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# Copyright (C) 2004, 2005, 2006, 2007 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/license.shtml>.
#
# 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)]),
Period(n,unit), settlementDays,
calendar, ModifiedFollowing,
False, settlementDays, 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, False,
settlementDays, 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
fixedLegTenor = Period(1,Years)
fixedLegAdjustment = Unadjusted
fixedLegDayCounter = Thirty360()
floatingLegFrequency = Semiannual
floatingLegTenor = Period(6,Months)
floatingLegAdjustment = ModifiedFollowing
swapHelpers = [ SwapRateHelper(QuoteHandle(swaps[(n,unit)]),
Period(n,unit), calendar,
fixedLegFrequency, fixedLegAdjustment,
fixedLegDayCounter, Euribor6M())
for n, unit in swaps.keys() ]
# term structure handles
discountTermStructure = RelinkableYieldTermStructureHandle()
forecastTermStructure = RelinkableYieldTermStructureHandle()
# 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
swapEngine = DiscountingSwapEngine(discountTermStructure)
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 = Euribor6M(forecastTermStructure)
floatingLegAdjustment = ModifiedFollowing
floatingLegDayCounter = index.dayCounter()
fixedSchedule = Schedule(settlementDate, maturity,
fixedLegTenor, calendar,
fixedLegAdjustment, fixedLegAdjustment,
DateGeneration.Forward, False)
floatingSchedule = Schedule(settlementDate, maturity,
floatingLegTenor, calendar,
floatingLegAdjustment, floatingLegAdjustment,
DateGeneration.Forward, False)
spot = VanillaSwap(VanillaSwap.Payer, nominal,
fixedSchedule, fixedRate, fixedLegDayCounter,
floatingSchedule, index, spread,
floatingLegDayCounter)
spot.setPricingEngine(swapEngine)
forwardStart = calendar.advance(settlementDate,1,Years)
forwardEnd = calendar.advance(forwardStart,length,Years)
fixedSchedule = Schedule(forwardStart, forwardEnd,
fixedLegTenor, calendar,
fixedLegAdjustment, fixedLegAdjustment,
DateGeneration.Forward, False)
floatingSchedule = Schedule(forwardStart, forwardEnd,
floatingLegTenor, calendar,
floatingLegAdjustment, floatingLegAdjustment,
DateGeneration.Forward, False)
forward = VanillaSwap(VanillaSwap.Payer, nominal,
fixedSchedule, fixedRate, fixedLegDayCounter,
floatingSchedule, index, spread,
floatingLegDayCounter)
forward.setPricingEngine(swapEngine)
# 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')
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