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""" Unittests for the CDS related classes. """
from quantlib.settings import Settings
from quantlib.quotes import SimpleQuote
from quantlib.termstructures.yields.api import FlatForward
from quantlib.termstructures.credit.api import SpreadCdsHelper, UpfrontCdsHelper, PiecewiseDefaultCurve
from quantlib.time.api import (UnitedStates, Date, Actual365Fixed, Following, Quarterly,
TwentiethIMM, March, Period)
from yieldcurve import YC
import pdb
def create_helper():
calendar = UnitedStates()
todays_date = Date(31, March, 2014)
Settings.instance().evaluation_date = todays_date
recovery_rate = 0.4
upfronts = [0.01, 0.02, 0.04, 0.06]
tenors = [Period(str(i) +"Yr") for i in [2, 3, 5, 7]]
tenors = Period("2Yr")
ts_curve = YC()
helpers = UpfrontCdsHelper(0.05, 0.05, tenors, 0, calendar, Quarterly,
Following, TwentiethIMM, Actual365Fixed(),
recovery_rate, ts_curve)
pdb.set_trace()
#trait = ['HazardRate', 'DefaultDensity', 'SurvivalProbability']:
#interpolator = ['Linear', 'LogLinear', 'BackwardFlat']:
curve = PiecewiseDefaultCurve('HazardRate','BackwardFlat',
reference_date=todays_date,
helpers=[helpers], daycounter=Actual365Fixed())
print(curve.survival_probability(Date(10, 3, 2015)))
return curve
if __name__=="__main__":
curve = create_helper()
prob = curve.survival_probability(Date(10, 3, 2017))
pdb.set_trace()
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