Python calendar.TARGET类代码示例

class FlatForwardTestCase(unittest.TestCase):
    def setUp(self):

        self.calendar = TARGET()
        self.settlement_days = 2
        self.adjusted_today = self.calendar.adjust(today())
        Settings().evaluation_date = self.adjusted_today
        self.settlement_date = self.calendar.advance(today(), self.settlement_days, Days)

    def test_reference_evaluation_data_changed(self):
        """Testing term structure against evaluation date change... """

        quote = SimpleQuote()
        term_structure = FlatForward(
            settlement_days=self.settlement_days, forward=quote, calendar=NullCalendar(), daycounter=Actual360()
        )

        quote.value = 0.03

        expected = []
        for days in [10, 30, 60, 120, 360, 720]:
            expected.append(term_structure.discount(self.adjusted_today + days))

        Settings().evaluation_date = self.adjusted_today + 30

        calculated = []
        for days in [10, 30, 60, 120, 360, 720]:
            calculated.append(term_structure.discount(self.adjusted_today + 30 + days))

        for i, val in enumerate(expected):
            self.assertAlmostEquals(val, calculated[i])

    def test_excel_example_with_zero_coupon_bond(self):


        todays_date = Date(25, August, 2011)

        settlement_days = 3
        face_amount = 100
        calendar = TARGET()
        maturity_date = Date(26, February, 2024)

        bond = ZeroCouponBond(
            settlement_days, calendar, face_amount, maturity_date, Following,
            100., todays_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)

        bond.set_pricing_engine(discounting_term_structure)

        self.assertEquals(
            calendar.advance(todays_date, 3, Days), bond.settlement_date()
        )
        self.assertEquals(0., bond.accrued_amount(bond.settlement_date()))
        self.assertAlmostEquals(57.6915, bond.clean_price, 4)

    def test_christmas_is_holiday(self):

        calendar = TARGET()

        date = Date(24,12, 2011)

        self.assertTrue(calendar.is_holiday(date))

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)

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)

    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)

    def test_calendar_creation(self):

        calendar = TARGET()
        self.assertEquals('TARGET',  calendar.name())

        ukcalendar = UnitedKingdom()
        self.assertEquals('UK settlement',  ukcalendar.name())

        lse_cal = UnitedKingdom(market=EXCHANGE)
        self.assertEquals('London stock exchange',  lse_cal.name())

        null_calendar = NullCalendar()
        self.assertEquals('Null', null_calendar.name())

    def setUp(self):

        self.calendar = TARGET()
        self.settlement_days = 2
        self.adjusted_today = self.calendar.adjust(today())
        Settings().evaluation_date = self.adjusted_today
        self.settlement_date = self.calendar.advance(today(), self.settlement_days, Days)

def test_pricing_bond():
       '''Inspired by the C++ code from http://quantcorner.wordpress.com/.'''

       settings = Settings()

       # Date setup
       calendar = TARGET()

       # Settlement date
       settlement_date = calendar.adjust(Date(28, January, 2011))

       # Evaluation date
       fixing_days = 1
       settlement_days = 1

       todays_date = calendar.advance(
           settlement_date, -fixing_days, Days
       )

       settings.evaluation_date = todays_date

       # Bound attributes
       face_amount = 100.0
       redemption = 100.0
       issue_date = Date(27, January, 2011)
       maturity_date = Date(31, August, 2020)
       coupon_rate = 0.03625
       bond_yield = 0.034921

       discounting_term_structure = YieldTermStructure(relinkable=True)
       flat_term_structure = FlatForward(
           reference_date = settlement_date,
           forward        = bond_yield,
           daycounter     = Actual365Fixed(), #actual_actual.ActualActual(actual_actual.Bond),
           compounding    = Compounded,
           frequency      = Semiannual)
       # have a look at the FixedRateBondHelper to simplify this
       # construction
       discounting_term_structure.link_to(flat_term_structure)


       #Rate
       fixed_bond_schedule = Schedule(
           issue_date,
           maturity_date,
           Period(Semiannual),
           UnitedStates(market=GOVERNMENTBOND),
           Unadjusted,
           Unadjusted,
           Backward,
           False);


       bond = FixedRateBond(
           settlement_days,
           face_amount,
           fixed_bond_schedule,
           [coupon_rate],
           ActualActual(Bond),
           Unadjusted,
           redemption,
           issue_date
       )

       bond.set_pricing_engine(discounting_term_structure)
       
       return bond

    def test_pricing_bond(self):
        '''Inspired by the C++ code from http://quantcorner.wordpress.com/.'''

        settings = Settings()

        # Date setup
        calendar = TARGET()

        # Settlement date
        settlement_date = calendar.adjust(Date(28, January, 2011))

        # Evaluation date
        fixing_days = 1
        settlement_days = 1

        todays_date = calendar.advance(
            settlement_date, -fixing_days, Days
        )

        settings.evaluation_date = todays_date

        # Bound attributes
        face_amount = 100.0
        redemption = 100.0
        issue_date = Date(27, January, 2011)
        maturity_date = Date(31, August, 2020)
        coupon_rate = 0.03625
        bond_yield = 0.034921

        discounting_term_structure = YieldTermStructure(relinkable=True)
        flat_term_structure = FlatForward(
            reference_date = settlement_date,
            forward        = bond_yield,
            daycounter     = Actual365Fixed(), #actual_actual.ActualActual(actual_actual.Bond),
            compounding    = Compounded,
            frequency      = Semiannual)
        # have a look at the FixedRateBondHelper to simplify this
        # construction
        discounting_term_structure.link_to(flat_term_structure)


	    #Rate
        fixed_bond_schedule = Schedule(
            issue_date,
            maturity_date,
            Period(Semiannual),
            UnitedStates(market=GOVERNMENTBOND),
            Unadjusted,
            Unadjusted,
            Backward,
            False);


        bond = FixedRateBond(
            settlement_days,
		    face_amount,
		    fixed_bond_schedule,
		    [coupon_rate],
            ActualActual(Bond),
		    Unadjusted,
            redemption,
            issue_date
        )

        bond.set_pricing_engine(discounting_term_structure)

        # tests
        self.assertTrue(Date(27, January, 2011), bond.issue_date)
        self.assertTrue(Date(31, August, 2020), bond.maturity_date)
        self.assertTrue(settings.evaluation_date, bond.valuation_date)

        # the following assertion fails but must be verified
        self.assertAlmostEqual(101.1, bond.clean_price, 1)
        self.assertAlmostEqual(101.1, bond.net_present_value, 1)
        self.assertAlmostEqual(101.1, bond.dirty_price)
        self.assertAlmostEqual(0.009851, bond.accrued_amount())


        print settings.evaluation_date
        print 'Principal: {}'.format(face_amount)
        print 'Issuing date: {} '.format(bond.issue_date)
        print 'Maturity: {}'.format(bond.maturity_date)
        print 'Coupon rate: {:.4%}'.format(coupon_rate)
        print 'Yield: {:.4%}'.format(bond_yield)
        print 'Net present value: {:.4f}'.format(bond.net_present_value)
        print 'Clean price: {:.4f}'.format(bond.clean_price)
        print 'Dirty price: {:.4f}'.format(bond.dirty_price)
        print 'Accrued coupon: {:.6f}'.format(bond.accrued_amount())
        print 'Accrued coupon: {:.6f}'.format(
            bond.accrued_amount(Date(1, March, 2011))
        )

    def test_excel_example_with_floating_rate_bond(self):
        
        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_date = calendar.adjust(Date(28, January, 2011))
        settlement_days = 3 #1
        face_amount = 13749769.27 #2
        coupon_rate = 0.05
        redemption = 100.0

        float_bond_schedule = Schedule(
            effective_date,
            termination_date,
            Period(Annual),
            calendar,
            ModifiedFollowing,
            ModifiedFollowing,
            Backward
        )#3
        
        flat_discounting_term_structure = YieldTermStructure(relinkable=True)
        forecastTermStructure = YieldTermStructure(relinkable=True)
        
        
        dc = Actual360()
        ibor_index = Euribor6M(forecastTermStructure) #5

        
        fixing_days = 2 #6
        gearings = [1,0.0] #7
        spreads = [1,0.05] #8
        caps = [] #9
        floors = [] #10
        pmt_conv = ModifiedFollowing #11

        issue_date = effective_date

        
        float_bond = FloatingRateBond(settlement_days, face_amount, float_bond_schedule, ibor_index, dc, 
                                    fixing_days, gearings, spreads, caps, floors, pmt_conv, redemption, issue_date)

        flat_term_structure = FlatForward(
            settlement_days = 1,
            forward         = 0.055,
            calendar        = NullCalendar(),
            daycounter      = Actual365Fixed(),
            compounding     = Continuous,
            frequency       = Annual)
        flat_discounting_term_structure.link_to(flat_term_structure)
        forecastTermStructure.link_to(flat_term_structure)
        
        engine = DiscountingBondEngine(flat_discounting_term_structure)
        
        float_bond.set_pricing_engine(engine)
        cons_option_vol = ConstantOptionletVolatility(settlement_days, UnitedStates(SETTLEMENT), pmt_conv, 0.95, Actual365Fixed())
        coupon_pricer = BlackIborCouponPricer(cons_option_vol)
        
        set_coupon_pricer(float_bond,coupon_pricer)
        

        self.assertEquals(Date(10, Jul, 2016), termination_date)
        self.assertEquals(
            calendar.advance(todays_date, 3, Days), float_bond.settlement_date()
        )
        self.assertEquals(Date(11, Jul, 2016), float_bond.maturity_date)
        self.assertAlmostEqual(
            0.6944, float_bond.accrued_amount(float_bond.settlement_date()), 4
        )
        self.assertAlmostEqual(98.2485, float_bond.dirty_price, 4)
        self.assertAlmostEqual(13500805.2469, float_bond.npv,4)

from quantlib.time.date import Date, August, Period, Jul, Annual, Years
from quantlib.time.daycounter import Actual365Fixed
from quantlib.time.daycounters.actual_actual import ActualActual, ISMA
from quantlib.time.schedule import Schedule, Backward
from quantlib.settings import Settings
from quantlib.termstructures.yields.api import (
    FlatForward, YieldTermStructure
)

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),

    def test_bucketanalysis_bond(self):

        settings = Settings()


        calendar = TARGET()


        settlement_date = calendar.adjust(Date(28, January, 2011))
        simple_quotes = []

        fixing_days = 1
        settlement_days = 1

        todays_date = calendar.advance(
            settlement_date, -fixing_days, Days
        )

        settings.evaluation_date = todays_date


        face_amount = 100.0
        redemption = 100.0
        issue_date = Date(27, January, 2011)
        maturity_date = Date(1, January, 2021)
        coupon_rate = 0.055
        bond_yield = 0.034921

        flat_discounting_term_structure = YieldTermStructure(relinkable=True)
        flat_term_structure = FlatForward(
            reference_date = settlement_date,
            forward        = bond_yield,
            daycounter     = Actual365Fixed(), 
            compounding    = Compounded,
            frequency      = Semiannual)

        flat_discounting_term_structure.link_to(flat_term_structure)


        fixed_bond_schedule = Schedule(
            issue_date,
            maturity_date,
            Period(Semiannual),
            UnitedStates(market=GOVERNMENTBOND),
            Unadjusted,
            Unadjusted,
            Backward,
            False);


        bond = FixedRateBond(
            settlement_days,
                    face_amount,
                    fixed_bond_schedule,
                    [coupon_rate],
            ActualActual(Bond),
                    Unadjusted,
            redemption,
            issue_date
        )

        bfs=bf.BondFunctions()
        d=bfs.startDate(bond)
        bfs.display()
        zspd=bfs.zSpread(bond,100.0,flat_term_structure,Actual365Fixed(),
        Compounded,Semiannual,settlement_date,1e-6,100,0.5)

             
        depositData = [[ 1, Months, 4.581 ],
                        [ 2, Months, 4.573 ],
                        [ 3, Months, 4.557 ],
                        [ 6, Months, 4.496 ],
                        [ 9, Months, 4.490 ]]

        swapData = [[ 1, Years, 4.54 ],
                    [ 5, Years, 4.99 ],
                    [ 10, Years, 5.47 ],
                    [ 20, Years, 5.89 ],
                    [ 30, Years, 5.96 ]]

        rate_helpers = []

        end_of_month = True
        for m, period, rate in depositData:
            tenor = Period(m, Months)
            sq_rate = SimpleQuote(rate/100)
            helper = DepositRateHelper(sq_rate, 
                        tenor, 
                        settlement_days,
                        calendar,
                        ModifiedFollowing,
                        end_of_month,
                        Actual360())
            simple_quotes.append(sq_rate)
            rate_helpers.append(helper)

        liborIndex = Libor('USD Libor', Period(6, Months), settlement_days,
                            USDCurrency(), calendar, Actual360(),
                            YieldTermStructure(relinkable=False))

#.........这里部分代码省略.........

    def test_display(self):

        settings = Settings()

        # Date setup
        calendar = TARGET()

        # Settlement date
        settlement_date = calendar.adjust(Date(28, January, 2011))

        # Evaluation date
        fixing_days = 1
        settlement_days = 1

        todays_date = calendar.advance(
            settlement_date, -fixing_days, Days
        )

        settings.evaluation_date = todays_date

        # Bound attributes
        face_amount = 100.0
        redemption = 100.0
        issue_date = Date(27, January, 2011)
        maturity_date = Date(31, August, 2020)
        coupon_rate = 0.03625
        bond_yield = 0.034921

        flat_discounting_term_structure = YieldTermStructure(relinkable=True)
        flat_term_structure = FlatForward(
            reference_date = settlement_date,
            forward        = bond_yield,
            daycounter     = Actual365Fixed(), #actual_actual.ActualActual(actual_actual.Bond),
            compounding    = Compounded,
            frequency      = Semiannual)
        # have a look at the FixedRateBondHelper to simplify this
        # construction
        flat_discounting_term_structure.link_to(flat_term_structure)


	#Rate
        fixed_bond_schedule = Schedule(
            issue_date,
            maturity_date,
            Period(Semiannual),
            UnitedStates(market=GOVERNMENTBOND),
            Unadjusted,
            Unadjusted,
            Backward,
            False);


        bond = FixedRateBond(
            settlement_days,
		    face_amount,
		    fixed_bond_schedule,
		    [coupon_rate],
            ActualActual(Bond),
		    Unadjusted,
            redemption,
            issue_date
        )
        
        

        d=bf.startDate(bond)

        zspd=bf.zSpread(bond, 100.0, flat_term_structure, Actual365Fixed(),
        Compounded, Semiannual, settlement_date, 1e-6, 100, 0.5)
        

        #Also need a test case for a PiecewiseTermStructure...                
        depositData = [[ 1, Months, 4.581 ],
                       [ 2, Months, 4.573 ],
                       [ 3, Months, 4.557 ],
                       [ 6, Months, 4.496 ],
                       [ 9, Months, 4.490 ]]

        swapData = [[ 1, Years, 4.54 ],
                    [ 5, Years, 4.99 ],
                    [ 10, Years, 5.47 ],
                    [ 20, Years, 5.89 ],
                    [ 30, Years, 5.96 ]]

        rate_helpers = []

        end_of_month = True
        for m, period, rate in depositData:
            tenor = Period(m, Months)

            helper = DepositRateHelper(SimpleQuote(rate/100), tenor, settlement_days,
                     calendar, ModifiedFollowing, end_of_month,
                     Actual360())

            rate_helpers.append(helper)

        liborIndex = Libor('USD Libor', Period(6, Months), settlement_days,
                           USDCurrency(), calendar, Actual360(),
                           YieldTermStructure(relinkable=False))

#.........这里部分代码省略.........

def _bndprice(bond_yield, coupon_rate, pricing_date, maturity_date,
              period, basis, compounding_frequency):
    """
    Clean price and accrued interest of a bond
    """

    _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)

    settlement_date = calendar.advance(
            evaluation_date, 2, Days, convention=ModifiedFollowing)

    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
    )

    discounting_term_structure = YieldTermStructure(relinkable=True)

    cnt_yield = DayCounter.from_name('Actual/Actual (Historical)')

    flat_term_structure = FlatForward(
        settlement_days=2,
        forward=bond_yield,
        calendar=NullCalendar(),
        daycounter=cnt_yield,
        compounding=Compounded,
        frequency=_period)

    discounting_term_structure.link_to(flat_term_structure)

    engine = DiscountingBondEngine(discounting_term_structure)

    bond.set_pricing_engine(engine)

    price = bond.clean_price
    ac = bond.accrued_amount(pydate_to_qldate(settlement_date))

    return (price, ac)