本文整理汇总了Python中quantlib.time.api.TARGET.advance方法的典型用法代码示例。如果您正苦于以下问题:Python TARGET.advance方法的具体用法?Python TARGET.advance怎么用?Python TARGET.advance使用的例子?那么恭喜您, 这里精选的方法代码示例或许可以为您提供帮助。您也可以进一步了解该方法所在类quantlib.time.api.TARGET
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在下文中一共展示了TARGET.advance方法的15个代码示例,这些例子默认根据受欢迎程度排序。您可以为喜欢或者感觉有用的代码点赞,您的评价将有助于系统推荐出更棒的Python代码示例。
示例1: test_bond_schedule_anotherday
# 需要导入模块: from quantlib.time.api import TARGET [as 别名]
# 或者: from quantlib.time.api.TARGET import advance [as 别名]
def test_bond_schedule_anotherday(self):
'''Test date calculations and role of settings when evaluation date
set to arbitrary date.
This test is known to fail with boost 1.42.
'''
todays_date = Date(30, 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.from_rule(
effective_date,
termination_date,
Period(Annual),
calendar,
ModifiedFollowing,
ModifiedFollowing,
Rule.Backward
)
issue_date = effective_date
bond = FixedRateBond(
settlement_days,
face_amount,
fixed_bond_schedule,
[coupon_rate],
ActualActual(ISMA),
Following,
redemption,
issue_date
)
self.assertEqual(
calendar.advance(todays_date, 3, Days), bond.settlement_date())
示例2: test_create_swap_index
# 需要导入模块: from quantlib.time.api import TARGET [as 别名]
# 或者: from quantlib.time.api.TARGET import advance [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)
示例3: test_zero_curve
# 需要导入模块: from quantlib.time.api import TARGET [as 别名]
# 或者: from quantlib.time.api.TARGET import advance [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)
示例4: FlatHazardRateTestCase
# 需要导入模块: from quantlib.time.api import TARGET [as 别名]
# 或者: from quantlib.time.api.TARGET import advance [as 别名]
class FlatHazardRateTestCase(unittest.TestCase):
def setUp(self):
self.calendar = TARGET()
todays_date = Date(15, May, 2007)
self.todays_date = self.calendar.adjust(todays_date)
self.d = self.todays_date + Period(3, Years)
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)))
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)))
示例5: test_extrapolation
# 需要导入模块: from quantlib.time.api import TARGET [as 别名]
# 或者: from quantlib.time.api.TARGET import advance [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
示例6: test_create_swap_index
# 需要导入模块: from quantlib.time.api import TARGET [as 别名]
# 或者: from quantlib.time.api.TARGET import advance [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)
示例7: test_extrapolation
# 需要导入模块: from quantlib.time.api import TARGET [as 别名]
# 或者: from quantlib.time.api.TARGET import advance [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"))
示例8: test_create_libor_index
# 需要导入模块: from quantlib.time.api import TARGET [as 别名]
# 或者: from quantlib.time.api.TARGET import advance [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)
示例9: test_bond_schedule_today
# 需要导入模块: from quantlib.time.api import TARGET [as 别名]
# 或者: from quantlib.time.api.TARGET import advance [as 别名]
def test_bond_schedule_today(self):
'''Test date calculations and role of settings when evaluation date
set to current date.
'''
todays_date = today()
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
)
self.assertEquals(
calendar.advance(todays_date, 3, Days), bond.settlement_date())
示例10: zero_curve
# 需要导入模块: from quantlib.time.api import TARGET [as 别名]
# 或者: from quantlib.time.api.TARGET import advance [as 别名]
def zero_curve(ts, days, dtObs):
calendar = TARGET()
dtMat = [calendar.advance(dateToDate(dtObs), d, Days) for d in days]
df = np.array([ts.discount(dt) for dt in dtMat])
dtMat = [QLDateTodate(dt) for dt in dtMat]
dtToday = QLDateTodate(dtObs)
dt = np.array([(d-dtToday).days/365.0 for d in dtMat])
zc = -np.log(df) / dt
return (dtMat, zc)
示例11: test_relative_yieldcurve
# 需要导入模块: from quantlib.time.api import TARGET [as 别名]
# 或者: from quantlib.time.api.TARGET import advance [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)
示例12: zero_curve
# 需要导入模块: from quantlib.time.api import TARGET [as 别名]
# 或者: from quantlib.time.api.TARGET import advance [as 别名]
def zero_curve(ts, dtObs):
dtMax = ts.max_date
calendar = TARGET()
days = range(10, 365 * 20, 30)
dtMat = [min(dtMax, calendar.advance(dateToDate(dtObs), d, Days))
for d in days]
# largest dtMat < dtMax, yet QL run time error
df = np.array([ts.discount(dt, extrapolate=True) for dt in dtMat])
dtMat = [QLDateTodate(dt) for dt in dtMat]
dtToday = QLDateTodate(dtObs)
dt = np.array([(d - dtToday).days / 365.0 for d in dtMat])
zc = -np.log(df) / dt
return (dtMat, zc)
示例13: setUp
# 需要导入模块: from quantlib.time.api import TARGET [as 别名]
# 或者: from quantlib.time.api.TARGET import advance [as 别名]
def setUp(self):
calendar = TARGET()
today_date = today()
Settings().evaluation_date = today_date
hazard_rate = SimpleQuote(0.01234)
probability_curve = FlatHazardRate(0, calendar, hazard_rate, Actual360())
discount_curve = FlatForward(today_date, 0.06, Actual360())
issue_date = today_date
#calendar.advance(today_date, -1, Years)
maturity = calendar.advance(issue_date, 10, Years)
self.convention = Following
self.schedule = Schedule(issue_date, maturity, Period("3M"), calendar,
self.convention, self.convention, Rule.TwentiethIMM)
recovery_rate = 0.4
self.engine = MidPointCdsEngine(probability_curve, recovery_rate, discount_curve, True)
示例14: test_create_libor_index
# 需要导入模块: from quantlib.time.api import TARGET [as 别名]
# 或者: from quantlib.time.api.TARGET import advance [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)
示例15: test_swap_QL
# 需要导入模块: from quantlib.time.api import TARGET [as 别名]
# 或者: from quantlib.time.api.TARGET import advance [as 别名]
def test_swap_QL(self):
"""
Test that a swap with fixed coupon = fair rate has an NPV=0
Create from QL objects
"""
nominal = 100.0
fixedConvention = Unadjusted
floatingConvention = ModifiedFollowing
fixedFrequency = Annual
floatingFrequency = Semiannual
fixedDayCount = Thirty360()
floatDayCount = Thirty360()
calendar = TARGET()
settlement_days = 2
eval_date = Date(2, January, 2014)
settings = Settings()
settings.evaluation_date = eval_date
settlement_date = calendar.advance(eval_date, settlement_days, Days)
# must be a business day
settlement_date = calendar.adjust(settlement_date)
termStructure = YieldTermStructure(relinkable=True)
termStructure.link_to(FlatForward(settlement_date, 0.05,
Actual365Fixed()))
index = Libor('USD Libor', Period(6, Months), settlement_days,
USDCurrency(), calendar, Actual360(),
termStructure)
length = 5
fixedRate = .05
floatingSpread = 0.0
maturity = calendar.advance(settlement_date, length, Years,
convention=floatingConvention)
fixedSchedule = Schedule(settlement_date, maturity,
Period(fixedFrequency),
calendar, fixedConvention, fixedConvention,
Rule.Forward, False)
floatSchedule = Schedule(settlement_date, maturity,
Period(floatingFrequency),
calendar, floatingConvention,
floatingConvention,
Rule.Forward, False)
engine = DiscountingSwapEngine(termStructure,
False,
settlement_date, settlement_date)
for swap_type in [Payer, Receiver]:
swap = VanillaSwap(swap_type, nominal, fixedSchedule, fixedRate,
fixedDayCount,
floatSchedule, index, floatingSpread,
floatDayCount, fixedConvention)
swap.set_pricing_engine(engine)
fixed_leg = swap.fixed_leg
floating_leg = swap.floating_leg
f = swap.fair_rate
print('fair rate: %f' % f)
p = swap.net_present_value
print('NPV: %f' % p)
swap = VanillaSwap(swap_type, nominal, fixedSchedule, f,
fixedDayCount,
floatSchedule, index, floatingSpread,
floatDayCount, fixedConvention)
swap.set_pricing_engine(engine)
p = swap.net_present_value
print('NPV: %f' % p)
self.assertAlmostEqual(p, 0)