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# coding=utf-8-unix
"""
Copyright (C) 2016 Wojciech Ślusarski
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
<https://www.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.
"""
import QuantLib as ql
import unittest
class CapFloorTest(unittest.TestCase):
def setUp(self):
self.today_date = ql.Date(9, 9, 2016)
self.settlement_days = 2
self.notional = 1e4
self.calendar = ql.TARGET()
self.flat_forward_rate = 0.01
self.rate_day_counter = ql.Actual360()
self.flat_forward = ql.FlatForward(self.today_date,
self.flat_forward_rate,
self.rate_day_counter,
ql.Continuous, ql.Annual)
self.term_structure_handle = \
ql.RelinkableYieldTermStructureHandle(self.flat_forward)
self.interpolation = ql.Linear()
self.start_date = ql.Date(13, 9, 2016)
self.maturity_date = ql.Date(13, 9, 2017)
self.period = ql.Period(6, ql.Months)
self.buss_convention = ql.ModifiedFollowing
self.date_gen_rule = ql.DateGeneration.Forward
self.eom_rule = False
self.schedule = ql.Schedule(self.start_date,
self.maturity_date,
self.period,
self.calendar,
self.buss_convention,
self.buss_convention,
self.date_gen_rule,
self.eom_rule)
ql.Settings.instance().evaluationDate = self.today_date
self.ibor_index = ql.Euribor(self.period, self.term_structure_handle)
self.ibor_index.addFixing(ql.Date(9, 9, 2016), 0.01)
self.ibor_leg = ql.IborLeg([self.notional],
self.schedule,
self.ibor_index)
self.strike = 0.01
self.cap = ql.Cap(self.ibor_leg, [self.strike])
self.cap_npv = 8.54
self.black_vol = ql.makeQuoteHandle(0.6)
def tearDown(self):
ql.Settings.instance().evaluationDate = ql.Date()
def testBlackCapFloorEngine(self):
""" Testing BlackCapFloorEngine """
black_engine = ql.BlackCapFloorEngine(self.term_structure_handle,
self.black_vol)
self.cap.setPricingEngine(black_engine)
npv = self.cap.NPV()
self.assertAlmostEqual(npv, self.cap_npv,
places=1, msg="NPV method is broken")
vol_guess = 0.5
imp_vol = self.cap.impliedVolatility(npv,
self.term_structure_handle,
vol_guess)
self.assertAlmostEqual(self.black_vol.value(),
imp_vol, places=4,
msg="Implied volatility method is broken")
def testBachelierCapFloorEngine(self):
""" Testing BachelierCapFloorEngine """
bpvol = self.black_vol.value() * self.flat_forward_rate
bachelier_engine = ql.BachelierCapFloorEngine(self.term_structure_handle,
ql.makeQuoteHandle(bpvol))
self.cap.setPricingEngine(bachelier_engine)
# 50 bps
vol_guess = 50 / 1e4
imp_vol = self.cap.impliedVolatility(self.cap_npv,
self.term_structure_handle,
vol_guess,
type=ql.Normal)
self.assertAlmostEqual(bpvol, imp_vol, places=4,
msg="Normal Implied volatility method is broken")
if __name__ == '__main__':
print("testing QuantLib", ql.__version__)
unittest.main(verbosity=2)
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