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Diffstat (limited to 'python/test_upfront_cds.py')
| -rw-r--r-- | python/test_upfront_cds.py | 102 |
1 files changed, 0 insertions, 102 deletions
diff --git a/python/test_upfront_cds.py b/python/test_upfront_cds.py deleted file mode 100644 index 1782ddc5..00000000 --- a/python/test_upfront_cds.py +++ /dev/null @@ -1,102 +0,0 @@ -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 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 - -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 - -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)) |