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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: 1.17 $"
# $Source: /cvsroot/quantlib/QuantLib-Python/QuantLib/test/swap.py,v $
from QuantLib import *
import unittest
class SimpleSwapTest(unittest.TestCase):
def runTest(self):
"Testing simple swap"
import time
gmt = time.gmtime(time.time())
euriborHandle = TermStructureHandle()
fixedRate = 0.0
fixingDays = 0
spread = 0.0
today = Date(gmt[2],gmt[1],gmt[0])
settlementDays = 2
payFixed = 1
years = 10
indexFixingDays = 0
nominal = 100.0
rollingConvention = 'modifiedFollowing'
fixedFrequency = 1; floatingFrequency = 2
fixedDayCount = DayCounter('30/360'); fixedAdj = 0
index = Euribor(12/floatingFrequency,'Months',euriborHandle)
calendar = index.calendar()
termStructure = FlatForward('EUR',DayCounter('Act/365'),today,
calendar,settlementDays,0.05)
settlement = termStructure.settlementDate()
swap = SimpleSwap(payFixed, settlement, years, 'years', calendar,
rollingConvention, nominal, fixedFrequency, fixedRate,
fixedAdj, fixedDayCount, floatingFrequency, index, indexFixingDays,
spread, euriborHandle)
euriborHandle.linkTo(termStructure)
impliedRate = fixedRate-swap.NPV()/swap.fixedLegBPS()
impliedSpread = spread-swap.NPV()/swap.floatingLegBPS()
# check 1
swap = SimpleSwap(payFixed, settlement, years, 'years', calendar,
rollingConvention, nominal, fixedFrequency, impliedRate,
fixedAdj, fixedDayCount,floatingFrequency, index, indexFixingDays,
spread, euriborHandle)
NPV = swap.NPV()
if not (abs(NPV) <= 1e-10):
self.fail("""
recalculating with implied rate:
calculated value: %(NPV)g
expected value: 0.0
tolerance exceeded
""" % locals())
# check 2
swap = SimpleSwap(payFixed, settlement, years, 'years', calendar,
rollingConvention, nominal, fixedFrequency, fixedRate,
fixedAdj, fixedDayCount,floatingFrequency, index, indexFixingDays,
impliedSpread, euriborHandle)
NPV = swap.NPV()
if not (abs(NPV) <= 1e-10):
self.fail("""
recalculating with implied spread:
calculated value: %(NPV)g
expected value: 0.0
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(SimpleSwapTest())
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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