diff options
Diffstat (limited to 'python/tests/test_cms_spread.py')
| -rw-r--r-- | python/tests/test_cms_spread.py | 128 |
1 files changed, 80 insertions, 48 deletions
diff --git a/python/tests/test_cms_spread.py b/python/tests/test_cms_spread.py index dbf3f218..777aee86 100644 --- a/python/tests/test_cms_spread.py +++ b/python/tests/test_cms_spread.py @@ -2,37 +2,46 @@ import datetime import math import numpy as np import unittest -from analytics.cms_spread import ( - build_spread_index, VolatilityType, - get_swaption_vol_data, get_swaption_vol_matrix, get_cms_coupons, - get_params, _call_integrand, h_call, h_put, CmsSpread) +from serenitas.analytics.cms_spread import ( + build_spread_index, + VolatilityType, + get_swaption_vol_data, + get_swaption_vol_matrix, + get_cms_coupons, + get_params, + _call_integrand, + h_call, + h_put, + CmsSpread, +) from quantlib.quotes import SimpleQuote -from quantlib.time.api import (Actual365Fixed, Days, Date, ModifiedFollowing, - Period, Years) -from yieldcurve import YC -from quantlib.cashflows.conundrum_pricer import ( - AnalyticHaganPricer, YieldCurveModel) -from quantlib.experimental.coupons.cms_spread_coupon import ( - CappedFlooredCmsSpreadCoupon) +from quantlib.time.api import ( + Actual365Fixed, + Days, + Date, + ModifiedFollowing, + Period, + Years, +) +from serenitas.analytics.yieldcurve import YC +from quantlib.cashflows.conundrum_pricer import AnalyticHaganPricer, YieldCurveModel +from quantlib.experimental.coupons.cms_spread_coupon import CappedFlooredCmsSpreadCoupon from quantlib.experimental.coupons.lognormal_cmsspread_pricer import ( - LognormalCmsSpreadPricer) + LognormalCmsSpreadPricer, +) from scipy.special import roots_hermitenorm from scipy.integrate import quad import ctypes -class TestCmsSpread(unittest.TestCase): +class TestCmsSpread(unittest.TestCase): def setUp(self): self.trade_date = datetime.date(2018, 1, 19) option_tenor = Period(2, Years) maturity = Date.from_datetime(self.trade_date) + Period(2, Years) spread_index, self.yc = build_spread_index(30, 2) - fixing_date = (spread_index. - fixing_calendar. - adjust(maturity, ModifiedFollowing)) - payment_date = (spread_index. - fixing_calendar. - advance(fixing_date, 2, Days)) + fixing_date = spread_index.fixing_calendar.adjust(maturity, ModifiedFollowing) + payment_date = spread_index.fixing_calendar.advance(fixing_date, 2, Days) accrued_end_date = payment_date accrued_start_date = accrued_end_date - Period(1, Years) @@ -46,21 +55,22 @@ class TestCmsSpread(unittest.TestCase): end_date=accrued_end_date, fixing_days=spread_index.fixing_days, index=spread_index, - gearing=1., + gearing=1.0, spread=-self.cap, - floor=0., + floor=0.0, day_counter=Actual365Fixed(), - is_in_arrears=True) + is_in_arrears=True, + ) - self.cms2y, self.cms30y = get_cms_coupons(self.trade_date, - self.notional, - option_tenor, - spread_index) + self.cms2y, self.cms30y = get_cms_coupons( + self.trade_date, self.notional, option_tenor, spread_index + ) evaluation_date = datetime.date(2018, 8, 23) self.yc.link_to(YC(evaluation_date=evaluation_date, extrapolation=True)) self.yc.extrapolation = True - date, surf = get_swaption_vol_data(date=evaluation_date, - vol_type=VolatilityType.ShiftedLognormal) + date, surf = get_swaption_vol_data( + date=evaluation_date, vol_type=VolatilityType.ShiftedLognormal + ) atm_vol = get_swaption_vol_matrix(evaluation_date, surf) μ = SimpleQuote(0.1) self.ρ = SimpleQuote(0.8) @@ -69,55 +79,77 @@ class TestCmsSpread(unittest.TestCase): self.cms30y.set_pricer(self.cms_pricer) self.params = get_params(self.cms2y, self.cms30y, atm_vol) cms_spread_pricer = LognormalCmsSpreadPricer( - self.cms_pricer, - self.ρ, - integration_points=20) + self.cms_pricer, self.ρ, integration_points=20 + ) self.cms30y2y_cap.set_pricer(cms_spread_pricer) def test_black_model(self): x, w = roots_hermitenorm(16) - val_call = 1 / math.sqrt(2 * math.pi) * np.dot(w, - h_call(x, self.cap, *self.params, self.ρ.value)) - val_put = 1 / math.sqrt(2 * math.pi) * np.dot(w, - h_put(x, self.cap, *self.params, self.ρ.value)) - self.assertAlmostEqual(self.cms30y2y_cap.rate, - val_call) + val_call = ( + 1 + / math.sqrt(2 * math.pi) + * np.dot(w, h_call(x, self.cap, *self.params, self.ρ.value)) + ) + val_put = ( + 1 + / math.sqrt(2 * math.pi) + * np.dot(w, h_put(x, self.cap, *self.params, self.ρ.value)) + ) + self.assertAlmostEqual(self.cms30y2y_cap.rate, val_call) self.assertAlmostEqual(-self.cms30y2y_cap.underlying.rate, val_put - val_call) - self.assertAlmostEqual(self.cms30y.rate - self.cms2y.rate - self.cap, - self.cms30y2y_cap.underlying.rate) + self.assertAlmostEqual( + self.cms30y.rate - self.cms2y.rate - self.cap, + self.cms30y2y_cap.underlying.rate, + ) def test_h1_hcall(self): args = (self.cap, *self.params, self.ρ.value) h1_capsule = _call_integrand.function ctypes.pythonapi.PyCapsule_GetPointer.restype = ctypes.c_void_p - ctypes.pythonapi.PyCapsule_GetPointer.argtypes = [ctypes.py_object, ctypes.c_char_p] - ptr_type = ctypes.CFUNCTYPE(ctypes.c_double, ctypes.c_int, ctypes.POINTER(ctypes.c_double)) + ctypes.pythonapi.PyCapsule_GetPointer.argtypes = [ + ctypes.py_object, + ctypes.c_char_p, + ] + ptr_type = ctypes.CFUNCTYPE( + ctypes.c_double, ctypes.c_int, ctypes.POINTER(ctypes.c_double) + ) # Get the function pointer from the capsule "capsule_mul" - h1_fun = ptr_type(ctypes.pythonapi.PyCapsule_GetPointer(h1_capsule, b"double (int, double *)")) + h1_fun = ptr_type( + ctypes.pythonapi.PyCapsule_GetPointer(h1_capsule, b"double (int, double *)") + ) x = np.linspace(-5, 5, 11) - b = h_call(x, *args) * np.exp(-0.5* x * x) + b = h_call(x, *args) * np.exp(-0.5 * x * x) i = 0 for x in np.linspace(-5, 5, 11): full_args = np.array((x, *args)) a = h1_fun(9, full_args.ctypes.data_as(ctypes.POINTER(ctypes.c_double))) self.assertAlmostEqual(a, b[i]) - i+= 1 + i += 1 def test_scipy_integrate(self): x, w = roots_hermitenorm(20) val_call = np.dot(w, h_call(x, self.cap, *self.params, self.ρ.value)) args = (self.cap, *self.params, self.ρ.value) - val, _ = quad(_call_integrand, -np.inf, np.inf, args=(self.cap, *self.params, self.ρ.value)) + val, _ = quad( + _call_integrand, + -np.inf, + np.inf, + args=(self.cap, *self.params, self.ρ.value), + ) self.assertAlmostEqual(val, val_call) def test_CmsSpread(self): - trade = CmsSpread(None, 2, 30, 0.0075835, Period(2, Years), value_date=self.trade_date) + trade = CmsSpread( + None, 2, 30, 0.0075835, Period(2, Years), value_date=self.trade_date + ) trade1 = CmsSpread.from_tradeid(1) trade.value_date = datetime.date(2018, 8, 23) trade1.value_date = datetime.date(2018, 8, 23) - self.assertAlmostEqual(self.cms30y2y_cap.rate * 1e8 * self.yc.discount(self.cms2y.fixing_date), - trade.pv) + self.assertAlmostEqual( + self.cms30y2y_cap.rate * 1e8 * self.yc.discount(self.cms2y.fixing_date), + trade.pv, + ) self.assertAlmostEqual(trade.pv, trade1.pv) |