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import unittest
import datetime
from serenitas.analytics.index import g
from serenitas.analytics.api import CreditIndex, Swaption, BlackSwaption
class TestPutCallParity(unittest.TestCase):
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
def test_parity(self):
payer = Swaption(self.index, self.exercise_date, self.strike)
receiver = Swaption(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)),
)
def test_parity_black(self):
payer = BlackSwaption(self.index, self.exercise_date, self.strike)
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)),
)
def test_calibration(self):
payer = Swaption(self.index, self.exercise_date, self.strike)
payer.sigma = 0.2
pv = 30 * 1e-4
payer.pv = pv
self.assertAlmostEqual(payer.pv, pv)
self.assertAlmostEqual(payer.sigma, 0.37648716)
def test_hy(self):
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
payer = Swaption(index, exercise_date, strike)
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.price = 103.75
hystrike = 102.5
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 = 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 = 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 = 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 = 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)
class TestDifferentVersion(unittest.TestCase):
trade = BlackSwaption.from_tradeid(342)
def test_build_from_scratch(self):
self.trade.value_date = datetime.date(2022, 10, 12)
index = CreditIndex(
redcode="2I65BRZG8",
maturity=datetime.date(2027, 6, 20),
notional=25_000_000,
value_date=datetime.date(2022, 10, 12),
)
new_trade = BlackSwaption(
index, datetime.date(2022, 11, 16), 94.0, "payer", "Short"
)
new_trade.notional = 25_000_000
self.assertAlmostEqual(self.trade._G, new_trade._G)
self.assertAlmostEqual(self.trade._strike, new_trade._strike)
self.trade.mark()
new_trade.mark()
self.assertAlmostEqual(self.trade.pv, new_trade.pv)
if __name__ == "__main__":
unittest.main()
|
