Python Settings.evaluation_date方法代码示例

# 需要导入模块: from quantlib.settings import Settings [as 别名]
# 或者: from quantlib.settings.Settings import evaluation_date [as 别名]
    def test_zero_curve(self):
        rate_helpers = build_helpers()
        settings = Settings()

        calendar = TARGET()

        # must be a business Days
        dtObs = date(2007, 4, 27)
        eval_date = calendar.adjust(pydate_to_qldate(dtObs))
        settings.evaluation_date = eval_date

        settlement_days = 2
        settlement_date = calendar.advance(eval_date, settlement_days, Days)
        # must be a business day
        settlement_date = calendar.adjust(settlement_date)

        ts_day_counter = ActualActual(ISDA)
        tolerance = 1.0e-2

        ts = PiecewiseYieldCurve('discount',
                                 'loglinear',
                                 settlement_date,
                                 rate_helpers,
                                 ts_day_counter,
                                 tolerance)

        # max_date raises an exception...
        ts.extrapolation = True
        zr = ts.zero_rate(Date(10, 5, 2027), ts_day_counter, 2)
        self.assertAlmostEqual(zr.rate, 0.0539332)

# 需要导入模块: from quantlib.settings import Settings [as 别名]
# 或者: from quantlib.settings.Settings import evaluation_date [as 别名]
    def test_bump_yieldcurve(self):
        settings = Settings()
        settings.evaluation_date = Date(6, 10, 2016)

        # Market information
        calendar = TARGET()

        quotes = [SimpleQuote(0.0096), SimpleQuote(0.0145), SimpleQuote(0.0194)]
        tenors =  [3, 6, 12]

        deposit_day_counter = Actual365Fixed()
        convention = ModifiedFollowing
        end_of_month = True
        fixing_days = 3
        rate_helpers = [DepositRateHelper(
            quote, Period(month, Months), fixing_days, calendar, convention, end_of_month,
            deposit_day_counter) for quote, month in zip(quotes, tenors)]

        ts_day_counter = ActualActual(ISDA)

        tolerance = 1.0e-15

        ts = PiecewiseYieldCurve(
            BootstrapTrait.Discount, Interpolator.LogLinear, 2, calendar, rate_helpers,
            ts_day_counter, tolerance
        )
        old_discount = ts.discount(ts.max_date)
        # parallel shift of 1 bps
        for rh in rate_helpers:
            rh.quote.value += 1e-4
        self.assertEqual([q.value for q in quotes], [rh.quote.value for rh in rate_helpers])
        new_discount = ts.discount(ts.max_date)
        self.assertTrue(new_discount < old_discount)

# 需要导入模块: from quantlib.settings import Settings [as 别名]
# 或者: from quantlib.settings.Settings import evaluation_date [as 别名]
    def bootstrap_term_structure(self, interpolator=Interpolator.LogLinear):
        tolerance = 1.0e-15
        settings = Settings()
        calendar = JointCalendar(UnitedStates(), UnitedKingdom())
        # must be a business day
        eval_date = self._eval_date
        settings.evaluation_date = eval_date
        settlement_days = self._params.settlement_days
        settlement_date = calendar.advance(eval_date, settlement_days, Days)
        # must be a business day
        settlement_date = calendar.adjust(settlement_date)
        ts = PiecewiseYieldCurve.from_reference_date(
            BootstrapTrait.Discount,
            interpolator,
            settlement_date,
            self._rate_helpers,
            DayCounter.from_name(self._termstructure_daycount),
            tolerance,
        )
        self._term_structure = ts
        self._discount_term_structure = YieldTermStructure()
        self._discount_term_structure.link_to(ts)

        self._forecast_term_structure = YieldTermStructure()
        self._forecast_term_structure.link_to(ts)

        return ts

# 需要导入模块: from quantlib.settings import Settings [as 别名]
# 或者: from quantlib.settings.Settings import evaluation_date [as 别名]
    def test_extrapolation(self):
        rate_helpers = build_helpers()
        settings = Settings()

        calendar = TARGET()

        # must be a business Days
        dtObs = date(2007, 4, 27)
        eval_date = calendar.adjust(pydate_to_qldate(dtObs))
        settings.evaluation_date = eval_date

        settlement_days = 2
        settlement_date = calendar.advance(eval_date, settlement_days, Days)
        # must be a business day
        settlement_date = calendar.adjust(settlement_date)

        print('dt Obs: %s\ndt Eval: %s\ndt Settle: %s' %
              (dtObs, eval_date, settlement_date))
        ts_day_counter = ActualActual(ISDA)
        tolerance = 1.0e-2

        ts = PiecewiseYieldCurve.from_reference_date(BootstrapTrait.Discount,
                                 Interpolator.LogLinear,
                                 settlement_date,
                                 rate_helpers,
                                 ts_day_counter,
                                 tolerance)

        # max_date raises an exception without extrapolaiton...
        self.assertFalse(ts.extrapolation)
        with self.assertRaises(RuntimeError) as ctx:
            ts.discount(ts.max_date + 1)
        self.assertTrue(str(ctx.exception) in (
            "time (30.011) is past max curve time (30.0082)",
            "1st iteration: failed at 2nd alive instrument"))

# 需要导入模块: from quantlib.settings import Settings [as 别名]
# 或者: from quantlib.settings.Settings import evaluation_date [as 别名]
    def setUp(self):
        settlement_date = today()

        settings = Settings()
        settings.evaluation_date = settlement_date

        daycounter = ActualActual()
        self.calendar = NullCalendar()

        i_rate = .1
        i_div = .04

        self.risk_free_ts = flat_rate(i_rate, daycounter)
        self.dividend_ts = flat_rate(i_div, daycounter)

        self.s0 = SimpleQuote(32.0)

        # Bates model

        self.v0 = 0.05
        self.kappa = 5.0
        self.theta = 0.05
        self.sigma = 1.0e-4
        self.rho = 0.0
        self.Lambda = .1
        self.nu = .01
        self.delta = .001

# 需要导入模块: from quantlib.settings import Settings [as 别名]
# 或者: from quantlib.settings.Settings import evaluation_date [as 别名]
    def test_extrapolation(self):
        rate_helpers = build_helpers()
        settings = Settings()

        calendar = TARGET()

        # must be a business Days
        dtObs = date(2007, 4, 27)
        eval_date = calendar.adjust(pydate_to_qldate(dtObs))
        settings.evaluation_date = eval_date

        settlement_days = 2
        settlement_date = calendar.advance(eval_date, settlement_days, Days)
        # must be a business day
        settlement_date = calendar.adjust(settlement_date)

        print('dt Obs: %s\ndt Eval: %s\ndt Settle: %s' %
              (dtObs, eval_date, settlement_date))
        ts_day_counter = ActualActual(ISDA)
        tolerance = 1.0e-2

        ts = PiecewiseYieldCurve('discount',
                                 'loglinear',
                                 settlement_date,
                                 rate_helpers,
                                 ts_day_counter,
                                 tolerance)

        # max_date raises an exception without extrapolaiton...
        self.assertFalse(ts.extrapolation)
        with self.assertRaisesRegexp(RuntimeError,
                                     "1st iteration: failed at 2nd alive instrument"):
            dtMax = ts.max_date

# 需要导入模块: from quantlib.settings import Settings [as 别名]
# 或者: from quantlib.settings.Settings import evaluation_date [as 别名]
    def test_discount_curve(self):
        settings = Settings()
        settings.evaluation_date = Date(6, 10, 2016)

        # Market information
        calendar = TARGET()

        quotes = [SimpleQuote(0.0096), SimpleQuote(0.0145), SimpleQuote(0.0194)]
        tenors =  [3, 6, 12]

        deposit_day_counter = Actual365Fixed()
        convention = ModifiedFollowing
        end_of_month = True
        fixing_days = 3
        rate_helpers = [DepositRateHelper(
            quote, Period(month, Months), fixing_days, calendar, convention, end_of_month,
            deposit_day_counter) for quote, month in zip(quotes, tenors)]

        ts_day_counter = ActualActual(ISDA)

        tolerance = 1.0e-15

        ts = PiecewiseYieldCurve(
            BootstrapTrait.ForwardRate, Interpolator.BackwardFlat, 2, calendar, rate_helpers,
            ts_day_counter, tolerance
        )

        dates = [rh.latest_date for rh in rate_helpers]
        dfs = [ts.discount(d) for d in dates]
        dates.insert(0, ts.reference_date)
        dfs.insert(0, 1)
        ts_discount = DiscountCurve(dates, dfs, ts_day_counter, calendar)
        self.assertTrue(ts.discount(0.75), ts_discount.discount(0.75))

# 需要导入模块: from quantlib.settings import Settings [as 别名]
# 或者: from quantlib.settings.Settings import evaluation_date [as 别名]
 def _set_evaluation_date(self, dt_obs):
     if(~isinstance(dt_obs, Date)):
         dt_obs = pydate_to_qldate(dt_obs)
     settings = Settings()
     calendar = JointCalendar(UnitedStates(), UnitedKingdom())
     # must be a business day
     eval_date = calendar.adjust(dt_obs)
     settings.evaluation_date = eval_date
     self._eval_date = eval_date
     return eval_date

# 需要导入模块: from quantlib.settings import Settings [as 别名]
# 或者: from quantlib.settings.Settings import evaluation_date [as 别名]
def zbt_libor_yield(instruments, yields, pricing_date,
                    basis='Actual/Actual (Bond)',
                    compounding_freq='Continuous',
                    maturity_dates=None):
    """
    Bootstrap a zero-coupon curve from libor rates and swap yields

    Args:

    insruments:    list of instruments, of the form Libor?M for Libor rates
                   and Swap?Y for swap rates
    yields:        market rates
    pricing_date:  the date where market data is observed. Settlement
                   is by default 2 days after pricing_date

    Optional:

    compounding_frequency: ... of zero-coupon rates. By default:
                   'Continuous'

    Returns:

    zero_rate:     zero-coupon rate
    maturity_date: ... of corresponding rate
    """

    calendar = TARGET()

    settings = Settings()
    # must be a business day
    eval_date = calendar.adjust(pydate_to_qldate(pricing_date))
    settings.evaluation_date = eval_date

    rates = dict(zip(instruments, yields))
    ts = make_term_structure(rates, pricing_date)

    cnt = DayCounter.from_name(basis)

    if maturity_dates is None:
        # schedule of maturity dates from settlement date to last date on
        # the term structure

        s = Schedule(effective_date=ts.reference_date,
                     termination_date=ts.max_date,
                     tenor=Period(1, Months),
                     calendar=TARGET())
        maturity_dates = [qldate_to_pydate(dt) for dt in s.dates()]

    cp_freq = compounding_from_name(compounding_freq)
    zc = [ts.zero_rate(date=pydate_to_qldate(dt),
                       day_counter=cnt,
                       compounding=cp_freq).rate for dt in maturity_dates]

    return (maturity_dates, zc)

# 需要导入模块: from quantlib.settings import Settings [as 别名]
# 或者: from quantlib.settings.Settings import evaluation_date [as 别名]
def _cfamounts(coupon_rate, pricing_date, maturity_date,
              period, basis):
    """
    cash flow schedule
    """

    _period = str_to_frequency(period)

    evaluation_date = pydate_to_qldate(pricing_date)

    settings = Settings()
    settings.evaluation_date = evaluation_date

    calendar = TARGET()
    termination_date = pydate_to_qldate(maturity_date)

    # effective date must be before settlement date, but do not
    # care about exact issuance date of bond

    effective_date = Date(termination_date.day, termination_date.month,
                          evaluation_date.year)
    effective_date = calendar.advance(
        effective_date, -1, Years, convention=Unadjusted)

    face_amount = 100.0
    redemption = 100.0

    fixed_bond_schedule = Schedule(
        effective_date,
        termination_date,
        Period(_period),
        calendar,
        ModifiedFollowing,
        ModifiedFollowing,
        Backward
    )

    issue_date = effective_date
    cnt = DayCounter.from_name(basis)
    settlement_days = 2

    bond = FixedRateBond(
                settlement_days,
                face_amount,
                fixed_bond_schedule,
                [coupon_rate],
                cnt,
                Following,
                redemption,
                issue_date)

    res = zip(*bond.cashflows)

    return(res)

# 需要导入模块: from quantlib.settings import Settings [as 别名]
# 或者: from quantlib.settings.Settings import evaluation_date [as 别名]
    def test_excel_example_with_fixed_rate_bond(self):
        """Port the QuantLib Excel adding bond example to Python. """

        todays_date = Date(25, August, 2011)

        settings = Settings()
        settings.evaluation_date = todays_date

        calendar = TARGET()
        effective_date = Date(10, Jul, 2006)
        termination_date = calendar.advance(effective_date, 10, Years, convention=Unadjusted)

        settlement_days = 3
        face_amount = 100.0
        coupon_rate = 0.05
        redemption = 100.0

        fixed_bond_schedule = Schedule(
            effective_date, termination_date, Period(Annual), calendar, ModifiedFollowing, ModifiedFollowing, Backward
        )

        issue_date = effective_date
        bond = FixedRateBond(
            settlement_days,
            face_amount,
            fixed_bond_schedule,
            [coupon_rate],
            ActualActual(ISMA),
            Following,
            redemption,
            issue_date,
        )

        discounting_term_structure = YieldTermStructure(relinkable=True)
        flat_term_structure = FlatForward(
            settlement_days=1,
            forward=0.044,
            calendar=NullCalendar(),
            daycounter=Actual365Fixed(),
            compounding=Continuous,
            frequency=Annual,
        )

        discounting_term_structure.link_to(flat_term_structure)

        engine = DiscountingBondEngine(discounting_term_structure)

        bond.set_pricing_engine(engine)

        self.assertEquals(Date(10, Jul, 2016), termination_date)
        self.assertEquals(calendar.advance(todays_date, 3, Days), bond.settlement_date())
        self.assertEquals(Date(11, Jul, 2016), bond.maturity_date)
        self.assertAlmostEqual(0.6849, bond.accrued_amount(bond.settlement_date()), 4)
        self.assertAlmostEqual(102.1154, bond.clean_price, 4)

# 需要导入模块: from quantlib.settings import Settings [as 别名]
# 或者: from quantlib.settings.Settings import evaluation_date [as 别名]
    def test_creation(self):

        settings = Settings()

        # Market information
        calendar = TARGET()

        # must be a business day
        settings.evaluation_date = calendar.adjust(today())

        settlement_date = Date(18, September, 2008)
        # must be a business day
        settlement_date = calendar.adjust(settlement_date);

        quotes = [SimpleQuote(0.0096), SimpleQuote(0.0145), SimpleQuote(0.0194)]
        tenors =  [3, 6, 12]

        rate_helpers = []

        calendar =  TARGET()
        deposit_day_counter = Actual365Fixed()
        convention = ModifiedFollowing
        end_of_month = True

        for quote, month in zip(quotes, tenors):
            tenor = Period(month, Months)
            fixing_days = 3

            helper = DepositRateHelper(
                quote, tenor, fixing_days, calendar, convention, end_of_month,
                deposit_day_counter
            )

            rate_helpers.append(helper)


        ts_day_counter = ActualActual(ISDA)

        tolerance = 1.0e-15

        ts = PiecewiseYieldCurve.from_reference_date(
            BootstrapTrait.Discount, Interpolator.LogLinear, settlement_date, rate_helpers,
            ts_day_counter, tolerance
        )

        self.assertIsNotNone(ts)

        self.assertEqual( Date(18, September, 2008), ts.reference_date)

        # this is not a real test ...
        self.assertAlmostEqual(0.9975, ts.discount(Date(21, 12, 2008)), 4)
        self.assertAlmostEqual(0.9944, ts.discount(Date(21, 4, 2009)), 4)
        self.assertAlmostEqual(0.9904, ts.discount(Date(21, 9, 2009)), 4)

# 需要导入模块: from quantlib.settings import Settings [as 别名]
# 或者: from quantlib.settings.Settings import evaluation_date [as 别名]
    def test_creation(self):

        settings = Settings()

        # Market information
        calendar = TARGET()

        # must be a business day
        settings.evaluation_date = calendar.adjust(today())

        settlement_date = Date(18, September, 2008)
        # must be a business day
        settlement_date = calendar.adjust(settlement_date);

        quotes = [0.0096, 0.0145, 0.0194]
        tenors =  [3, 6, 12]

        rate_helpers = []

        calendar =  TARGET()
        deposit_day_counter = Actual365Fixed()
        convention = ModifiedFollowing
        end_of_month = True

        for quote, month in zip(quotes, tenors):
            tenor = Period(month, Months)
            fixing_days = 3

            helper = DepositRateHelper(
                quote, tenor, fixing_days, calendar, convention, end_of_month,
                deposit_day_counter
            )

            rate_helpers.append(helper)


        ts_day_counter = ActualActual(ISDA)

        tolerance = 1.0e-15

        ts = term_structure_factory(
            'discount', 'loglinear', settlement_date, rate_helpers,
            ts_day_counter, tolerance
        )

        self.assertIsNotNone(ts)

        self.assertEquals( Date(18, September, 2008), ts.reference_date)

        # this is not a real test ...
        self.assertAlmostEquals(0.9975, ts.discount(Date(21, 12, 2008)), 4)
        self.assertAlmostEquals(0.9944, ts.discount(Date(21, 4, 2009)), 4)
        self.assertAlmostEquals(0.9904, ts.discount(Date(21, 9, 2009)), 4)

# 需要导入模块: from quantlib.settings import Settings [as 别名]
# 或者: from quantlib.settings.Settings import evaluation_date [as 别名]
    def test_relative_yieldcurve(self):
        settings = Settings()
        settings.evaluation_date = Date(6, 10, 2016)

        # Market information
        calendar = TARGET()

        quotes = [0.0096, 0.0145, 0.0194]
        tenors =  [3, 6, 12]

        deposit_day_counter = Actual365Fixed()
        convention = ModifiedFollowing
        end_of_month = True
        fixing_days = 3
        rate_helpers = [DepositRateHelper(
            quote, Period(month, Months), fixing_days, calendar, convention, end_of_month,
            deposit_day_counter) for quote, month in zip(quotes, tenors)]

        ts_day_counter = ActualActual(ISDA)

        tolerance = 1.0e-15

        ts_relative = PiecewiseYieldCurve(
            BootstrapTrait.Discount, Interpolator.LogLinear, 2, calendar, rate_helpers,
            ts_day_counter, tolerance
        )
        self.assertEqual(ts_relative.reference_date,
                         calendar.advance(settings.evaluation_date, period = Period(2, Days)))

        settings.evaluation_date = Date(10, 10, 2016)
        settlement_date =  calendar.advance(settings.evaluation_date, period = Period(2, Days))
        self.assertEqual(ts_relative.reference_date, settlement_date)

        ts_absolute = PiecewiseYieldCurve.from_reference_date(
            BootstrapTrait.Discount, Interpolator.LogLinear, settlement_date, rate_helpers,
            ts_day_counter, tolerance
        )
        self.assertEqual(ts_absolute.data, ts_relative.data)
        self.assertEqual(ts_absolute.dates, ts_relative.dates)
        self.assertEqual(ts_absolute.times, ts_relative.times)

# 需要导入模块: from quantlib.settings import Settings [as 别名]
# 或者: from quantlib.settings.Settings import evaluation_date [as 别名]
    def test_using_settings(self):

        settings = Settings()

        evaluation_date = today()

        # have to set the evaluation date before the test as it is a global
        # attribute for the whole library ... meaning that previous test_cases
        # might have set this to another date
        settings.evaluation_date = evaluation_date

        self.assertEqual(settings.evaluation_date, evaluation_date)
        self.assertTrue(settings.version.startswith('1'))