diff options
| -rw-r--r-- | python/test_upfront_cds.py | 114 |
1 files changed, 99 insertions, 15 deletions
diff --git a/python/test_upfront_cds.py b/python/test_upfront_cds.py index 1575d7fc..1782ddc5 100644 --- a/python/test_upfront_cds.py +++ b/python/test_upfront_cds.py @@ -1,18 +1,102 @@ -from quantlib.time.api import (calendar_from_name, May, - Period, Date, Actual365Fixed, - Actual360, Quarterly, Following) -from quantlib.time.schedule import CDS +from quantlib.time.api import (WeekendsOnly, today, Years, Months, + Period, Date, Actual365Fixed, Actual360, + Quarterly, Following, Unadjusted, Schedule, + CDS, pydate_from_qldate) +from quantlib.instruments.api import CreditDefaultSwap, SELLER, BUYER +from quantlib.pricingengines.credit.isda_cds_engine import ( + IsdaCdsEngine, ForwardsInCouponPeriod, NumericalFix, AccrualBias) +from quantlib.termstructures.default_term_structure import DefaultProbabilityTermStructure +from quantlib.termstructures.credit.api import ( + UpfrontCdsHelper, SpreadCdsHelper, PiecewiseDefaultCurve, FlatHazardRate) from quantlib.settings import Settings -from quantlib.termstructures.credit.api import UpfrontCdsHelper -from yieldcurve import YC -calendar = calendar_from_name('WO') +from yieldcurve import YC, rate_helpers, getMarkitIRData +import pandas as pd +from pyisda.curve import YieldCurve, BadDay, SpreadCurve +from pyisda.utils import build_yc +from pyisda.cdsone import upfront_charge +from pyisda.legs import ContingentLeg, FeeLeg +import datetime +import array +import math +import numpy as np -todays_date = Date(26, May, 2016) -ts = YC() +def snac_pv(spread, term_date, fixed_coupon=0.01, recovery=0.4, ts=YC()): + settings = Settings() + calendar = WeekendsOnly() + cds_helper = SpreadCdsHelper(spread, Period(57, Months), 1, calendar, + Quarterly, Following, CDS, Actual360(), recovery, ts, + lastperiod = Actual360(True)) + cds_helper.set_isda_engine_parameters(int(NumericalFix.Taylor), int(AccrualBias.HalfDayBias), + int(ForwardsInCouponPeriod.Flat)) + pdc = PiecewiseDefaultCurve("SurvivalProbability", "LogLinear", + settings.evaluation_date, [cds_helper], Actual365Fixed()) + isda_pricer = IsdaCdsEngine(pdc, recovery, ts, False, + forwards_in_coupon_period=ForwardsInCouponPeriod.Piecewise, + accrual_bias=AccrualBias.HalfDayBias) + protect_start = settings.evaluation_date + 1 + cds_schedule = Schedule(protect_start, term_date, Period(Quarterly), calendar, + Following, Unadjusted, CDS) + cds_trade = CreditDefaultSwap(BUYER, 100, fixed_coupon, cds_schedule, Following, Actual360(), + protection_start = protect_start, + last_period_day_counter = Actual360(True)) + cds_trade.set_pricing_engine(isda_pricer) + return cds_trade, cds_helper, isda_pricer -Settings.instance().evaluation_date = todays_date -recovery_rate = 0.4 -running_spread = 0.05 -tenor = Period("5Y") -cds = UpfrontCdsHelper(0.01, running_spread, tenor, 0, calendar, Quarterly, Following, - CDS, Actual360(), recovery_rate, ts) +def jpmorgan_curves(trade_date, value_date, start_date, end_date, spread, recovery=0.4): + yc = build_yc(trade_date, True) + step_in_date = trade_date + datetime.timedelta(days=1) + spread = array.array('d', [spread]) + sc = SpreadCurve(trade_date, yc, start_date, step_in_date, + value_date, [term_date], spread, recovery, True) + return yc, sc + +if __name__=="__main__": + settings = Settings() + settings.evaluation_date = Date(21, 5, 2009) + yield_helpers = rate_helpers() + ts = YC(helpers = yield_helpers) + tenor = Period(5, Years) + trade_date = datetime.date(2009, 5, 21) + stepin_date = trade_date + datetime.timedelta(days=1) + value_date = datetime.date(2009, 5, 26) + term_date = datetime.date(2019, 6, 20) + start_date = datetime.date(2009, 3, 20) + spread = 0.001 + yc, sc = jpmorgan_curves(trade_date, value_date, start_date, term_date, spread, recovery = 0.4) + sc_data = sc.inspect()['data'] + hazard_rate = math.log(1 + sc_data[0][1]) + contingent_leg = ContingentLeg(start_date, term_date, 10000000) + fee_leg = FeeLeg(start_date, term_date, True, 10000000, 0.01) + + flat_curve = FlatHazardRate(0, WeekendsOnly(), hazard_rate, Actual365Fixed()) + cds_schedule = Schedule(Date.from_datetime(trade_date), Date.from_datetime(term_date), + Period(Quarterly), WeekendsOnly(), + Following, Unadjusted, CDS) + cds_trade = CreditDefaultSwap.from_upfront(BUYER, 10000000, 0., 0.01, cds_schedule, Following, Actual360(), + protection_start = Date.from_datetime(trade_date) + 1, + last_period_day_counter = Actual360(True)) + isda_pricer = IsdaCdsEngine(flat_curve, 0.4, ts, accrual_bias=AccrualBias.HalfDayBias, + forwards_in_coupon_period = ForwardsInCouponPeriod.Piecewise) + #795915.9787 + cds_trade.set_pricing_engine(isda_pricer) + + cds_trade2 = CreditDefaultSwap(BUYER, 10000000, spread, cds_schedule, Following, Actual360(), + protection_start = Date.from_datetime(trade_date) + 1, + last_period_day_counter = Actual360(True)) + #h = cds_trade2.implied_hazard_rate(0., ts) + h = 0.00168276528775 + flat_curve2 = FlatHazardRate(0, WeekendsOnly(), h, Actual365Fixed()) + isda_pricer2 = IsdaCdsEngine(flat_curve2, 0.4, ts) + cds_trade.set_pricing_engine(isda_pricer2) + print(cds_trade.fair_upfront) + #hazard_rate = 0.12649393489974806 + + # cds_trade.set_pricing_engine(isda_pricer) + # cds_trade2 = CreditDefaultSwap.from_upfront(BUYER, 10000000, 0., 0.01, cds_schedule, + # Following, Actual360(), + # protection_start = Date.from_datetime(trade_date) + 1, + # last_period_day_counter = Actual360(True)) + # cds_trade3 = CreditDefaultSwap(BUYER, 10000000, 0.05, cds_schedule, + # Following, Actual360(), + # protection_start = Date.from_datetime(trade_date) + 1, + # last_period_day_counter = Actual360(True)) |