diff options
Diffstat (limited to 'python')
| -rw-r--r-- | python/analytics/index.py | 2 | ||||
| -rw-r--r-- | python/analytics/option.py | 33 | ||||
| -rw-r--r-- | python/tests/test_swaption.py | 63 |
3 files changed, 58 insertions, 40 deletions
diff --git a/python/analytics/index.py b/python/analytics/index.py index 06cd329c..4fcfc3d0 100644 --- a/python/analytics/index.py +++ b/python/analytics/index.py @@ -251,7 +251,6 @@ class ForwardIndex: else: self.forward_date = forward_date self.exercise_date_settle = pd.Timestamp(forward_date) + 3 * BDay() - self.df = index._yc.discount_factor(self.exercise_date_settle) self._update() if observer: self.index.observe(self) @@ -293,6 +292,7 @@ class ForwardIndex: return hash(tuple(getattr(self, k) for k in ForwardIndex.__slots__[:-1])) def _update(self, *args): + self.df = self.index._yc.discount_factor(self.exercise_date_settle) if self.index.value_date > self.forward_date: raise ValueError( f"Option expired: value_date {self.index.value_date}" diff --git a/python/analytics/option.py b/python/analytics/option.py index c900900f..0908e854 100644 --- a/python/analytics/option.py +++ b/python/analytics/option.py @@ -168,11 +168,26 @@ class BlackSwaption(ForwardIndex): def value_date(self, d): self.index.value_date = d strike, factor, cumloss = self._orig_params + if factor != self.index.factor: cum_recovery = 100 * (factor - self.index.factor) - ( self.index.cumloss - cumloss ) self.strike = (strike * factor - cum_recovery) / self.index.factor + else: + self._update_strike() + + def _update_strike(self, K=None): + if self.index._quote_is_price: + if K: + self._G = (100 - K) / 100 + self._strike = g( + self.index, self.index.fixed_rate, self.exercise_date, self._G + ) + else: + if K: + self._strike = K + self._G = g(self.index, self._strike, self.exercise_date) @property def exercise_date(self): @@ -182,12 +197,7 @@ class BlackSwaption(ForwardIndex): def exercise_date(self, d): self.forward_date = d ForwardIndex.__init__(self, self.index, d) - if self.index._quote_is_price: - self._strike = g( - self.index, self.index.fixed_rate, self.exercise_date, self._G - ) - else: - self._G = g(self.index, self._strike, self.exercise_date) + self._update_strike() @property def strike(self): @@ -198,14 +208,7 @@ class BlackSwaption(ForwardIndex): @strike.setter def strike(self, K): - if self.index._quote_is_price: - self._G = (100 - K) / 100 - self._strike = g( - self.index, self.index.fixed_rate, self.exercise_date, self._G - ) - else: - self._G = g(self.index, K, self.exercise_date) - self._strike = K + self._update_strike(K) @property def atm_strike(self): @@ -241,7 +244,7 @@ class BlackSwaption(ForwardIndex): def intrinsic_value(self): V = self.df * (self.forward_pv - self._G) intrinsic = max(V, 0) if self.option_type == "payer" else max(-V, 0) - return self._direction * intrinsic * self.notional + return self._direction * intrinsic * self.notional * self.index.factor def __hash__(self): return hash( diff --git a/python/tests/test_swaption.py b/python/tests/test_swaption.py index 40237b79..64b7e71c 100644 --- a/python/tests/test_swaption.py +++ b/python/tests/test_swaption.py @@ -2,14 +2,14 @@ import unittest import datetime import sys -sys.path.append('..') + +sys.path.append("..") from analytics.index import g from analytics import CreditIndex, Swaption, BlackSwaption class TestPutCallParity(unittest.TestCase): - index = CreditIndex("ig", 27, "5yr", - value_date=datetime.date(2016, 10, 25)) + index = CreditIndex("ig", 27, "5yr", value_date=datetime.date(2016, 10, 25)) index.spread = 74 exercise_date = datetime.date(2017, 3, 15) strike = 82.5 @@ -20,19 +20,23 @@ class TestPutCallParity(unittest.TestCase): payer.sigma = 0.416 receiver.sigma = 0.416 df = self.index._yc.discount_factor(payer.exercise_date_settle) - self.assertAlmostEqual(payer.pv - receiver.pv, - df * (payer.forward_pv - - g(self.index, self.strike, self.exercise_date))) + self.assertAlmostEqual( + payer.pv - receiver.pv, + df * (payer.forward_pv - g(self.index, self.strike, self.exercise_date)), + ) def test_parity_black(self): payer = BlackSwaption(self.index, self.exercise_date, self.strike) - receiver = BlackSwaption(self.index, self.exercise_date, self.strike, "receiver") + receiver = BlackSwaption( + self.index, self.exercise_date, self.strike, "receiver" + ) payer.sigma = 0.416 receiver.sigma = 0.416 df = self.index._yc.discount_factor(payer.exercise_date_settle) - self.assertAlmostEqual(payer.pv - receiver.pv, - df * (payer.forward_pv - - g(self.index, self.strike, self.exercise_date))) + self.assertAlmostEqual( + payer.pv - receiver.pv, + df * (payer.forward_pv - g(self.index, self.strike, self.exercise_date)), + ) def test_calibration(self): payer = Swaption(self.index, self.exercise_date, self.strike) @@ -43,8 +47,7 @@ class TestPutCallParity(unittest.TestCase): self.assertAlmostEqual(payer.sigma, 0.37648716) def test_hy(self): - index = CreditIndex("hy", 27, "5yr", - value_date=datetime.date(2016, 11, 8)) + index = CreditIndex("hy", 27, "5yr", value_date=datetime.date(2016, 11, 8)) index.price = 103.875 exercise_date = datetime.date(2017, 3, 15) strike = 102.5 @@ -52,44 +55,56 @@ class TestPutCallParity(unittest.TestCase): payer.pv = 1.948 * 1e-2 self.assertAlmostEqual(payer.sigma, 0.4156000826) + class TestBreakeven(unittest.TestCase): exercise_date = datetime.date(2017, 3, 15) - hyindex = CreditIndex("hy", 27, "5yr", - value_date=datetime.date(2016, 11, 16)) + hyindex = CreditIndex("hy", 27, "5yr", value_date=datetime.date(2016, 11, 16)) hyindex.price = 103.75 hystrike = 102.5 - igindex = CreditIndex("ig", 27, "5yr", - value_date=datetime.date(2016, 11, 18)) + igindex = CreditIndex("ig", 27, "5yr", value_date=datetime.date(2016, 11, 18)) igindex.spread = 76.5 igstrike = 80 def test_hypayer(self): payer = Swaption(self.hyindex, self.exercise_date, self.hystrike) - payer.sigma = .4 + payer.sigma = 0.4 payer.notional = 100_000_000 self.assertAlmostEqual(payer.breakeven, 100.67426187413359) def test_hyreceiver(self): - receiver = Swaption(self.hyindex, self.exercise_date, - self.hystrike, "receiver") - receiver.sigma = .4 + receiver = Swaption(self.hyindex, self.exercise_date, self.hystrike, "receiver") + receiver.sigma = 0.4 receiver.notional = 100_000_000 self.assertAlmostEqual(receiver.breakeven, 103.95644740397454) def test_igpayer(self): payer = Swaption(self.igindex, self.exercise_date, self.igstrike) - payer.sigma = .4 + payer.sigma = 0.4 payer.notional = 1e7 self.assertAlmostEqual(payer.breakeven, 88.366980851176223) def test_igreceiver(self): - receiver = Swaption(self.igindex, self.exercise_date, - self.igstrike, "receiver") - receiver.sigma = .4 + receiver = Swaption(self.igindex, self.exercise_date, self.igstrike, "receiver") + receiver.sigma = 0.4 receiver.notional = 1e7 self.assertAlmostEqual(receiver.breakeven, 73.71594264020226) + +class TestMoveForward(unittest.TestCase): + trade = BlackSwaption.from_tradeid(7) + + def test_move_value_date(self): + trade = BlackSwaption.from_tradeid(7) + trade.value_date = datetime.date(2017, 6, 5) + trade.mark() + ig23 = CreditIndex("IG", 28, "5yr", value_date=datetime.date(2017, 6, 5)) + trade2 = BlackSwaption(ig23, datetime.date(2017, 6, 21), 65.0) + trade2.notional = 150_000_000 + trade2.mark() + self.assertAlmostEqual(trade.pv, trade2.pv) + + if __name__ == "__main__": unittest.main() |