diff options
Diffstat (limited to 'python')
| -rw-r--r-- | python/swaption.py | 42 |
1 files changed, 24 insertions, 18 deletions
diff --git a/python/swaption.py b/python/swaption.py index 305e7e51..88ae5543 100644 --- a/python/swaption.py +++ b/python/swaption.py @@ -85,7 +85,8 @@ class Index(): """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, + + a = self._fee_leg.pv(self.trade_date, step_in_date, value_date, self._yc, self._sc, False) Delta = self._fee_leg.accrued(step_in_date) df = self._yc.discount_factor(value_date) @@ -109,6 +110,9 @@ class Index(): def spread(self, s: float): """ s: spread in bps """ self._spread = s * 1e-4 + self._update() + + 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]), @@ -161,25 +165,26 @@ class Index(): for rh in self._helpers: rh.quote += 1e-4 self._yc = ql_to_jp(self._ql_yc) - self.spread = self.spread ## to force recomputation + self._update() new_pv = self.pv for r in self._helpers: r.quote -= 1e-4 self._yc = old_yc - self.spread = self.spread + self._update() return new_pv - old_pv @property def rec_risk(self): old_pv = self.pv - self.recovery -= 0.01 - self.spread = self.spread + old_recovery = self.recovery + self.recovery = old_recovery - 0.01 + self._update() pv_minus = self.pv - self.recovery += 0.02 - self.spread = self.spread + self.recovery = old_recovery + 0.01 + self._update() pv_plus = self.pv - self.recovery -= 0.01 - self.spread = self.spread + self.recovery = old_recovery + self._update() return (pv_plus - pv_minus)/2 @property @@ -206,7 +211,7 @@ class Index(): 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.spread = self.spread + self._update() @classmethod def from_name(cls, index, series, tenor, trade_date = datetime.date.today(), @@ -244,10 +249,11 @@ class Index(): "{:<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{:>8,.2f}".format("Price", self.price, "Spread DV01", self.DV01), - "{:<20}\t{:>15,.0f}\t\t{:<20}\t{:>8,.2f}".format("Principal", self.clean_pv, "IR DV01", self.IRDV01), - "{:<20}\t{:>15,.0f}\t\t{:<20}\t{:>8,.2f}".format(accrued_str, self.accrued, "Rec Risk (1%)", self.rec_risk), - "{:<20}\t{:>15,.0f}\t\t{:<20}\t{:>8,.2f}".format("Cash Amount", self.pv, "Def Exposure", self.rec_risk)] + "{:<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.notional*(1-self.recovery)-self.clean_pv)] return "\n".join(s) def year_frac(d1, d2, day_count_conv = "Actual/365"): @@ -421,8 +427,8 @@ def option(index, exercise_date, sigma, K, option_type="payer"): if __name__ == "__main__": import datetime from swaption import Index, Option - ig26_5yr = Index.from_name('ig', 26, '5yr', datetime.date(2016, 8, 19)) - ig26_5yr.spread = 70 - payer = Option(ig26_5yr, datetime.date(2016, 9, 21), 70) + ig27_5yr = Index.from_name('ig', 27, '5yr', datetime.date(2016, 10, 21)) + ig27_5yr.spread = 74 + payer = Option(ig27_5yr, datetime.date(2017, 3, 15), 75) payer.sigma = 0.4847 - payer.notional = 100e6 + payer.notional = 10e6 |