [ (s.term_structure_1m, Period(1,Months)),
(s.term_structure_3m, Period(3,Months)),
(s.term_structure_6m, Period(6,Months)),
(s.term_structure_1y, Period(1,Years)),
(s.term_structure_2y, Period(2,Years)),
(s.term_structure_3y, Period(3,Years)),
(s.term_structure_5y, Period(5,Years)),
(s.term_structure_7y, Period(7,Years)),
(s.term_structure_10y, Period(10,Years)),
(s.term_structure_20y, Period(20,Years)),
(s.term_structure_30y, Period(30,Years))
]
zcHelpers = [ DepositRateHelper(QuoteHandle(SimpleQuote(r)),
tenor,
fixingDays,
calendar,
ModifiedFollowing,
True,
dayCounter)
for (r,tenor) in zcQuotes ]
bondDiscountingTermStructure = PiecewiseFlatForward( valuation_date_ql,
zcHelpers,
dayCounter)
discountTermStructure = RelinkableYieldTermStructureHandle()
discountTermStructure.linkTo(bondDiscountingTermStructure)
#######################################################################
## Libor/Reference curve set up
zcQuotes2 = [ (s.reference_index_term_structure_1m, Period(1,Months)),
(s.reference_index_term_structure_3m, Period(3,Months)),
(s.reference_index_term_structure_6m, Period(6,Months)),
(s.reference_index_term_structure_1y, Period(1,Years)),
(s.reference_index_term_structure_2y, Period(2,Years)),
(s.reference_index_term_structure_3y, Period(3,Years)),
(s.reference_index_term_structure_5y, Period(5,Years)),
(s.reference_index_term_structure_7y, Period(7,Years)),
(s.reference_index_term_structure_10y, Period(10,Years)),
(s.reference_index_term_structure_20y, Period(20,Years)),
(s.reference_index_term_structure_30y, Period(30,Years))
]
zcHelpers2 = [ DepositRateHelper(QuoteHandle(SimpleQuote(r)),
tenor, fixingDays,
calendar, ModifiedFollowing,
True, dayCounter)
for (r,tenor) in zcQuotes2 ]
bondDiscountingTermStructure2 = PiecewiseFlatForward( valuation_date_ql,
zcHelpers2,
dayCounter)
forecastTermStructure = RelinkableYieldTermStructureHandle()
forecastTermStructure.linkTo(bondDiscountingTermStructure2)
index = Euribor(floatingLegTenor,forecastTermStructure)
floatingLegDayCounter = index.dayCounter()
#######################################################################
## 4) Setup initial swap
# swaps to be priced
swapEngine = DiscountingSwapEngine(discountTermStructure)
#is this forward starting or not?
if start_date_ql > settlementDate_ql:
ss_date = start_date_ql
else:
ss_date = settlementDate_ql
fixedSchedule = Schedule(ss_date, maturity_date_ql,
fixedLegTenor, calendar,
fixedLegAdjustment, fixedLegAdjustment,
DateGeneration.Backward, False)
floatingSchedule = Schedule(ss_date, maturity_date_ql,
floatingLegTenor, calendar,
floatingLegAdjustment, floatingLegAdjustment,
DateGeneration.Backward, False)
#######################################################################
## 5) price with credit spread
forward = VanillaSwap(VanillaSwap.Receiver, s.face,
fixedSchedule, s.fixed_rate + s.credit_spread, dayCounter,
floatingSchedule, index, s.spread,
dayCounter)
forward.setPricingEngine(swapEngine)
#######################################################################
## 6) Collate results
s.result_npv = forward.NPV()
s.result_fixed_leg_bps = forward.fixedLegBPS()
s.result_fair_spread = forward.fairSpread()
s.result_floating_leg_bps = forward.floatingLegBPS()
s.result_fair_rate = forward.fairRate()
s.save()
return s