Python SwapRateHelper.from_index方法代码示例

# 需要导入模块: from quantlib.termstructures.yields.rate_helpers import SwapRateHelper [as 别名]
# 或者: from quantlib.termstructures.yields.rate_helpers.SwapRateHelper import from_index [as 别名]
    def test_create_swap_rate_helper_from_index(self):
        calendar = UnitedStates()
        settlement_days = 2
        currency = USDCurrency()
        fixed_leg_tenor	= Period(12, Months)
        fixed_leg_convention = ModifiedFollowing
        fixed_leg_daycounter = Actual360()
        family_name = currency.name + 'index'
        ibor_index =  Libor(
            "USDLibor", Period(3,Months), settlement_days, USDCurrency(),
            UnitedStates(), Actual360()
        )

        rate = SimpleQuote(0.005681)
        tenor = Period(1, Years)

        index = SwapIndex (
            family_name, tenor, settlement_days, currency, calendar,
            fixed_leg_tenor, fixed_leg_convention,
            fixed_leg_daycounter, ibor_index)

        helper_from_quote = SwapRateHelper.from_index(rate, index)
        helper_from_float = SwapRateHelper.from_index(0.005681, index)

        #self.fail(
        #    'Make this pass: create and ask for the .quote property'
        #    ' Test the from_index and from_tenor methods'
        #)

        self.assertIsNotNone(helper_from_quote, helper_from_float)
        self.assertAlmostEqual(rate.value, helper_from_quote.quote.value)
        self.assertAlmostEqual(helper_from_float.quote.value, helper_from_quote.quote.value)

        with self.assertRaises(RuntimeError):
            self.assertAlmostEqual(rate.value, helper_from_quote.implied_quote)

# 需要导入模块: from quantlib.termstructures.yields.rate_helpers import SwapRateHelper [as 别名]
# 或者: from quantlib.termstructures.yields.rate_helpers.SwapRateHelper import from_index [as 别名]
    def test_create_swap_rate_helper_from_index(self):

        from quantlib.currency import USDCurrency
        from quantlib.indexes.swap_index import SwapIndex
        from quantlib.indexes.libor import Libor
        from quantlib.time.api import Years, UnitedStates, Actual360

        calendar = UnitedStates()
        settlement_days = 2
        currency = USDCurrency()
        fixed_leg_tenor	= Period(12, Months)
        fixed_leg_convention = ModifiedFollowing
        fixed_leg_daycounter = Actual360()
        family_name = currency.name + 'index'
        ibor_index =  Libor(
            "USDLibor", Period(3,Months), settlement_days, USDCurrency(),
            UnitedStates(), Actual360()
        )

        rate = 0.005681
        tenor = Period(1, Years)

        index = SwapIndex (
            family_name, tenor, settlement_days, currency, calendar,
            fixed_leg_tenor, fixed_leg_convention,
            fixed_leg_daycounter, ibor_index)

        helper = SwapRateHelper.from_index(rate, index)

        #self.fail(
        #    'Make this pass: create and ask for the .quote property'
        #    ' Test the from_index and from_tenor methods'
        #)

        self.assertIsNotNone(helper)
        self.assertAlmostEquals(rate, helper.quote)

        with self.assertRaises(RuntimeError):
            self.assertAlmostEquals(rate, helper.implied_quote)

# 需要导入模块: from quantlib.termstructures.yields.rate_helpers import SwapRateHelper [as 别名]
# 或者: from quantlib.termstructures.yields.rate_helpers.SwapRateHelper import from_index [as 别名]
    def test_zero_curve_on_swap_index(self):

        todays_date = today()

        calendar = UnitedStates() # INPUT
        dayCounter = Actual360() # INPUT
        currency = USDCurrency() # INPUT	

        Settings.instance().evaluation_date = todays_date
        settlement_days	= 2

        settlement_date =  calendar.advance(
            todays_date, period=Period(settlement_days, Days)
        )

        liborRates = [ SimpleQuote(0.002763), SimpleQuote(0.004082), SimpleQuote(0.005601), SimpleQuote(0.006390), SimpleQuote(0.007125), 
            SimpleQuote(0.007928), SimpleQuote(0.009446), SimpleQuote(0.01110)]
        liborRatesTenor = [Period(tenor, Months) for tenor in [1,2,3,4,5,6,9,12]]
        Libor_dayCounter = Actual360();


        swapRates = [SimpleQuote(0.005681), SimpleQuote(0.006970), SimpleQuote(0.009310), SimpleQuote(0.012010), SimpleQuote(0.014628),
                 SimpleQuote(0.016881), SimpleQuote(0.018745), SimpleQuote(0.020260), SimpleQuote(0.021545)]
        swapRatesTenor = [Period(i, Years) for i in range(2, 11)]
        # description of the fixed leg of the swap
        Swap_fixedLegTenor = Period(12, Months)      # INPUT
        Swap_fixedLegConvention = ModifiedFollowing  # INPUT
        Swap_fixedLegDayCounter = Actual360()        # INPUT
        # description of the float leg of the swap
        Swap_iborIndex = Libor(
            "USDLibor", Period(3, Months), settlement_days, USDCurrency(),
            UnitedStates(), Actual360()
        )

        SwapFamilyName = currency.name + "swapIndex"
        instruments = []

        # ++++++++++++++++++++ Creation of the vector of RateHelper (need for the Yield Curve construction)
        # ++++++++++++++++++++ Libor 
        LiborFamilyName = currency.name + "Libor"
        instruments = []
        for rate, tenor in zip(liborRates, liborRatesTenor):
            # Index description ___ creation of a Libor index
            liborIndex =  Libor(
                LiborFamilyName, tenor, settlement_days, currency, calendar,
                Libor_dayCounter
            )
            # Initialize rate helper
            # the DepositRateHelper link the recording rate with the Libor
            # index

            instruments.append(DepositRateHelper(rate, index=liborIndex))


        for tenor, rate in zip(swapRatesTenor, swapRates):
            # swap description ___ creation of a swap index. The floating leg is described in the index 'Swap_iborIndex'
            swapIndex = SwapIndex (
                SwapFamilyName, tenor, settlement_days, currency, calendar,
                Swap_fixedLegTenor, Swap_fixedLegConvention,
                Swap_fixedLegDayCounter, Swap_iborIndex
            )
            # Initialize rate helper __ the SwapRateHelper links the swap index width his rate
            instruments.append(SwapRateHelper.from_index(rate,swapIndex))

        # ++++++++++++++++++  Now the creation of the yield curve

        tolerance = 1.0e-15

        ts = PiecewiseYieldCurve(
            'zero', 'linear', settlement_date, instruments, dayCounter,
            tolerance
        )

        self.assertEqual(settlement_date, ts.reference_date)