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from pyisda.curve import YieldCurve, BadDay, SpreadCurve
import datetime
import math
from pyisda.cdsone import upfront_charge, spread_from_upfront
from pyisda.legs import FeeLeg, ContingentLeg
from pyisda.utils import build_yc
import array
if __name__ == "__main__":
# build zero coupon curve
today_date = datetime.date(2016, 7, 12)
yc = build_yc(today_date, True)
step_in_date = today_date + datetime.timedelta(days=1)
value_date = datetime.date(2016, 7, 15) # settle_date
start_date = datetime.date(2016, 6, 20)
end_date = datetime.date(2021, 6, 20)
upfront_quote = -0.03063
spread = spread_from_upfront(
today_date,
value_date,
start_date,
step_in_date,
start_date,
end_date,
0.05,
yc,
upfront_quote,
0.3,
)
# benchmark_start_date should be start_date. Not sure while there are 2 parameters
upf = upfront_charge(
today_date,
value_date,
start_date,
step_in_date,
start_date,
end_date,
0.05,
yc,
spread,
0.3,
)
print(spread)
print(upf - upfront_quote)
coupon_leg = FeeLeg(start_date, end_date, True, 1000000, 0.01)
contingent_leg = ContingentLeg(start_date, end_date, 1000000)
ig_spread = 0.0070
spread = array.array("d", [ig_spread])
recovery = array.array("d", [0.4])
upfront = array.array("d", [-0.0164243])
print("build spread curve", flush=True)
sc = SpreadCurve(
today_date,
yc,
start_date,
step_in_date,
value_date,
[end_date],
spread,
upfront,
recovery,
True,
)
sc_data = sc.inspect()["data"]
rate = sc_data[0][1]
# by default the rate is stored as annually compounded
continuous_rate = math.log(1 + rate)
sc2 = SpreadCurve.from_flat_hazard(today_date, continuous_rate)
coupon_leg_pv = coupon_leg.pv(today_date, step_in_date, value_date, yc, sc, True)
coupon_leg_pv2 = coupon_leg.pv(today_date, step_in_date, value_date, yc, sc2, True)
print("contingent leg pv", flush=True)
contingent_leg_pv = contingent_leg.pv(
today_date, step_in_date, value_date, yc, sc, 0.4
)
contingent_leg_pv2 = contingent_leg.pv(
today_date, step_in_date, value_date, yc, sc2, 0.4
)
print("upfront_charge", flush=True)
pv = 1000000 * upfront_charge(
today_date,
value_date,
start_date,
step_in_date,
start_date,
end_date,
0.01,
yc,
ig_spread,
0.4,
)
print(pv, contingent_leg_pv - coupon_leg_pv)
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