diff options
Diffstat (limited to 'python/analytics')
| -rw-r--r-- | python/analytics/cms_spread.py | 19 |
1 files changed, 18 insertions, 1 deletions
diff --git a/python/analytics/cms_spread.py b/python/analytics/cms_spread.py index 49a59c71..71b8f601 100644 --- a/python/analytics/cms_spread.py +++ b/python/analytics/cms_spread.py @@ -12,8 +12,14 @@ from quantlib.time.api import ( from quantlib.time.calendars.united_states import GovernmentBond from quantlib.indexes.swap.usd_libor_swap import UsdLiborSwapIsdaFixAm from quantlib.experimental.coupons.swap_spread_index import SwapSpreadIndex +from quantlib.experimental.coupons.lognormal_cmsspread_pricer import \ + LognormalCmsSpreadPricer from quantlib.termstructures.volatility.api import ( VolatilityType, SwaptionVolatilityMatrix) +from quantlib.cashflows.conundrum_pricer import ( + YieldCurveModel, NumericHaganPricer, AnalyticHaganPricer) +from quantlib.quotes import SimpleQuote + from quantlib.math.matrix import Matrix from scipy.interpolate import RectBivariateSpline from yieldcurve import YC @@ -92,8 +98,10 @@ def get_swaption_vol_surface(date, data, vol_type): def get_swaption_vol_matrix(date, data, vol_type): # figure out what to do with nan calendar = UnitedStates() + data= np.delete(data, 3, axis=0) m = Matrix.from_ndarray(data) - option_tenors = [Period(i, Months) for i in [1, 3, 6, 9]] + \ + print(m.to_ndarray()) + option_tenors = [Period(i, Months) for i in [1, 3, 6]] + \ [Period(i, Years) for i in range(1, 11)] + \ [Period(i, Years) for i in [15, 20, 25, 30]] swap_tenors = option_tenors[-14:] @@ -107,6 +115,15 @@ def get_swaption_vol_matrix(date, data, vol_type): Actual365Fixed(), vol_type=vol_type)) +def quantlib_model(atm_vol, model, vol_type, corr): + pricer = NumericHaganPricer(atm_vol, model, SimpleQuote(0.)) + yc = YC() + cmsspread_pricer = LognormalCmsSpreadPricer(pricer, + SimpleQuote(corr), + yc, + vol_type=vol_type) + return cmsspread_pricer + def plot_surf(surf, tenors): xx, yy = np.meshgrid(tenors, tenors[-14:]) fig = plt.figure() |