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from quantlib.time.api import (
WeekendsOnly,
today,
Years,
Months,
Period,
Date,
Actual365Fixed,
Actual360,
Quarterly,
Following,
Unadjusted,
Schedule,
Rule,
)
from quantlib.instruments.api import CreditDefaultSwap, Side
from quantlib.pricingengines.credit.isda_cds_engine import (
IsdaCdsEngine,
ForwardsInCouponPeriod,
NumericalFix,
AccrualBias,
)
from quantlib.termstructures.credit.api import (
SpreadCdsHelper,
PiecewiseDefaultCurve,
FlatHazardRate,
)
from quantlib.settings import Settings
from serenitas.analytics.yieldcurve import YC, rate_helpers
from pyisda.curve import SpreadCurve
from pyisda.utils import build_yc
from pyisda.legs import ContingentLeg, FeeLeg
import datetime
import array
import math
def snac_pv(spread, term_date, fixed_coupon=0.01, recovery=0.4, ts=YC()):
settings = Settings()
calendar = WeekendsOnly()
cds_helper = SpreadCdsHelper(
spread,
Period(57, Months),
1,
calendar,
Quarterly,
Following,
Rule.CDS,
Actual360(),
recovery,
ts,
lastperiod=Actual360(True),
)
cds_helper.set_isda_engine_parameters(
int(NumericalFix.Taylor),
int(AccrualBias.HalfDayBias),
int(ForwardsInCouponPeriod.Flat),
)
pdc = PiecewiseDefaultCurve(
"SurvivalProbability",
"LogLinear",
settings.evaluation_date,
[cds_helper],
Actual365Fixed(),
)
isda_pricer = IsdaCdsEngine(
pdc,
recovery,
ts,
False,
forwards_in_coupon_period=ForwardsInCouponPeriod.Piecewise,
accrual_bias=AccrualBias.HalfDayBias,
)
protect_start = settings.evaluation_date + 1
cds_schedule = Schedule(
protect_start,
term_date,
Period(Quarterly),
calendar,
Following,
Unadjusted,
Rule.CDS,
)
cds_trade = CreditDefaultSwap(
Side.BUYER,
100,
fixed_coupon,
cds_schedule,
Following,
Actual360(),
protection_start=protect_start,
last_period_day_counter=Actual360(True),
)
cds_trade.set_pricing_engine(isda_pricer)
return cds_trade, cds_helper, isda_pricer
def jpmorgan_curves(trade_date, value_date, start_date, end_date, spread, recovery=0.4):
yc = build_yc(trade_date, True)
step_in_date = trade_date + datetime.timedelta(days=1)
spread = array.array("d", [spread])
recovery = array.array("d", [recovery])
sc = SpreadCurve(
trade_date,
yc,
start_date,
step_in_date,
value_date,
[end_date],
spread,
recovery,
True,
)
return yc, sc
if __name__ == "__main__":
settings = Settings()
settings.evaluation_date = Date(21, 5, 2009)
yield_helpers = rate_helpers()
ts = YC(helpers=yield_helpers)
tenor = Period(5, Years)
trade_date = datetime.date(2009, 5, 21)
stepin_date = trade_date + datetime.timedelta(days=1)
value_date = datetime.date(2009, 5, 26)
term_date = datetime.date(2019, 6, 20)
start_date = datetime.date(2009, 3, 20)
spread = 0.001
yc, sc = jpmorgan_curves(
trade_date, value_date, start_date, term_date, spread, recovery=0.4
)
sc_data = sc.inspect()["data"]
hazard_rate = math.log(1 + sc_data[0][1])
contingent_leg = ContingentLeg(start_date, term_date, 10000000)
fee_leg = FeeLeg(start_date, term_date, True, 10000000, 0.01)
flat_curve = FlatHazardRate(0, WeekendsOnly(), hazard_rate, Actual365Fixed())
cds_schedule = Schedule(
Date.from_datetime(trade_date),
Date.from_datetime(term_date),
Period(Quarterly),
WeekendsOnly(),
Following,
Unadjusted,
Rule.CDS,
)
cds_trade = CreditDefaultSwap.from_upfront(
Side.BUYER,
10000000,
0.0,
0.01,
cds_schedule,
Following,
Actual360(),
protection_start=Date.from_datetime(trade_date) + 1,
last_period_day_counter=Actual360(True),
)
isda_pricer = IsdaCdsEngine(
flat_curve,
0.4,
ts,
accrual_bias=AccrualBias.HalfDayBias,
forwards_in_coupon_period=ForwardsInCouponPeriod.Piecewise,
)
# 795915.9787
cds_trade.set_pricing_engine(isda_pricer)
cds_trade2 = CreditDefaultSwap(
Side.BUYER,
10000000,
spread,
cds_schedule,
Following,
Actual360(),
protection_start=Date.from_datetime(trade_date) + 1,
last_period_day_counter=Actual360(True),
)
# h = cds_trade2.implied_hazard_rate(0., ts)
h = 0.00168276528775
flat_curve2 = FlatHazardRate(0, WeekendsOnly(), h, Actual365Fixed())
isda_pricer2 = IsdaCdsEngine(flat_curve2, 0.4, ts)
cds_trade.set_pricing_engine(isda_pricer2)
print(cds_trade.fair_upfront)
# hazard_rate = 0.12649393489974806
# cds_trade.set_pricing_engine(isda_pricer)
# cds_trade2 = CreditDefaultSwap.from_upfront(BUYER, 10000000, 0., 0.01, cds_schedule,
# Following, Actual360(),
# protection_start = Date.from_datetime(trade_date) + 1,
# last_period_day_counter = Actual360(True))
# cds_trade3 = CreditDefaultSwap(BUYER, 10000000, 0.05, cds_schedule,
# Following, Actual360(),
# protection_start = Date.from_datetime(trade_date) + 1,
# last_period_day_counter = Actual360(True))
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