# Copyright (C) 2004 StatPro Italia srl # # This file is part of QuantLib, a free-software/open-source library # for financial quantitative analysts and developers - http://quantlib.org/ # # QuantLib is free software: you can redistribute it and/or modify it under the # terms of the QuantLib license. You should have received a copy of the # license along with this program; if not, please email quantlib-dev@lists.sf.net # The license is also available online at http://quantlib.org/html/license.html # # 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 license for more details. from QuantLib import * # global data calendar = TARGET() todaysDate = Date(6,November,2001); Settings.instance().evaluationDate = todaysDate settlementDate = Date(8,November,2001); # market quotes deposits = { (1,Weeks): 0.0382, (1,Months): 0.0372, (3,Months): 0.0363, (6,Months): 0.0353, (9,Months): 0.0348, (1,Years): 0.0345 } FRAs = { (3,6): 0.037125, (6,9): 0.037125, (9,12): 0.037125 } futures = { Date(19,12,2001): 96.2875, Date(20,3,2002): 96.7875, Date(19,6,2002): 96.9875, Date(18,9,2002): 96.6875, Date(18,12,2002): 96.4875, Date(19,3,2003): 96.3875, Date(18,6,2003): 96.2875, Date(17,9,2003): 96.0875 } swaps = { (2,Years): 0.037125, (3,Years): 0.0398, (5,Years): 0.0443, (10,Years): 0.05165, (15,Years): 0.055175 } # convert them to Quote objects for n,unit in deposits.keys(): deposits[(n,unit)] = SimpleQuote(deposits[(n,unit)]) for n,m in FRAs.keys(): FRAs[(n,m)] = SimpleQuote(FRAs[(n,m)]) for d in futures.keys(): futures[d] = SimpleQuote(futures[d]) for n,unit in swaps.keys(): swaps[(n,unit)] = SimpleQuote(swaps[(n,unit)]) # build rate helpers dayCounter = Actual360() settlementDays = 2 depositHelpers = [ DepositRateHelper(QuoteHandle(deposits[(n,unit)]), n, unit, settlementDays, calendar, ModifiedFollowing, dayCounter) for n, unit in [(1,Weeks),(1,Months),(3,Months), (6,Months),(9,Months),(1,Years)] ] dayCounter = Actual360() settlementDays = 2 fraHelpers = [ FraRateHelper(QuoteHandle(FRAs[(n,m)]), n, m, settlementDays, calendar, ModifiedFollowing, dayCounter) for n, m in FRAs.keys() ] dayCounter = Actual360() months = 3 futuresHelpers = [ FuturesRateHelper(QuoteHandle(futures[d]), d, months, calendar, ModifiedFollowing, dayCounter) for d in futures.keys() ] settlementDays = 2 fixedLegFrequency = Annual fixedLegAdjustment = Unadjusted fixedLegDayCounter = Thirty360() floatingLegFrequency = Semiannual floatingLegAdjustment = ModifiedFollowing swapHelpers = [ SwapRateHelper(QuoteHandle(swaps[(n,unit)]), n, unit, settlementDays, calendar, fixedLegFrequency, fixedLegAdjustment, fixedLegDayCounter, floatingLegFrequency, floatingLegAdjustment) for n, unit in swaps.keys() ] # term structure handles discountTermStructure = YieldTermStructureHandle() forecastTermStructure = YieldTermStructureHandle() # term-structure construction helpers = depositHelpers[:2] + futuresHelpers + swapHelpers[1:] depoFuturesSwapCurve = PiecewiseFlatForward(settlementDate, helpers, Actual360()) helpers = depositHelpers[:3] + fraHelpers + swapHelpers depoFraSwapCurve = PiecewiseFlatForward(settlementDate, helpers, Actual360()) # swaps to be priced nominal = 1000000 length = 5 maturity = calendar.advance(settlementDate,length,Years) payFixed = True fixedLegFrequency = Annual fixedLegAdjustment = Unadjusted fixedLegDayCounter = Thirty360() fixedRate = 0.04 floatingLegFrequency = Semiannual spread = 0.0 fixingDays = 2 index = Euribor(6, Months, forecastTermStructure) floatingLegAdjustment = ModifiedFollowing fixedSchedule = Schedule(calendar, settlementDate, maturity, fixedLegFrequency, fixedLegAdjustment) floatingSchedule = Schedule(calendar, settlementDate, maturity, floatingLegFrequency, floatingLegAdjustment) spot = SimpleSwap(payFixed, nominal, fixedSchedule, fixedRate, fixedLegDayCounter, floatingSchedule, index, fixingDays, spread, discountTermStructure) forwardStart = calendar.advance(settlementDate,1,Years) forwardEnd = calendar.advance(forwardStart,length,Years) fixedSchedule = Schedule(calendar, forwardStart, forwardEnd, fixedLegFrequency, fixedLegAdjustment) floatingSchedule = Schedule(calendar, forwardStart, forwardEnd, floatingLegFrequency, floatingLegAdjustment) forward = SimpleSwap(payFixed, nominal, fixedSchedule, fixedRate, fixedLegDayCounter, floatingSchedule, index, fixingDays, spread, discountTermStructure) # price on the bootstrapped curves def formatPrice(p,digits=2): format = '%%.%df' % digits return format % p def formatRate(r,digits=2): format = '%%.%df %%%%' % digits return format % (r*100) headers = ("term structure", "net present value", "fair spread", "fair fixed rate" ) separator = " | " format = '' width = 0 for h in headers[:-1]: format += '%%%ds' % len(h) format += separator width += len(h) + len(separator) format += '%%%ds' % len(headers[-1]) width += len(headers[-1]) rule = "-" * width dblrule = "=" * width tab = " " * 8 def report(swap, name): print format % (name, formatPrice(swap.NPV(),2), formatRate(swap.fairSpread(),4), formatRate(swap.fairRate(),4)) print dblrule print "5-year market swap-rate = %s" % formatRate(swaps[(5,Years)].value()) print dblrule # price on two different term structures print tab + "5-years swap paying %s" % formatRate(fixedRate) print separator.join(headers) print rule discountTermStructure.linkTo(depoFuturesSwapCurve) forecastTermStructure.linkTo(depoFuturesSwapCurve) report(spot,'depo-fut-swap') discountTermStructure.linkTo(depoFraSwapCurve) forecastTermStructure.linkTo(depoFraSwapCurve) report(spot,'depo-FRA-swap') print rule # price the 1-year forward swap print tab + "5-years, 1-year forward swap paying %s" % formatRate(fixedRate) print rule discountTermStructure.linkTo(depoFuturesSwapCurve) forecastTermStructure.linkTo(depoFuturesSwapCurve) report(forward,'depo-fut-swap') discountTermStructure.linkTo(depoFraSwapCurve) forecastTermStructure.linkTo(depoFraSwapCurve) report(forward,'depo-FRA-swap') # modify the 5-years swap rate and reprice swaps[(5,Years)].setValue(0.046) print dblrule print "5-year market swap-rate = %s" % formatRate(swaps[(5,Years)].value()) print dblrule print tab + "5-years swap paying %s" % formatRate(fixedRate) print separator.join(headers) print rule discountTermStructure.linkTo(depoFuturesSwapCurve) forecastTermStructure.linkTo(depoFuturesSwapCurve) report(spot,'depo-fut-swap') discountTermStructure.linkTo(depoFraSwapCurve) forecastTermStructure.linkTo(depoFraSwapCurve) report(spot,'depo-FRA-swap') print rule print tab + "5-years, 1-year forward swap paying %s" % formatRate(fixedRate) print rule discountTermStructure.linkTo(depoFuturesSwapCurve) forecastTermStructure.linkTo(depoFuturesSwapCurve) report(forward,'depo-fut-swap') discountTermStructure.linkTo(depoFraSwapCurve) forecastTermStructure.linkTo(depoFraSwapCurve) report(forward,'depo-FRA-swap')