diff options
Diffstat (limited to 'python/swaption.py')
| -rw-r--r-- | python/swaption.py | 312 |
1 files changed, 11 insertions, 301 deletions
diff --git a/python/swaption.py b/python/swaption.py index c85a9b12..68486cc8 100644 --- a/python/swaption.py +++ b/python/swaption.py @@ -1,308 +1,15 @@ -from pyisda.legs import ContingentLeg, FeeLeg from pyisda.flat_hazard import strike_vec -from pyisda.curve import YieldCurve, BadDay, SpreadCurve -from yieldcurve import YC, ql_to_jp, roll_yc, rate_helpers -from pyisda.cdsone import upfront_charge -from quantlib.settings import Settings from quantlib.time.api import Date import array -import math from scipy.optimize import brentq from scipy.integrate import simps -import numpy as np import datetime -from tranche_functions import GHquad +import numpy as np import pandas as pd from pandas.tseries.offsets import BDay -from db import dbconn -from psycopg2 import DataError -from dates import prev_immdate - +from tranche_functions import GHquad +from yieldcurve import roll_yc from scipy.stats import norm -from termcolor import colored -serenitasdb = dbconn('serenitasdb') - -class Index(): - """ minimal class to represent a credit index """ - def __init__(self, start_date, end_date, recovery, fixed_rate, - notional = 10e6): - """ - start_date : :class:`datetime.date` - index start_date (Could be issue date, or last imm date) - end_date : :class:`datetime.date` - index last date - recovery : - recovery rate (between 0 and 1) - fixed_rate : - fixed coupon (in bps) - """ - self.fixed_rate = fixed_rate - self.notional = notional - self._start_date = start_date - self._end_date = end_date - self.recovery = recovery - - self._fee_leg = FeeLeg(start_date, end_date, True, 1, 1) - self._default_leg = ContingentLeg(start_date, end_date, 1) - self._trade_date = None - self._yc = None - self._risky_annuity = None - self._spread = None - self.name = None - - @property - def start_date(self): - return self._start_date - - @property - def end_date(self): - return self._end_date - - @start_date.setter - def start_date(self, d): - self._fee_leg = FeeLeg(d, self.end_date, True, 1, 1) - self._default_leg = ContingentLeg(d, self.end_date, 1) - self._start_date = d - - @end_date.setter - def end_date(self, d): - self._fee_leg = FeeLeg(self.start_date, d, True, 1, 1) - self._default_leg = ContingentLeg(self.start_date, d, 1) - self._end_date = d - - def forward_annuity(self, exercise_date): - step_in_date = exercise_date + datetime.timedelta(days=1) - value_date = (pd.Timestamp(exercise_date) + 3* BDay()).date() - a = self._fee_leg.pv(self.trade_date, step_in_date, self._value_date, - self._yc, self._sc, False) - Delta = self._fee_leg.accrued(step_in_date) - df = self._yc.discount_factor(value_date) - if exercise_date > self.trade_date: - q = math.exp(-self.flat_hazard * year_frac(self._step_in_date, exercise_date)) - else: - q = 1 - return a - Delta * df * q - - def forward_pv(self, exercise_date): - """This is default adjusted forward price at time exercise_date""" - step_in_date = exercise_date + datetime.timedelta(days=1) - value_date = (pd.Timestamp(exercise_date) + 3* BDay()).date() - a = self._fee_leg.pv(self.trade_date, step_in_date, self._value_date, - self._yc, self._sc, False) - Delta = self._fee_leg.accrued(step_in_date) - df = self._yc.discount_factor(value_date) - if exercise_date > self.trade_date: - q = math.exp(-self.flat_hazard * (year_frac(self.trade_date, exercise_date))) - else: - q = 1 - clean_forward_annuity = a - Delta * df * q - dl_pv = self._default_leg.pv( - self.trade_date, step_in_date, self._value_date, - self._yc, self._sc, self.recovery) - forward_price = self.notional * (dl_pv - clean_forward_annuity * self.fixed_rate*1e-4) - fep = self.notional * (1 - self.recovery) * (1 - q) - return forward_price * self._yc.discount_factor(self._value_date) / df + fep - - @property - def spread(self): - return self._spread * 1e4 - - def _update(self): - self._sc = SpreadCurve(self.trade_date, self._yc, self.start_date, - self._step_in_date, self._value_date, - [self.end_date], array.array('d', [self._spread]), - self.recovery) - self._risky_annuity = self._fee_leg.pv(self.trade_date, self._step_in_date, - self._value_date, self._yc, - self._sc, False) - self._dl_pv = self._default_leg.pv( - self.trade_date, self._step_in_date, self._value_date, - self._yc, self._sc, self.recovery) - self._pv = self._dl_pv - self._risky_annuity * self.fixed_rate * 1e-4 - self._clean_pv = self._pv + self._accrued * self.fixed_rate * 1e-4 - self._price = 100 * (1 - self._clean_pv) - - @spread.setter - def spread(self, s: float): - """ s: spread in bps """ - self._spread = s * 1e-4 - self._update() - - @property - def flat_hazard(self): - sc_data = self._sc.inspect()['data'] - ## conversion to continuous compounding - return math.log(1 + sc_data[0][1]) - - @property - def pv(self): - return self.notional * self._pv - - @property - def accrued(self): - return - self.notional * self._accrued * self.fixed_rate * 1e-4 - - @property - def days_accrued(self): - return int(self._accrued * 360) - - @property - def clean_pv(self): - return self.notional * self._clean_pv - - @property - def price(self): - return self._price - - @price.setter - def price(self, val): - pass - - @property - def DV01(self): - old_pv = self.pv - self.spread += 1 - dv01 = self.pv - old_pv - self.spread -= 1 - return dv01 - - @property - def IRDV01(self): - old_pv = self.pv - old_yc = self._yc - for rh in self._helpers: - rh.quote += 1e-4 - self._yc = ql_to_jp(self._ql_yc) - self._update() ## to force recomputation - new_pv = self.pv - for r in self._helpers: - r.quote -= 1e-4 - self._yc = old_yc - self._update() - return new_pv - old_pv - - @property - def rec_risk(self): - old_pv = self.pv - old_recovery = self.recovery - self.recovery = old_recovery - 0.01 - self._update() - pv_minus = self.pv - self.recovery = old_recovery + 0.01 - self._update() - pv_plus = self.pv - self.recovery = old_recovery - self._update() - return (pv_plus - pv_minus)/2 - - @property - def jump_to_default(self): - return self.notional * (1 - self.recovery) - self.clean_pv - - @property - def risky_annuity(self): - return self._risky_annuity - self._accrued - - @property - def trade_date(self): - if self._trade_date is None: - raise AttributeError('Please set trade_date first') - else: - return self._trade_date - - @trade_date.setter - def trade_date(self, d): - self.start_date = prev_immdate(pd.Timestamp(d)).date() - settings = Settings() - settings.evaluation_date = Date.from_datetime(d) - self._helpers = rate_helpers(self.currency) - self._ql_yc = YC(self._helpers) - self._yc = ql_to_jp(self._ql_yc) - self._trade_date = d - self._step_in_date = self.trade_date + datetime.timedelta(days=1) - self._accrued = self._fee_leg.accrued(self._step_in_date) - self._value_date = (pd.Timestamp(self._trade_date) + 3* BDay()).date() - if self._spread is not None: - self._update() - - @classmethod - def from_name(cls, index, series, tenor, trade_date = datetime.date.today(), - notional = 10e6): - try: - with serenitasdb.cursor() as c: - c.execute("SELECT maturity, coupon FROM index_maturity " \ - "WHERE index=%s AND series=%s AND tenor = %s", - (index.upper(), series, tenor)) - maturity, coupon = next(c) - except DataError as e: - raise - else: - recovery = 0.4 if index.lower() == "ig" else 0.3 - start_date = prev_immdate(pd.Timestamp(trade_date)).date() - instance = cls(start_date, maturity, recovery, coupon) - instance.name = "MARKIT CDX.NA.{}.{} {:%m/%y} ".format( - index.upper(), - series, - maturity) - if index.upper() in ["IG", "HY"]: - instance.currency = "USD" - else: - instance.currency = "EUR" - instance.notional = notional - instance.trade_date = trade_date - return instance - - def __repr__(self): - if self.days_accrued > 1: - accrued_str = "Accrued ({} Days)".format(self.days_accrued) - else: - accrued_str = "Accrued ({} Day)".format(self.days_accrued) - s = ["{:<20}\t{:>15}".format("CDS Index", colored(self.name, attrs = ['bold'])), - "", - "{:<20}\t{:>15}".format("Trade Date", ('{:%m/%d/%y}'. - format(self.trade_date))), - "{:<20}\t{:>15.2f}\t\t{:<20}\t{:>10,.2f}".format("Trd Sprd (bp)", - self.spread, - "Coupon (bp)", - self.fixed_rate), - "{:<20}\t{:>15.2f}\t\t{:<20}\t{:>10}".format("1st Accr Start", - self.spread, - "Payment Freq", - "Quarterly"), - "{:<20}\t{:>15}\t\t{:<20}\t{:>10.2f}".format("Maturity Date", - ('{:%m/%d/%y}'. - format(self.end_date)), - "Rec Rate", - self.recovery), - "{:<20}\t{:>15}\t\t{:<20}\t{:>10}".format("Bus Day Adj", - "Following", - "Day Count", - "ACT/360"), - "", - colored("Calculator", attrs = ['bold']), - "{:<20}\t{:>15}".format("Valuation Date", ('{:%m/%d/%y}'. - format(self.trade_date))), - "{:<20}\t{:>15}".format("Cash Settled On", ('{:%m/%d/%y}'. - format(self._value_date))), - "", - "{:<20}\t{:>15.8f}\t\t{:<20}\t{:>10,.2f}".format("Price", - self.price, - "Spread DV01", - self.DV01), - "{:<20}\t{:>15,.0f}\t\t{:<20}\t{:>10,.2f}".format("Principal", - self.clean_pv, - "IR DV01", - self.IRDV01), - "{:<20}\t{:>15,.0f}\t\t{:<20}\t{:>10,.2f}".format(accrued_str, - self.accrued, - "Rec Risk (1%)", - self.rec_risk), - "{:<20}\t{:>15,.0f}\t\t{:<20}\t{:>10,.0f}".format("Cash Amount", - self.pv, - "Def Exposure", - self.jump_to_default) - ] - return "\n".join(s) def year_frac(d1, d2, day_count_conv = "Actual/365"): """ compute the year fraction between two dates """ @@ -311,7 +18,6 @@ def year_frac(d1, d2, day_count_conv = "Actual/365"): elif day_count_conv.lower() in ["actual/360", "act/360"]: return (d2-d1).days/360 - def calib(S0, fp, exercise_date, exercise_date_settle, index, rolled_curve, tilt, w): S = S0 * tilt * 1e-4 @@ -388,6 +94,7 @@ class Option: b *= eta S0 = brentq(calib, a, b, args) + G = g(self.index, self.strike, self.exercise_date) if T == 0: pv = self.notional * (g(self.index, self.index.spread, self.exercise_date) - G) @@ -397,7 +104,8 @@ class Option: return - pv if self.index.spread < self.strike else 0 Zstar = (math.log(self.strike/S0) + self.sigma**2/2 * T) / \ - (self.sigma * math.sqrt(T)) + (self.sigma * math.sqrt(T)) + if self.option_type == "payer": Z = Zstar + np.logspace(0, 1.5, 300) - 1 elif self.option_type == "receiver": @@ -514,9 +222,11 @@ def option(index, exercise_date, sigma, K, option_type="payer"): if __name__ == "__main__": import datetime - from swaption import Index, Option + from analytics import Index + from swaption import Option + ig27_5yr = Index.from_name('ig', 27, '5yr', datetime.date(2016, 10, 24)) ig27_5yr.spread = 74 - payer = Option(ig27_5yr, datetime.date(2017, 3, 15), 75) - payer.sigma = 0.4847 + payer = Option(ig27_5yr, datetime.date(2016, 12, 21), 65) + payer.sigma = 0.428 payer.notional = 10e6 |