""" Copyright (C) 2011 Lluis Pujol Bajador 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 . The license is also available online at . 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. """ import QuantLib as ql import unittest class CmsTest(unittest.TestCase): def setUp(self): # global data self.calendar = ql.TARGET() self.referenceDate = self.calendar.adjust(ql.Date.todaysDate()) ql.Settings.instance().evaluationDate = self.referenceDate self.termStructure = ql.RelinkableYieldTermStructureHandle() self.termStructure.linkTo( ql.FlatForward(self.referenceDate, ql.makeQuoteHandle(0.05), ql.Actual365Fixed()) ) self.yieldCurveModels = [] self.numericalPricers = [] self.analyticPricers = [] # ATM Volatility structure self.atmOptionTenors = [ ql.Period(1, ql.Months), ql.Period(6, ql.Months), ql.Period(1, ql.Years), ql.Period(5, ql.Years), ql.Period(10, ql.Years), ql.Period(30, ql.Years), ] self.atmSwapTenors = [ ql.Period(1, ql.Years), ql.Period(5, ql.Years), ql.Period(10, ql.Years), ql.Period(30, ql.Years), ] self.m = [ [0.1300, 0.1560, 0.1390, 0.1220], [0.1440, 0.1580, 0.1460, 0.1260], [0.1600, 0.1590, 0.1470, 0.1290], [0.1640, 0.1470, 0.1370, 0.1220], [0.1400, 0.1300, 0.1250, 0.1100], [0.1130, 0.1090, 0.1070, 0.0930], ] self.atmVol = ql.SwaptionVolatilityStructureHandle( ql.SwaptionVolatilityMatrix( self.calendar, ql.Following, self.atmOptionTenors, self.atmSwapTenors, ql.Matrix(self.m), ql.Actual365Fixed(), ) ) ###Vol cubes self.optionTenors = [ql.Period(1, ql.Years), ql.Period(10, ql.Years), ql.Period(30, ql.Years)] self.swapTenors = [ql.Period(2, ql.Years), ql.Period(10, ql.Years), ql.Period(30, ql.Years)] self.strikeSpreads = [-0.020, -0.005, +0.000, +0.005, +0.020] self.nRows = len(self.optionTenors) * len(self.swapTenors) self.nCols = len(self.strikeSpreads) self.volSpreadsMatrix = [ [0.0599, 0.0049, 0.0000, -0.0001, 0.0127], [0.0729, 0.0086, 0.0000, -0.0024, 0.0098], [0.0738, 0.0102, 0.0000, -0.0039, 0.0065], [0.0465, 0.0063, 0.0000, -0.0032, -0.0010], [0.0558, 0.0084, 0.0000, -0.0050, -0.0057], [0.0576, 0.0083, 0.0000, -0.0043, -0.0014], [0.0437, 0.0059, 0.0000, -0.0030, -0.0006], [0.0533, 0.0078, 0.0000, -0.0045, -0.0046], [0.0545, 0.0079, 0.0000, -0.0042, -0.0020], ] self.volSpreads = [] for i in range(self.nRows): self.volSpreadsRow = [] for j in range(self.nCols): self.volSpreadsRow.append(ql.makeQuoteHandle(self.volSpreadsMatrix[i][j])) self.volSpreads.append(self.volSpreadsRow) self.iborIndex = ql.Euribor6M(self.termStructure) self.swapIndexBase = ql.EuriborSwapIsdaFixA(ql.Period(10, ql.Years), self.termStructure) self.shortSwapIndexBase = ql.EuriborSwapIsdaFixA(ql.Period(2, ql.Years), self.termStructure) self.vegaWeightedSmileFit = False self.SabrVolCube2 = ql.SwaptionVolatilityStructureHandle( ql.InterpolatedSwaptionVolatilityCube( self.atmVol, self.optionTenors, self.swapTenors, self.strikeSpreads, self.volSpreads, self.swapIndexBase, self.shortSwapIndexBase, self.vegaWeightedSmileFit, ) ) self.SabrVolCube2.enableExtrapolation() self.guess = [] self.guessMatrix = [ [0.2, 0.5, 0.4, 0.0], [0.2, 0.5, 0.4, 0.0], [0.2, 0.5, 0.4, 0.0], [0.2, 0.5, 0.4, 0.0], [0.2, 0.5, 0.4, 0.0], [0.2, 0.5, 0.4, 0.0], [0.2, 0.5, 0.4, 0.0], [0.2, 0.5, 0.4, 0.0], [0.2, 0.5, 0.4, 0.0], ] for i in range(self.nRows): self.guessRow = [] for j in range(4): self.guessRow.append(ql.makeQuoteHandle(self.guessMatrix[i][j])) self.guess.append(self.guessRow) self.isParameterFixed = [False, True, False, False] ### FIXME self.isAtmCalibrated = False ## self.SabrVolCube1 = ql.SwaptionVolatilityStructureHandle( ql.SabrSwaptionVolatilityCube( self.atmVol, self.optionTenors, self.swapTenors, self.strikeSpreads, self.volSpreads, self.swapIndexBase, self.shortSwapIndexBase, self.vegaWeightedSmileFit, self.guess, self.isParameterFixed, self.isAtmCalibrated, ) ) ##SabrVolCube1.enableExtrapolation() self.yieldCurveModels = [ ql.GFunctionFactory.Standard, ql.GFunctionFactory.ExactYield, ql.GFunctionFactory.ParallelShifts, ql.GFunctionFactory.NonParallelShifts, ] self.zeroMeanRev = ql.makeQuoteHandle(0.0) self.numericalPricers = {} self.analyticPricers = {} for m in self.yieldCurveModels: self.numericalPricers[m] = ql.NumericHaganPricer(self.atmVol, m, self.zeroMeanRev) self.analyticPricers[m] = ql.AnalyticHaganPricer(self.atmVol, m, self.zeroMeanRev) def tearDown(self): ql.Settings.instance().evaluationDate = ql.Date() def testFairRate(self): """Testing Hagan-pricer flat-vol equivalence for coupons...""" swapIndex = ql.SwapIndex( "EuriborSwapIsdaFixA", ql.Period(10, ql.Years), self.iborIndex.fixingDays(), self.iborIndex.currency(), self.iborIndex.fixingCalendar(), ql.Period(1, ql.Years), ql.Unadjusted, self.iborIndex.dayCounter(), self.iborIndex, ) startDate = self.termStructure.referenceDate() + ql.Period(20, ql.Years) paymentDate = startDate + ql.Period(1, ql.Years) endDate = paymentDate nominal = 1.0 infiniteCap = ql.nullDouble() infiniteFloor = ql.nullDouble() gearing = 1.0 spread = 0.0 coupon = ql.CappedFlooredCmsCoupon( paymentDate, nominal, startDate, endDate, swapIndex.fixingDays(), swapIndex, gearing, spread, infiniteCap, infiniteFloor, startDate, endDate, self.iborIndex.dayCounter(), False, ) for m in self.yieldCurveModels: self.numericalPricers[m].setSwaptionVolatility(self.atmVol) coupon.setPricer(self.numericalPricers[m]) rate0 = coupon.rate() self.analyticPricers[m].setSwaptionVolatility(self.atmVol) coupon.setPricer(self.analyticPricers[m]) rate1 = coupon.rate() difference = abs(rate1 - rate0) tol = 2.0e-4 self.assertTrue(difference < tol) def testParity(self): """Testing put-call parity for capped-floored CMS coupons...""" swaptionVols = [self.atmVol, self.SabrVolCube1, self.SabrVolCube2] swapIndex = ql.EuriborSwapIsdaFixA(ql.Period(10, ql.Years), self.iborIndex.forwardingTermStructure()) startDate = self.termStructure.referenceDate() + ql.Period(20, ql.Years) paymentDate = startDate + ql.Period(1, ql.Years) endDate = paymentDate nominal = 1.0 infiniteCap = ql.nullDouble() infiniteFloor = ql.nullDouble() gearing = 1.0 spread = 0.0 discount = self.termStructure.discount(paymentDate) swaplet = ql.CappedFlooredCmsCoupon( paymentDate, nominal, startDate, endDate, swapIndex.fixingDays(), swapIndex, gearing, spread, infiniteCap, infiniteFloor, startDate, endDate, self.iborIndex.dayCounter(), ) strikes = [0.02, 0.07] for k in strikes: caplet = ql.CappedFlooredCmsCoupon( paymentDate, nominal, startDate, endDate, swapIndex.fixingDays(), swapIndex, gearing, spread, k, infiniteFloor, startDate, endDate, self.iborIndex.dayCounter(), ) floorlet = ql.CappedFlooredCmsCoupon( paymentDate, nominal, startDate, endDate, swapIndex.fixingDays(), swapIndex, gearing, spread, infiniteCap, k, startDate, endDate, self.iborIndex.dayCounter(), ) for vol in swaptionVols: for m in self.yieldCurveModels: self.numericalPricers[m].setSwaptionVolatility(vol) self.analyticPricers[m].setSwaptionVolatility(vol) pricers = [self.numericalPricers[m], self.analyticPricers[m]] for p in pricers: swaplet.setPricer(p) caplet.setPricer(p) floorlet.setPricer(p) swapletPrice = swaplet.price(self.termStructure) + swaplet.accrualPeriod() * k * discount capletPrice = caplet.price(self.termStructure) floorletPrice = floorlet.price(self.termStructure) difference = abs(capletPrice + floorletPrice - swapletPrice) tol = 2.0e-5 self.assertTrue(difference < tol) if __name__ == "__main__": print("testing QuantLib", ql.__version__) unittest.main(verbosity=2)