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import unittest
import datetime
import sys
sys.path.append('..')
from analytics.index import g
from analytics import Index, Swaption, BlackSwaption
class TestPutCallParity(unittest.TestCase):
index = Index.from_name("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 = Index.from_name("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 = Index.from_name("hy", 27, "5yr",
value_date=datetime.date(2016, 11, 16))
hyindex.price = 103.75
hystrike = 102.5
igindex = Index.from_name("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.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.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.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.notional = 1e7
self.assertAlmostEqual(receiver.breakeven, 73.715942707132982)
if __name__=="__main__":
unittest.main()
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