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import unittest
import datetime
import sys
sys.path.append('..')
from analytics.index import g
from analytics import Index, Swaption
class TestPutCallParity(unittest.TestCase):
index = Index.from_name("ig", 27, "5yr",
trade_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, payer._forward_yc)))
def test_parity_pvblack(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_black - receiver.pv_black,
df * (payer.forward_pv -
g(self.index, self.strike, self.exercise_date, payer._forward_yc)))
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, payer.pv)
self.assertAlmostEqual(payer.sigma, 0.3756828)
def test_hy(self):
index = Index.from_name("hy", 27, "5yr",
trade_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, strike_is_price = True)
payer.pv = 1.948 * 1e-2
self.assertAlmostEqual(payer.sigma, 0.4144886488)
if __name__=="__main__":
unittest.main()
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