Python Settings.instance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 instance [as 别名]
    def test_settings_instance_method(self):

        Settings.instance().evaluation_date = today()

        self.assertEqual(
                today(),
                Settings.instance().evaluation_date
        )

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

        from quantlib.settings import Settings
        from quantlib.time.api import today
        Settings.instance().evaluation_date = today()
        call_value = blsprice(100.0, 97.0, 0.1, 0.25, 0.5)
        self.assertAlmostEquals(call_value, 12.61, 2)

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

        settings = Settings.instance()

        # Market information
        calendar = TARGET()

        # must be a business day
        eval_date = calendar.adjust(today())
        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)
        term_structure = YieldTermStructure(relinkable=True)
        term_structure.link_to(FlatForward(settlement_date, 0.05,
                                          Actual365Fixed()))

        ibor_index = Libor('USD Libor', Period(6, Months), settlement_days,
                        USDCurrency(), calendar, Actual360(),
                           term_structure)

        index = SwapIndex(
            'family name', Period(3, Months), 10, USDCurrency(), TARGET(),
            Period(12, Months), Following, Actual360(), ibor_index)

        self.assertIsNotNone(index)

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

        settings = Settings.instance()

        # Market information
        calendar = TARGET()

        # must be a business day
        eval_date = calendar.adjust(today())
        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);

        ibor_index = Libor('USD Libor', Period(6, Months), settlement_days,
                        USDCurrency(), calendar, Actual360())


        index = SwapIndex(
            'family name', Period(3, Months), 10, USDCurrency(), TARGET(),
            Period(12, Months), Following, Actual360(), ibor_index)

        self.assertIsNotNone(index)

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

    calendar = TARGET()

    todays_date = Date(15, May, 2007)
    todays_date = calendar.adjust(todays_date)

    Settings.instance().evaluation_date = todays_date

    flat_rate = SimpleQuote(0.01)
    ts_curve = FlatForward(todays_date, flat_rate, Actual365Fixed())

    recovery_rate = 0.5
    quoted_spreads = 0.0150
    tenor = Period(3, Months)

    helper = SpreadCdsHelper(
        quoted_spreads,
        tenor,
        0,
        calendar,
        Quarterly,
        Following,
        TwentiethIMM,
        Actual365Fixed(),
        recovery_rate,
        ts_curve,
    )

    return todays_date, helper

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

        dates = [self.todays_date + Period(i, Years) for i in [3, 5, 7]]
        hazard_rates =  [0.01, 0.03, 0.05]

        interpolation_date = self.todays_date + Period(4, Years)

        trait = Interpolator.Linear
        interpolated_curve = InterpolatedHazardRateCurve(trait, dates,
                                                         hazard_rates,
                                                         Actual365Fixed())
        t0 = interpolated_curve.time_from_reference(dates[0])
        t1 = interpolated_curve.time_from_reference(interpolation_date)
        t2 = interpolated_curve.time_from_reference(dates[1])
        interpolated_value = hazard_rates[0] + (t1-t0) /(t2-t0) * \
                             (hazard_rates[1] - hazard_rates[0])

        self.assertAlmostEqual(interpolated_value,
                               interpolated_curve.hazard_rate(interpolation_date))
        trait = Interpolator.BackwardFlat
        interpolated_curve = InterpolatedHazardRateCurve(trait, dates,
                                                         hazard_rates,
                                                         Actual365Fixed())
        interpolated_value = hazard_rates[1]
        self.assertAlmostEqual(interpolated_value,
                               interpolated_curve.hazard_rate(interpolation_date))
        trait = Interpolator.LogLinear
        interpolated_curve = InterpolatedHazardRateCurve(trait, dates,
                                                         hazard_rates,
                                                         Actual365Fixed())
        with self.assertRaisesRegexp(RuntimeError,
                                     'LogInterpolation primitive not implemented'):
            hazard_rate = interpolated_curve.hazard_rate(interpolation_date)

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

        settings = Settings.instance()

        # Market information
        calendar = TARGET()

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

        term_structure = YieldTermStructure(relinkable=True)
        term_structure.link_to(FlatForward(settlement_date, 0.05,
                                           Actual365Fixed()))

        index = Libor('USD Libor', Period(6, Months), settlement_days,
                      USDCurrency(), calendar, Actual360(),
                      term_structure)

        t = index.tenor
        self.assertEqual(t.length, 6)
        self.assertEqual(t.units, 2)
        self.assertEqual('USD Libor6M Actual/360', index.name)

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

        settings = Settings.instance()

        # Market information
        calendar = UnitedStates(LiborImpact)

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

        term_structure = YieldTermStructure(relinkable=True)
        term_structure.link_to(FlatForward(settlement_date, 0.05,
                                           Actual365Fixed()))

        index = Libor('USDLibor', Period(6, Months), settlement_days,
                      USDCurrency(), calendar, Actual360(),
                      term_structure)
        default_libor = USDLibor(Period(6, Months))
        for attribute in ["business_day_convention", "end_of_month",
                          "fixing_calendar", "joint_calendar", "tenor",
                          "fixing_days", "day_counter", "family_name", "name"]:
            self.assertEqual(getattr(index, attribute),
                             getattr(default_libor, attribute))

# 需要导入模块: from quantlib.settings import Settings [as 别名]
# 或者: from quantlib.settings.Settings import instance [as 别名]
def example02():
    print("example 2:\n")
    todays_date = Date(25, 9, 2014)
    Settings.instance().evaluation_date = todays_date

    calendar = TARGET()
    term_date = calendar.adjust(todays_date + Period(2, Years), Following)
    cds_schedule =  Schedule(todays_date, term_date, Period(Quarterly),
                             WeekendsOnly(), ModifiedFollowing,
                             ModifiedFollowing,
                             date_generation_rule=Rule.CDS)
    for date in cds_schedule:
        print(date)
    print()

    todays_date = Date(21, 10, 2014)
    Settings.instance().evaluation_date = todays_date
    quotes = [0.00006, 0.00045, 0.00081, 0.001840, 0.00256, 0.00337]
    tenors = [1, 2, 3, 6, 9, 12]
    deps = [DepositRateHelper(q, Period(t, Months), 2, calendar, ModifiedFollowing, False, Actual360())
           for q, t in zip(quotes, tenors)]
    tenors = [2, 3, 4, 5, 6, 7, 8, 9, 10, 12, 15, 20, 30]
    quotes = [0.00223, 0.002760, 0.003530, 0.004520, 0.005720, 0.007050, 0.008420, 0.009720, 0.010900,
              0.012870, 0.014970, 0.017, 0.01821]
    swaps = [SwapRateHelper.from_tenor(q, Period(t, Years),
                                       calendar, Annual, ModifiedFollowing,
                                       Thirty360(), Euribor6M(), SimpleQuote(0))
             for q, t in zip(quotes, tenors)]
    helpers = deps + swaps
    YC = PiecewiseYieldCurve.from_reference_date(BootstrapTrait.Discount, Interpolator.LogLinear,
            todays_date, helpers, Actual365Fixed())
    YC.extrapolation = True
    print("ISDA rate curve:")
    for h in helpers:
        print("{0}: {1:.6f}\t{2:.6f}".format(h.latest_date,
                                             YC.zero_rate(h.latest_date, Actual365Fixed(), 2).rate,
                                             YC.discount(h.latest_date)))
    defaultTs0 = FlatHazardRate(0, WeekendsOnly(), 0.016739207493630, Actual365Fixed())
    cds_schedule = Schedule.from_rule(Date(22, 9, 2014), Date(20, 12, 2019), Period(3, Months),
                            WeekendsOnly(), Following, Unadjusted, Rule.CDS, False)
    nominal = 100000000
    trade = CreditDefaultSwap(Side.Buyer, nominal, 0.01, cds_schedule, Following,
                            Actual360(), True, True, Date(22, 10, 2014), Actual360(True), True)
    engine = IsdaCdsEngine(defaultTs0, 0.4, YC, False)
    trade.set_pricing_engine(engine)
    print("reference trade NPV = {0}\n".format(trade.npv))

# 需要导入模块: from quantlib.settings import Settings [as 别名]
# 或者: from quantlib.settings.Settings import instance [as 别名]
 def test_flat_hazard_with_quote(self):
     Settings.instance().evaluation_date = self.todays_date
     hazard_rate = SimpleQuote()
     flat_curve = FlatHazardRate(2, self.calendar, hazard_rate, Actual365Fixed())
     for h in [0.01, 0.02, 0.03]:
         hazard_rate.value =  h
         self.assertAlmostEqual(flat_curve.survival_probability(self.d),
                                math.exp(-h * flat_curve.time_from_reference(self.d)))

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

        dates = [self.todays_date + Period(i, Years) for i in [3, 5, 7]]
        hazard_rates =  [0.01, 0.03, 0.05]
        for trait in [Interpolator.BackwardFlat, Interpolator.Linear]:
            interpolated_curve = InterpolatedHazardRateCurve(trait, dates,
                                                             hazard_rates,
                                                             Actual365Fixed())
            self.assertEqual(dates, interpolated_curve.dates)
            self.assertEqual(interpolated_curve.data, interpolated_curve.hazard_rates)

# 需要导入模块: from quantlib.settings import Settings [as 别名]
# 或者: from quantlib.settings.Settings import instance [as 别名]
 def test_create_flat_hazard(self):
     Settings.instance().evaluation_date = self.todays_date
     flat_curve = FlatHazardRate(2, self.calendar, 0.05, Actual365Fixed())
     flat_curve_from_reference_date = FlatHazardRate.from_reference_date(
         self.calendar.advance(self.todays_date, 2, Days), 0.05, Actual365Fixed())
     self.assertIsNotNone(flat_curve)
     self.assertIsNotNone(flat_curve_from_reference_date)
     self.assertEqual(flat_curve.time_from_reference(self.d),
                      flat_curve_from_reference_date.time_from_reference(self.d))
     self.assertAlmostEqual(flat_curve.hazard_rate(self.d), 0.05)
     self.assertAlmostEqual(flat_curve.survival_probability(self.d),
                            math.exp(-0.05*flat_curve.time_from_reference(self.d)))

# 需要导入模块: from quantlib.settings import Settings [as 别名]
# 或者: from quantlib.settings.Settings import instance [as 别名]
    def test_relativedate_rate_helper(self):
        tenor = Period(3, Months)
        fixing_days = 3
        calendar =  TARGET()
        convention = ModifiedFollowing
        end_of_month = True
        deposit_day_counter = Actual365Fixed()

        helper = DepositRateHelper(
            0.005, tenor, fixing_days, calendar, convention, end_of_month,
            deposit_day_counter
        )
        Settings.instance().evaluation_date = Date(8, 6, 2016)
        self.assertEqual(helper.latest_date, Date(13, 9, 2016))

# 需要导入模块: from quantlib.settings import Settings [as 别名]
# 或者: from quantlib.settings.Settings import instance [as 别名]
def example03():
    print("example 3:\n")
    todays_date = Date(13, 6, 2011)
    Settings.instance().evaluation_date = todays_date
    quotes = [0.00445, 0.00949, 0.01234, 0.01776, 0.01935, 0.02084]
    tenors = [1, 2, 3, 6, 9, 12]
    calendar = WeekendsOnly()
    deps = [DepositRateHelper(q, Period(t, Months), 2, calendar, ModifiedFollowing, False, Actual360())
            for q, t in zip(quotes, tenors)]
    quotes = [0.01652, 0.02018, 0.02303, 0.02525, 0.0285, 0.02931, 0.03017, 0.03092, 0.03160, 0.03231,
              0.03367, 0.03419, 0.03411, 0.03411, 0.03412]
    tenors = [2, 3, 4, 5, 6, 7, 8, 9, 10, 11, 12, 15, 20, 25, 30]
    swaps =  [SwapRateHelper.from_tenor(q, Period(t, Years),
                                        calendar, Annual, ModifiedFollowing,
                                        Thirty360(), Euribor6M(), SimpleQuote(0)) for q, t
              in zip(quotes, tenors)]
    yield_helpers = deps + swaps
    isda_yts = PiecewiseYieldCurve(BootstrapTrait.Discount, Interpolator.LogLinear, 0,
                                   WeekendsOnly(), yield_helpers, Actual365Fixed())

    spreads = [0.007927, 0.012239, 0.016979, 0.019271, 0.020860]
    tenors = [1, 3, 5, 7, 10]
    spread_helpers = [SpreadCdsHelper(0.007927, Period(6, Months), 1,
                                      WeekendsOnly(), Quarterly, Following, Rule.CDS2015,
                                      Actual360(), 0.4, isda_yts, True, True,
                                      Date(), Actual360(True), True, PricingModel.ISDA)] + \
    [SpreadCdsHelper(s, Period(t, Years), 1, WeekendsOnly(), Quarterly, Following, Rule.CDS2015,
                     Actual360(), 0.4, isda_yts, True, True, Date(), Actual360(True), True,
                     PricingModel.ISDA)
     for s, t in zip(spreads, tenors)]
    isda_cts = PiecewiseDefaultCurve(ProbabilityTrait.SurvivalProbability,
                                     Interpolator.LogLinear, 0, WeekendsOnly(), spread_helpers,
                                     Actual365Fixed())
    isda_pricer = IsdaCdsEngine(isda_cts, 0.4, isda_yts)
    print("Isda yield curve:")
    for h in yield_helpers:
        d = h.latest_date
        t = isda_yts.time_from_reference(d)
        print(d, t, isda_yts.zero_rate(d, Actual365Fixed()).rate)

    print()
    print("Isda credit curve:")
    for h in spread_helpers:
        d = h.latest_date
        t = isda_cts.time_from_reference(d)
        print(d, t, isda_cts.survival_probability(d))

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

        settings = Settings.instance()

        # Market information
        calendar = TARGET()

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

        index = Libor("USD Libor", Period(6, Months), settlement_days, USDCurrency(), calendar, Actual360())

        self.assertEquals("USD Libor6M Actual/360", index.name)