diff options
Diffstat (limited to 'python')
| -rw-r--r-- | python/exploration/test_swaption.py | 45 |
1 files changed, 38 insertions, 7 deletions
diff --git a/python/exploration/test_swaption.py b/python/exploration/test_swaption.py index acaec705..b2e3eb77 100644 --- a/python/exploration/test_swaption.py +++ b/python/exploration/test_swaption.py @@ -1,18 +1,49 @@ -from quantlib.time.api import Date, Period, Years -from yieldcurve import YC +import datetime +from yieldcurve import YC, rate_helpers from quantlib.indexes.swap.usd_libor_swap import UsdLiborSwapIsdaFixAm from quantlib.instruments.make_swaption import MakeSwaption from quantlib.pricingengines.api import BlackSwaptionEngine from quantlib.instruments.swap import Receiver +from quantlib.time.api import Period, Years, Date, Days +from quantlib.settings import Settings -yc = YC() +helpers = rate_helpers("USD", evaluation_date=datetime.date.today()) +yc = YC(helpers) index1 = UsdLiborSwapIsdaFixAm(Period(2, Years), yc) index2 = UsdLiborSwapIsdaFixAm(Period(10, Years), yc) -swaption1 = (MakeSwaption(index1, Period(2, Years), strike=0.0206). - with_underlying_type(Receiver)()) +swaption1 = (MakeSwaption(index1, Period(2, Years), strike=0.020805). + with_underlying_type(Receiver). + with_nominal(10_000_000)()) swaption2 = (MakeSwaption(index2, Period(10, Years), strike=0.0212). - with_underlying_type(Receiver)()) -pe1 = BlackSwaptionEngine(yc, 0.2987) + with_underlying_type(Receiver). + with_nominal(10_000_000)()) +pe1 = BlackSwaptionEngine(yc, 0.2815) pe2 = BlackSwaptionEngine(yc, 0.2830) swaption1.set_pricing_engine(pe1) swaption2.set_pricing_engine(pe2) + + +def theta(swaption): + old_pv = swaption.npv + evaluation_date = Settings().evaluation_date + Settings().evaluation_date = evaluation_date + Period(1, Days) + theta = swaption.npv - old_pv + Settings().evaluation_date = evaluation_date + return theta + + +def dv01(swaption, helpers): + old_pv = swaption.npv + old_quotes = [rh.quote for rh in helpers] + for rh in helpers: + rh.quote += 1e-4 + dv01 = old_pv - swaption.npv + for rh, q in zip(helpers, old_quotes): + rh.quote = q + return dv01 + + +print("NPV: ", swaption1.npv) +print("DV01: ", dv01(swaption1, helpers)) +print("theta: ", theta(swaption1)) +print("vega: ", swaption1.vega / 100) |