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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: 1.3 $"
# $Source: /cvsroot/quantlib/QuantLib-Python/QuantLib/test/swaption.py,v $
from QuantLib import *
import unittest
class SwaptionTest(unittest.TestCase):
def setUp(self):
import time
gmt = time.gmtime(time.time())
self.today = Date(gmt[2],gmt[1],gmt[0])
self.termStructure = TermStructureHandle()
self.nominal = 100.0
self.rollingConvention = 'modifiedFollowing'
self.fixedFrequency = 1; self.floatingFrequency = 2
self.fixedDayCount = DayCounter('30/360'); self.fixedAdj = 0
self.index = Euribor(12/self.floatingFrequency,'Months',
self.termStructure)
self.calendar = self.index.calendar()
self.settlementDays = 2
self.fixingDays = 2
self.termStructure.linkTo(FlatForward('EUR',DayCounter('Act/365'),
self.today,self.calendar,
self.settlementDays,0.05))
self.settlement = self.termStructure.settlementDate()
self.cases = [ (exercise,length,payFixed)
for exercise in [1, 2, 3, 5, 7, 10]
for length in [1, 2, 3, 5, 7, 10, 15, 20]
for payFixed in [0,1] ]
def makeSwap(self,startDate,length,fixedRate,spread,payFixed):
return SimpleSwap(payFixed, startDate, length, 'years',
self.calendar, self.rollingConvention, self.nominal,
self.fixedFrequency, fixedRate, self.fixedAdj, self.fixedDayCount,
self.floatingFrequency, self.index, self.fixingDays, spread,
self.termStructure)
def makeSwaption(self,swap,exerciseDate,volatility):
return Swaption(swap,
EuropeanExercise(exerciseDate),
self.termStructure,
BlackSwaptionEngine(
BlackModel(
MarketElementHandle(
SimpleMarketElement(volatility)),
self.termStructure)))
# check 1
def testStrikeDependency(self):
"Testing swaption dependency on strike"
for (exercise,length,payFixed) in self.cases:
exerciseDate = self.calendar.roll(self.today.plusYears(exercise))
startDate = self.calendar.advance(exerciseDate,
self.settlementDays,'days')
strikes = [0.03, 0.04, 0.05, 0.06, 0.07]
values = []
for s in strikes:
swap = self.makeSwap(startDate,length,s,0.0,payFixed)
swaption = self.makeSwaption(swap,exerciseDate,0.20)
values.append(swaption.NPV())
if payFixed:
# NPV must decrease with strike
for i in range(1,len(values)):
if values[i] > values[i-1]:
self.fail("""
NPV is increasing with the strike in a payer swaption:
value: %8.4f at strike: %8.4f
value: %8.4f at strike: %8.4f
""" % (values[i-1],strikes[i-1]*100,
values[i], strikes[i]*100))
else:
# NPV must increase with strike
for i in range(1,len(values)):
if values[i] < values[i-1]:
self.fail("""
NPV is decreasing with the strike in a receiver swaption:
value: %8.4f at strike: %8.4f
value: %8.4f at strike: %8.4f
""" % (values[i-1],strikes[i-1]*100,
values[i], strikes[i]*100))
# check 2
def testSpreadDependency(self):
"Testing swaption dependency on spread"
for (exercise,length,payFixed) in self.cases:
exerciseDate = self.calendar.roll(self.today.plusYears(exercise))
startDate = self.calendar.advance(exerciseDate,
self.settlementDays,'days')
spreads = [-0.002, -0.001, 0.0, 0.001, 0.002]
values = []
for s in spreads:
swap = self.makeSwap(startDate,length,0.06,s,payFixed)
swaption = self.makeSwaption(swap,exerciseDate,0.20)
values.append(swaption.NPV())
if payFixed:
# NPV must increase with spread
for i in range(1,len(values)):
if values[i] < values[i-1]:
self.fail("""
NPV is decreasing with the spread in a payer swaption:
value: %8.4f for spread: %8.4f
value: %8.4f for spread: %8.4f
""" % (values[i-1],spreads[i-1]*100,
values[i], spreads[i]*100))
else:
# NPV must decrease with spread
for i in range(1,len(values)):
if values[i] > values[i-1]:
self.fail("""
NPV is increasing with the spread in a receiver swaption:
value: %8.4f for spread: %8.4f
value: %8.4f for spread: %8.4f
""" % (values[i-1],spreads[i-1]*100,
values[i], spreads[i]*100))
# check 3
def testSpreadTreatment(self):
"Testing swaption treatment of spread"
for (exercise,length,payFixed) in self.cases:
exerciseDate = self.calendar.roll(self.today.plusYears(exercise))
startDate = self.calendar.advance(exerciseDate,
self.settlementDays,'days')
spreads = [-0.002, -0.001, 0.0, 0.001, 0.002]
for s in spreads:
swap = self.makeSwap(startDate,length,0.06,s,payFixed)
correction = s*swap.floatingLegBPS()/swap.fixedLegBPS()
equivalentSwap = self.makeSwap(startDate,length,
0.06+correction,0.0,payFixed)
swaption1 = self.makeSwaption(swap,
exerciseDate,
0.20)
swaption2 = self.makeSwaption(equivalentSwap,
exerciseDate,
0.20)
if abs(swaption1.NPV()-swaption2.NPV()) > 1.0e-10:
self.fail("""
wrong spread treatment:
for spread: %8.4f
value: %8.4f
value of equivalent swaption: %8.4f
""" % (s*100,
swaption1.NPV(),
swaption2.NPV()))
# check 4
def testCachedValue(self):
"Testing swaption value against cached value"
cachedToday = Date(13,3,2002)
self.termStructure.linkTo(FlatForward('EUR',DayCounter('Act/365'),
cachedToday,self.calendar,
self.settlementDays,0.05))
exerciseDate = self.calendar.roll(cachedToday.plusYears(5))
startDate = self.calendar.advance(exerciseDate,
self.settlementDays,'days')
swap = self.makeSwap(startDate,10,0.06,0.0,1)
swaption = self.makeSwaption(swap,exerciseDate,0.20)
cachedNPV = 3.640927134082
if abs(swaption.NPV()-cachedNPV) > 1.0e-10:
self.fail("""
failed to reproduce cached value:
calculated: %18.12f
expected: %8.4f
""" % (swaption.NPV(),cachedNPV))
if __name__ == '__main__':
import QuantLib
print 'testing QuantLib', QuantLib.__version__, QuantLib.QuantLibc.__file__, QuantLib.__file__
import sys
suite = unittest.TestSuite()
suite.addTest(unittest.makeSuite(SwaptionTest,'test'))
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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