diff options
Diffstat (limited to 'python/exploration/test_cms.py')
| -rw-r--r-- | python/exploration/test_cms.py | 16 |
1 files changed, 8 insertions, 8 deletions
diff --git a/python/exploration/test_cms.py b/python/exploration/test_cms.py index 57677b43..10a04084 100644 --- a/python/exploration/test_cms.py +++ b/python/exploration/test_cms.py @@ -2,8 +2,8 @@ from analytics.cms_spread import ( quantlib_model, globeop_model, build_spread_index, VolatilityType) from yieldcurve import YC import pandas as pd - -cms30y2y, yc = build_spread_index(30, 2) +from quantlib.time.api import Date +swap_index_30y2y, yc = build_spread_index(30, 2) cap = 0.00758 corr = 0.8 r = [] @@ -11,16 +11,16 @@ maturity = pd.Timestamp("2020-01-19") today = pd.Timestamp.today() for d in pd.bdate_range("2018-01-19", today, closed="left", normalize=True): + d = pd.Timestamp("2018-01-19") yc.link_to(YC(evaluation_date=d.date())) yc.extrapolation = True if d == pd.Timestamp("2018-02-16"): continue - cms_spread_coupon_ln = quantlib_model(d, cms30y2y, yc, cap, corr, maturity) + capped_floored_cms_spread_coupon_ln = \ + quantlib_model(d, swap_index_30y2y, yc, cap, corr, maturity) rate1 = cms_spread_coupon_ln.rate - cms_spread_coupon_n = quantlib_model(d, cms30y2y, yc, cap, corr, maturity, + cms_spread_coupon_n = quantlib_model(d, swap_index_30y2y, yc, cap, corr, maturity, VolatilityType.Normal) rate2 = cms_spread_coupon_n.rate - rate3 = globeop_model(d, cms30y2y, yc, cap, corr - 0.075, maturity) - r.append((d, rate1, rate2, rate3)) - -df = pd.DataFrame(r, columns=['date', 'QL_ln', 'QL_n', 'Globeop']).set_index('date') + rate3 = globeop_model(d, swap_index_30y2y, yc, cap, corr - 0.075, maturity) +# df = pd.DataFrame(r, columns=['date', 'QL_ln', 'QL_n', 'Globeop']).set_index('date') |