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"""
Copyright (C) 2021 Marcin Rybacki
Copyright (C) 2023 Marcin Rybacki
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 unittest
import QuantLib as ql
EPSILON = 1.e-8
CAL = ql.TARGET()
DCT = ql.Actual365Fixed()
IR_FIXINGS = [(ql.Date(3, ql.January, 2023), 0.033),
(ql.Date(4, ql.January, 2023), 0.033),
(ql.Date(5, ql.January, 2023), 0.033),
(ql.Date(6, ql.January, 2023), 0.033),
(ql.Date(9, ql.January, 2023), 0.03),
(ql.Date(10, ql.January, 2023), 0.03),
(ql.Date(11, ql.January, 2023), 0.03),
(ql.Date(12, ql.January, 2023), 0.03),
(ql.Date(13, ql.January, 2023), 0.03),
(ql.Date(17, ql.January, 2023), 0.03),
(ql.Date(20, ql.January, 2023), 0.03),
(ql.Date(23, ql.January, 2023), 0.03),
(ql.Date(24, ql.January, 2023), 0.03),
(ql.Date(25, ql.January, 2023), 0.03),
(ql.Date(26, ql.January, 2023), 0.03)]
def flat_rate(rate):
return ql.FlatForward(
2, CAL, ql.makeQuoteHandle(rate), ql.Actual365Fixed())
class ZeroCouponSwapTest(unittest.TestCase):
def setUp(self):
valuation_date = CAL.adjust(ql.Date(1, ql.June, 2021))
ql.Settings.instance().evaluationDate = valuation_date
self.nominal_ts_handle = ql.YieldTermStructureHandle(flat_rate(0.007))
self.ibor_idx = ql.Euribor6M(self.nominal_ts_handle)
self.engine = ql.DiscountingSwapEngine(self.nominal_ts_handle)
def build_zcs_from_fixed_payment(self, amount):
return ql.ZeroCouponSwap(ql.Swap.Receiver,
1.0e6,
ql.Date(3, ql.June, 2021),
ql.Date(3, ql.June, 2051),
amount,
self.ibor_idx,
CAL)
def build_zcs_from_rate(self, rate):
return ql.ZeroCouponSwap(ql.Swap.Receiver,
1.0e6,
ql.Date(3, ql.June, 2021),
ql.Date(3, ql.June, 2051),
rate,
DCT,
self.ibor_idx,
CAL)
def test_zero_coupon_swap_inspectors(self):
"""Testing zero coupon swap inspectors"""
swap = self.build_zcs_from_fixed_payment(1.5e6)
fail_msg = "Unable to replicate the properties of a ZC swap."
self.assertEqual(swap.type(), ql.Swap.Receiver,
msg=fail_msg)
self.assertEqual(swap.startDate(), ql.Date(3, ql.June, 2021),
msg=fail_msg)
self.assertEqual(swap.maturityDate(), ql.Date(3, ql.June, 2051),
msg=fail_msg)
self.assertAlmostEqual(swap.baseNominal(), 1.0e6,
delta=EPSILON, msg=fail_msg)
self.assertAlmostEqual(swap.fixedPayment(), 1.5e6,
delta=EPSILON, msg=fail_msg)
def test_npvs_of_par_zero_coupon_swap_with_fixed_payment(self):
"""Testing NPVs of a zero coupon swap with fixed payment"""
swap = self.build_zcs_from_fixed_payment(1.5e6)
swap.setPricingEngine(self.engine)
fair_payment = swap.fairFixedPayment()
par_swap = self.build_zcs_from_fixed_payment(fair_payment)
par_swap.setPricingEngine(self.engine)
npv = par_swap.NPV()
fail_npv_msg = """ Unable to replicate par zero coupon swap NPV:
calculated: {actual}
expected: {expected}
""".format(actual=npv,
expected=0.0)
self.assertAlmostEqual(npv, 0.0, delta=EPSILON, msg=fail_npv_msg)
fxd_leg_npv = par_swap.fixedLegNPV()
flt_leg_npv = par_swap.floatingLegNPV()
fail_legs_npv_msg = """ Unable to replicate the NPVs of a par zero coupon swap legs:
fixed leg NPV: {fxd_leg}
floating leg NPV: {flt_leg}
""".format(fxd_leg=fxd_leg_npv,
flt_leg=flt_leg_npv)
self.assertAlmostEqual(abs(fxd_leg_npv), abs(flt_leg_npv),
delta=EPSILON,
msg=fail_legs_npv_msg)
def test_npvs_of_par_zero_coupon_swap_with_fixed_rate(self):
"""Testing NPVs of a zero coupon swap with fixed rate"""
swap = self.build_zcs_from_fixed_payment(1.5e6)
swap.setPricingEngine(self.engine)
fair_rate = swap.fairFixedRate(DCT)
par_swap = self.build_zcs_from_rate(fair_rate)
par_swap.setPricingEngine(self.engine)
npv = par_swap.NPV()
fail_msg = """ Unable to replicate par zero coupon swap NPV:
calculated: {actual}
expected: {expected}
""".format(actual=npv,
expected=0.0)
self.assertAlmostEqual(npv, 0.0, delta=EPSILON, msg=fail_msg)
def test_zero_coupon_swap_legs(self):
"""Testing zero coupon swap legs"""
swap = self.build_zcs_from_rate(0.01)
fxd_leg = swap.fixedLeg()
fxd_cf = ql.as_fixed_rate_coupon(fxd_leg[0])
fail_msg_fxd = """Fixed leg cash flow type should be FixedRateCoupon
but was {actual}.
""".format(actual=type(fxd_cf))
self.assertTrue(isinstance(fxd_cf, ql.FixedRateCoupon),
msg=fail_msg_fxd)
flt_leg = swap.floatingLeg()
flt_cf = ql.as_sub_periods_coupon(flt_leg[0])
fail_msg_flt = """Floating leg cash flow type should be SubPeriodsCoupon
but was {actual}.
""".format(actual=type(flt_cf))
self.assertTrue(isinstance(
flt_cf, ql.SubPeriodsCoupon), msg=fail_msg_flt)
class EquityTotalReturnSwapTest(unittest.TestCase):
def setUp(self):
valuation_date = ql.Date(27, ql.January, 2023)
ql.Settings.instance().evaluationDate = valuation_date
self.interest_handle = ql.YieldTermStructureHandle(flat_rate(0.03))
self.dividend_handle = ql.YieldTermStructureHandle(flat_rate(0.0))
equity_spot = ql.makeQuoteHandle(8690.0)
self.equity_idx = ql.EquityIndex(
"eq_idx",
CAL,
ql.Currency(),
self.interest_handle,
self.dividend_handle,
equity_spot)
ql.IndexManager.instance().clearHistory(self.equity_idx.name())
self.equity_idx.addFixing(ql.Date(5, ql.January, 2023), 9010.0)
self.ibor_idx = ql.USDLibor(
ql.Period(3, ql.Months), self.interest_handle)
ql.IndexManager.instance().clearHistory(self.ibor_idx.name())
self.sofr_idx = ql.Sofr(self.interest_handle)
ql.IndexManager.instance().clearHistory(self.sofr_idx.name())
for f_dt, f_val in IR_FIXINGS:
self.ibor_idx.addFixing(f_dt, f_val)
self.sofr_idx.addFixing(f_dt, f_val)
def build_trs(self, interest_idx, start, end, margin=0.025):
schedule = ql.Schedule(
start,
end,
interest_idx.tenor(),
interest_idx.fixingCalendar(),
interest_idx.businessDayConvention(),
interest_idx.businessDayConvention(),
ql.DateGeneration.Backward,
False)
return ql.EquityTotalReturnSwap(ql.Swap.Receiver,
1.0e6,
schedule,
self.equity_idx,
interest_idx,
DCT,
margin)
def test_trs_interest_rate_index(self):
"""Testing equity total return swap interest rate index"""
start = ql.Date(5, ql.January, 2023)
end = ql.Date(5, ql.April, 2023)
trs_vs_ibor = self.build_trs(self.ibor_idx, start, end)
trs_vs_sofr = self.build_trs(self.sofr_idx, start, end)
fail_msg = "Incorrect interest rate index set to TRS."
self.assertEqual(trs_vs_ibor.interestRateIndex().name(),
"USDLibor3M Actual/360",
msg=fail_msg)
self.assertEqual(trs_vs_sofr.interestRateIndex().name(),
"SOFRON Actual/360",
msg=fail_msg)
def test_trs_npv(self):
"""Testing equity total return swap NPV"""
start = ql.Date(5, ql.January, 2023)
end = ql.Date(5, ql.April, 2023)
pricer = ql.DiscountingSwapEngine(self.interest_handle)
trs_vs_ibor = self.build_trs(self.ibor_idx, start, end)
trs_vs_ibor.setPricingEngine(pricer)
trs_vs_sofr = self.build_trs(self.sofr_idx, start, end)
trs_vs_sofr.setPricingEngine(pricer)
par_trs_vs_ibor = self.build_trs(
self.ibor_idx, start, end, trs_vs_ibor.fairMargin())
par_trs_vs_ibor.setPricingEngine(pricer)
par_trs_vs_sofr = self.build_trs(
self.sofr_idx, start, end, trs_vs_sofr.fairMargin())
par_trs_vs_sofr.setPricingEngine(pricer)
fail_msg = "Par TRS expected to have NPV equal to zero."
self.assertAlmostEqual(
par_trs_vs_ibor.NPV(), 0.0, delta=EPSILON, msg=fail_msg)
self.assertAlmostEqual(
par_trs_vs_sofr.NPV(), 0.0, delta=EPSILON, msg=fail_msg)
if __name__ == '__main__':
print("testing QuantLib", ql.__version__)
unittest.main(verbosity=2)
|
