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#!/usr/bin/python
"""
Copyright (C) 2000, 2001, 2002 RiskMap 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 ferdinando@ametrano.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.
"""
__version__ = "$Revision: 1.30 $"
# $Source: /cvsroot/quantlib/QuantLib-Python/QuantLib/test/piecewiseflatforward.py,v $
from QuantLib import *
import unittest
class PiecewiseFlatForwardTest(unittest.TestCase):
def setUp(self):
import time
gmt = time.gmtime(time.time())
self.euriborHandle = TermStructureHandle()
self.calendar = Calendar('TARGET')
self.today = Date(gmt[2],gmt[1],gmt[0])
self.settlementDays = 2
self.indexFixingDays = 2
# deposits
self.depositNs = \
[ 1, 1, 2, 3, 6, 9]
self.depositUnits = \
['week','month','months','months','months','months']
self.depositRates = \
[ 4.559, 4.581, 4.573, 4.557, 4.496, 4.490]
rollingConvention = 'ModifiedFollowing'
dayCounter = DayCounter('Act/360')
deposits = map(
lambda n,unit,rate,settlementDays=self.settlementDays,
calendar=self.calendar,
rollingConvention=rollingConvention,
dayCounter=dayCounter:
DepositRateHelper(
MarketElementHandle(SimpleMarketElement(rate/100)),
settlementDays, n, unit,
calendar, rollingConvention, dayCounter),
self.depositNs,
self.depositUnits,
self.depositRates)
# swaps
self.swapRollingConvention = 'modifiedFollowing'
self.fixedFrequency = 1
self.fixedIsAdjusted = 0
self.fixedDayCount = DayCounter('30/360')
self.floatingFrequency = 2
self.swapYears = \
[ 1, 2, 3, 4, 5, 6, 7, 8, 9, 10,
12, 15, 20, 25, 30]
self.swapRates = \
[ 4.54, 4.63, 4.75, 4.86, 4.99, 5.11, 5.23, 5.33, 5.41, 5.47,
5.60, 5.75, 5.89, 5.95, 5.96]
swaps = map(
lambda n,rate,settlementDays=self.settlementDays,
calendar=self.calendar,
swapRollingConvention=self.swapRollingConvention,
fixedFrequency=self.fixedFrequency,
fixedIsAdjusted=self.fixedIsAdjusted,
fixedDayCount=self.fixedDayCount,
floatingFrequency=self.floatingFrequency:
SwapRateHelper(
MarketElementHandle(SimpleMarketElement(rate/100)),
settlementDays, n, calendar,
swapRollingConvention, fixedFrequency, fixedIsAdjusted,
fixedDayCount, floatingFrequency),
self.swapYears,
self.swapRates)
self.instruments = deposits + swaps
def runTest(self):
"Testing piecewise flat forward curve"
termStructure = PiecewiseFlatForward('EUR',DayCounter('Act/360'),
self.today,self.calendar,self.settlementDays,self.instruments)
settlement = termStructure.settlementDate()
self.euriborHandle.linkTo(termStructure)
# check deposits
for i in range(len(self.depositRates)):
index = Euribor(self.depositNs[i], self.depositUnits[i],
self.euriborHandle)
estimatedRate = index.fixing(settlement)
if not (abs(estimatedRate - self.depositRates[i]/100) <= 1.0e-9):
n = self.depositNs[i]
unit = self.depositUnits[i]
expectedRate = self.depositRates[i]/100
self.fail("""
%(n)d %(unit)s deposit:
estimated rate: %(estimatedRate)12.10f
input rate: %(expectedRate)12.10f
tolerance exceeded
""" % locals())
# check swaps
index = Euribor(12/self.floatingFrequency,'Months',
self.euriborHandle)
for i in range(len(self.swapRates)):
swap = SimpleSwap(1,settlement,self.swapYears[i],'years',
self.calendar,self.swapRollingConvention,100.0,
self.fixedFrequency,0.0,self.fixedIsAdjusted,
self.fixedDayCount,self.floatingFrequency,index,
self.indexFixingDays,0.0,
self.euriborHandle)
estimatedRate = -swap.NPV()/swap.fixedLegBPS()
if not (abs(estimatedRate - self.swapRates[i]/100) <= 1.0e-9):
years = self.swapYears[i]
expectedRate = self.swapRates[i]/100
self.fail("""
%(years)d years swap:
estimated rate: %(estimatedRate)12.10f
input rate: %(expectedRate)12.10f
tolerance exceeded
""" % locals())
if __name__ == '__main__':
import QuantLib
print 'testing QuantLib', QuantLib.__version__, QuantLib.QuantLibc.__file__, QuantLib.__file__
import sys
suite = unittest.TestSuite()
suite.addTest(PiecewiseFlatForwardTest())
if sys.hexversion >= 0x020100f0:
unittest.TextTestRunner(verbosity=2).run(suite)
else:
unittest.TextTestRunner().run(suite)
raw_input('press any key to continue')
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