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examples.py
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examples.py
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#! /usr/bin/env python
# vim: set fileencoding=utf-8
'''
Testing for USD, EUR, and GBP OIS qb. Note that these curves are the same
as the NY DVC curves (in terms of instruments). Using the 30 June 2016 data
below, we achieved <1bp difference for all points for the EUR and GBP OIS
curves to the Numerix curve. There was a difference of 1-2 bps for the USD OIS
curve, as that uses Average Index swaps, which have not been implemented.
The difference is attributable to that adjustment in instruments.
'''
import datetime
import copy
import qbootstrapper as qb
curve_effective = datetime.datetime(2016, 6, 30)
effective = datetime.datetime(2016, 7, 5)
# EUR OIS curve (6/30/2016 data, 6/30/2016 effective date)
eonia = qb.Curve(curve_effective)
eonia_conventions = {'fixed_length': 12,
'float_length': 12,
'fixed_basis': 'Act360',
'float_basis': 'Act360',
'fixed_period_adjustment': 'following',
'float_period_adjustment': 'following',
'fixed_payment_adjustment': 'following',
'float_payment_adjustment': 'following'
}
eonia_cash = qb.LIBORInstrument(curve_effective,
-0.00293,
5,
eonia,
length_type='days',
payment_adjustment='following')
eonia_short_instruments = [(datetime.datetime(2016, 8, 5), -0.00339),
(datetime.datetime(2016, 9, 5), -0.00347),
(datetime.datetime(2016, 10, 5), -0.00357),
(datetime.datetime(2016, 11, 5), -0.00367),
(datetime.datetime(2016, 12, 5), -0.00376),
(datetime.datetime(2017, 1, 5), -0.00385),
(datetime.datetime(2017, 2, 5), -0.00394),
(datetime.datetime(2017, 3, 5), -0.00400),
(datetime.datetime(2017, 4, 5), -0.00406),
(datetime.datetime(2017, 5, 5), -0.00412),
(datetime.datetime(2017, 6, 5), -0.00418)]
eonia_instruments = [(datetime.datetime(2017, 7, 5), -0.00423),
(datetime.datetime(2018, 1, 5), -0.00449),
(datetime.datetime(2018, 7, 5), -0.00468),
(datetime.datetime(2019, 7, 5), -0.00480),
(datetime.datetime(2020, 7, 5), -0.00441),
(datetime.datetime(2021, 7, 5), -0.00364),
(datetime.datetime(2022, 7, 5), -0.00295),
(datetime.datetime(2023, 7, 5), -0.00164),
(datetime.datetime(2024, 7, 5), -0.00055),
(datetime.datetime(2025, 7, 5), 0.00055),
(datetime.datetime(2026, 7, 5), 0.00155),
(datetime.datetime(2027, 7, 5), 0.00248),
(datetime.datetime(2028, 7, 5), 0.00325),
(datetime.datetime(2031, 7, 5), 0.00505),
(datetime.datetime(2036, 7, 5), 0.00651),
(datetime.datetime(2041, 7, 5), 0.00696),
(datetime.datetime(2046, 7, 5), 0.00707),
(datetime.datetime(2051, 7, 5), 0.00718),
(datetime.datetime(2056, 7, 5), 0.00724),
(datetime.datetime(2066, 7, 5), 0.00685)]
eonia.add_instrument(eonia_cash)
for idx, (maturity, rate) in enumerate(eonia_short_instruments):
inst = qb.OISSwapInstrument(effective,
maturity,
rate,
eonia,
fixed_basis='Act360',
fixed_length=idx + 1,
float_length=idx + 1)
eonia.add_instrument(inst)
for (maturity, rate) in eonia_instruments:
inst = qb.OISSwapInstrument(effective,
maturity,
rate,
eonia,
**eonia_conventions)
eonia.add_instrument(inst)
# USD OIS curve (6/30/2016 data, 6/30/2016 effective date)
# Note that these are synthetics, the actual swap rates for 6y+ maturities
# are average OIS + basis v LIBOR
fedfunds = qb.Curve(curve_effective)
fedfunds_short_conventions = {'fixed_period_adjustment': 'following',
'float_period_adjustment': 'following',
'fixed_payment_adjustment': 'following',
'float_payment_adjustment': 'following'}
fedfunds_conventions = {'fixed_length': 6,
'float_length': 3,
'fixed_basis': 'Act360',
'float_basis': 'Act360',
'fixed_period_adjustment': 'following',
'float_period_adjustment': 'following',
'fixed_payment_adjustment': 'following',
'float_payment_adjustment': 'following'}
fedfunds_cash = qb.LIBORInstrument(curve_effective,
0.003,
4,
fedfunds,
length_type='days',
payment_adjustment='following')
fedfunds_swap_onew = qb.OISSwapInstrument(effective,
datetime.datetime(2016, 7, 12),
0.00387,
fedfunds,
fixed_length=1,
float_length=1,
fixed_period_length='weeks',
float_period_length='weeks',
**fedfunds_short_conventions)
fedfunds_swap_twow = qb.OISSwapInstrument(effective,
datetime.datetime(2016, 7, 19),
0.00387,
fedfunds,
fixed_length=2,
float_length=2,
fixed_period_length='weeks',
float_period_length='weeks',
**fedfunds_short_conventions)
fedfunds_swap_threew = qb.OISSwapInstrument(effective,
datetime.datetime(2016, 7, 26),
0.00387,
fedfunds,
fixed_length=3,
float_length=3,
fixed_period_length='weeks',
float_period_length='weeks',
**fedfunds_short_conventions)
fedfunds_short_instruments = [(datetime.datetime(2016, 8, 5), 0.00378, 1),
(datetime.datetime(2016, 9, 5), 0.00375, 2),
(datetime.datetime(2016, 10, 5), 0.00371, 3),
(datetime.datetime(2016, 11, 5), 0.00369, 4),
(datetime.datetime(2016, 12, 5), 0.00366, 5),
(datetime.datetime(2017, 1, 5), 0.00365, 6),
(datetime.datetime(2017, 4, 5), 0.00371, 9)]
fedfunds_instruments = [(datetime.datetime(2017, 7, 5), 0.003780),
(datetime.datetime(2018, 1, 5), 0.003950),
(datetime.datetime(2018, 7, 5), 0.004220),
(datetime.datetime(2019, 7, 5), 0.004850),
(datetime.datetime(2020, 7, 5), 0.005600),
(datetime.datetime(2021, 7, 5), 0.006450),
(datetime.datetime(2022, 7, 5), 0.007350),
(datetime.datetime(2023, 7, 5), 0.008155),
(datetime.datetime(2026, 7, 5), 0.010262),
(datetime.datetime(2028, 7, 5), 0.011370),
(datetime.datetime(2031, 7, 5), 0.012585),
(datetime.datetime(2036, 7, 5), 0.013827),
(datetime.datetime(2041, 7, 5), 0.014470),
(datetime.datetime(2046, 7, 5), 0.014847),
(datetime.datetime(2056, 7, 5), 0.015047),
(datetime.datetime(2066, 7, 5), 0.014897)]
fedfunds.add_instrument(fedfunds_cash)
fedfunds.add_instrument(fedfunds_swap_onew)
fedfunds.add_instrument(fedfunds_swap_twow)
fedfunds.add_instrument(fedfunds_swap_threew)
for (maturity, rate, months) in fedfunds_short_instruments:
inst = qb.OISSwapInstrument(effective,
maturity,
rate,
fedfunds,
fixed_length=months,
float_length=months,
**fedfunds_short_conventions)
fedfunds.add_instrument(inst)
for (maturity, rate) in fedfunds_instruments:
inst = qb.OISSwapInstrument(effective,
maturity,
rate,
fedfunds,
**fedfunds_conventions)
fedfunds.add_instrument(inst)
# EUR EURIBOR 6M curve (6/30/2016 data, 6/30/2016 effective date)
euribor = qb.LIBORCurve(curve_effective, discount_curve=eonia)
effective = datetime.datetime(2016, 7, 4)
euribor_short_conventions = {'fixed_period_adjustment': 'following',
'float_period_adjustment': 'following',
'fixed_payment_adjustment': 'following',
'float_payment_adjustment': 'following',
'fixed_basis': '30E360'}
euribor_conventions = {'fixed_length': 12,
'float_length': 6,
'fixed_basis': '30E360',
'float_basis': 'Act360',
'fixed_period_adjustment': 'following',
'float_period_adjustment': 'following',
'fixed_payment_adjustment': 'following',
'float_payment_adjustment': 'following',
'rate_period': 6,
'rate_period_length': 'months'}
euribor_cash_instruments = [(1, 'weeks', -0.00371),
(2, 'weeks', -0.00370),
(1, 'months', -0.00364),
(2, 'months', -0.00321),
(3, 'months', -0.00286),
(6, 'months', -0.00179)]
euribor_fra_instruments = [(datetime.datetime(2017, 1, 4), datetime.datetime(2017, 7, 4), -0.00210),
(datetime.datetime(2017, 7, 4), datetime.datetime(2018, 1, 4), -0.00222)]
euribor_swap_instruments = [(datetime.datetime(2018, 7, 4), -0.002075),
(datetime.datetime(2019, 7, 4), -0.001979),
(datetime.datetime(2020, 7, 4), -0.001421),
(datetime.datetime(2021, 7, 4), -0.000539),
(datetime.datetime(2022, 7, 4), 0.000166),
(datetime.datetime(2023, 7, 4), 0.001454),
(datetime.datetime(2024, 7, 4), 0.002476),
(datetime.datetime(2025, 7, 4), 0.003498),
(datetime.datetime(2026, 7, 4), 0.004424),
(datetime.datetime(2027, 7, 4), 0.005268),
(datetime.datetime(2028, 7, 4), 0.005954),
(datetime.datetime(2031, 7, 4), 0.007514),
(datetime.datetime(2036, 7, 4), 0.008604),
(datetime.datetime(2041, 7, 4), 0.008824),
(datetime.datetime(2046, 7, 4), 0.008754),
(datetime.datetime(2051, 7, 4), 0.008694),
(datetime.datetime(2056, 7, 4), 0.008582),
(datetime.datetime(2061, 7, 4), 0.008281),
(datetime.datetime(2066, 7, 4), 0.008054)]
for (length, length_type, rate) in euribor_cash_instruments:
inst = qb.LIBORInstrument(effective,
rate,
length,
euribor,
length_type=length_type,
payment_adjustment='following')
euribor.add_instrument(inst)
for (start_date, end_date, rate) in euribor_fra_instruments:
inst = qb.FRAInstrumentByDates(start_date, end_date, rate, euribor)
euribor.add_instrument(inst)
for (maturity, rate) in euribor_swap_instruments:
inst = qb.LIBORSwapInstrument(effective,
maturity,
rate,
euribor,
**euribor_conventions)
euribor.add_instrument(inst)
# USD LIBOR 3M curve (6/30/2016 data)
usdlibor = qb.LIBORCurve(curve_effective, discount_curve=fedfunds)
effective = datetime.datetime(2016, 7, 5)
usdlibor_conventions = {'fixed_length': 6,
'float_length': 3,
'fixed_basis': '30360',
'float_basis': 'Act360',
'fixed_period_adjustment': 'following',
'float_period_adjustment': 'following',
'fixed_payment_adjustment': 'following',
'float_payment_adjustment': 'following',
'rate_period': 3,
'rate_period_length': 'months'}
usdlibor_cash_instruments = [(1, 'weeks', 0.004402),
(1, 'months', 0.004651),
(2, 'months', 0.005490),
(3, 'months', 0.006541)]
usdlibor_futures_instruments = [(datetime.datetime(2016, 9, 21), datetime.datetime(2016, 12, 21), 99.35562),
(datetime.datetime(2016, 12, 21),
datetime.datetime(2017, 3, 21), 99.32671),
(datetime.datetime(2017, 3, 15),
datetime.datetime(2017, 6, 15), 99.30839),
(datetime.datetime(2017, 6, 21),
datetime.datetime(2017, 9, 21), 99.27554),
(datetime.datetime(2017, 9, 20),
datetime.datetime(2017, 12, 20), 99.23812),
(datetime.datetime(2017, 12, 20),
datetime.datetime(2018, 3, 20), 99.18614),
(datetime.datetime(2018, 3, 21),
datetime.datetime(2018, 6, 21), 99.14960),
(datetime.datetime(2018, 6, 20),
datetime.datetime(2018, 9, 20), 99.10847),
(datetime.datetime(2018, 9, 19),
datetime.datetime(2018, 12, 19), 99.06277),
(datetime.datetime(2018, 12, 19),
datetime.datetime(2019, 3, 19), 99.00748),
(datetime.datetime(2019, 3, 20),
datetime.datetime(2019, 6, 20), 98.96757),
(datetime.datetime(2019, 6, 19), datetime.datetime(2019, 9, 19), 98.92307)]
usdlibor_swap_instruments = [(datetime.datetime(2020, 7, 5), 0.00898),
(datetime.datetime(2021, 7, 5), 0.00985),
(datetime.datetime(2022, 7, 5), 0.01075),
(datetime.datetime(2023, 7, 5), 0.01158),
(datetime.datetime(2024, 7, 5), 0.01241),
(datetime.datetime(2025, 7, 5), 0.01311),
(datetime.datetime(2026, 7, 5), 0.01375),
(datetime.datetime(2027, 7, 5), 0.01435),
(datetime.datetime(2028, 7, 5), 0.01487),
(datetime.datetime(2031, 7, 5), 0.01611),
(datetime.datetime(2036, 7, 5), 0.01739),
(datetime.datetime(2041, 7, 5), 0.01807),
(datetime.datetime(2046, 7, 5), 0.01846),
(datetime.datetime(2056, 7, 5), 0.01866),
(datetime.datetime(2066, 7, 5), 0.01851)]
for (length, length_type, rate) in usdlibor_cash_instruments:
inst = qb.LIBORInstrument(effective,
rate,
length,
usdlibor,
length_type=length_type,
payment_adjustment='following')
usdlibor.add_instrument(inst)
for (start_date, end_date, price) in usdlibor_futures_instruments:
inst = qb.FuturesInstrumentByDates(start_date, end_date, price, usdlibor)
usdlibor.add_instrument(inst)
for (maturity, rate) in usdlibor_swap_instruments:
inst = qb.LIBORSwapInstrument(effective,
maturity,
rate,
usdlibor,
**usdlibor_conventions)
usdlibor.add_instrument(inst)
# GBP OIS curve (6/30/2016 data, 6/30/2016 effective date)
sonia = qb.Curve(curve_effective)
sonia_short_conventions = {'fixed_period_adjustment': 'following',
'float_period_adjustment': 'following',
'fixed_payment_adjustment': 'following',
'float_payment_adjustment': 'following',
'rate_basis': 'Act365',
'fixed_basis': 'Act365',
'float_basis': 'Act365'
}
sonia_conventions = {'fixed_length': 12,
'float_length': 12,
'fixed_basis': 'Act360',
'float_basis': 'Act360',
'fixed_period_adjustment': 'following',
'float_period_adjustment': 'following',
'fixed_payment_adjustment': 'following',
'float_payment_adjustment': 'following',
'rate_basis': 'Act365',
'fixed_basis': 'Act365',
'float_basis': 'Act365'
}
sonia_cash = qb.LIBORInstrument(curve_effective,
0.004416,
1,
sonia,
length_type='days',
payment_adjustment='following')
sonia_swap_onew = qb.OISSwapInstrument(curve_effective,
datetime.datetime(2016, 7, 7),
0.00443,
sonia,
fixed_length=1,
float_length=1,
fixed_period_length='weeks',
float_period_length='weeks',
**sonia_short_conventions)
sonia_swap_twow = qb.OISSwapInstrument(curve_effective,
datetime.datetime(2016, 7, 14),
0.00448,
sonia,
fixed_length=2,
float_length=2,
fixed_period_length='weeks',
float_period_length='weeks',
**sonia_short_conventions)
sonia_swap_threew = qb.OISSwapInstrument(curve_effective,
datetime.datetime(2016, 7, 21),
0.004042,
sonia,
fixed_length=3,
float_length=3,
fixed_period_length='weeks',
float_period_length='weeks',
**sonia_short_conventions)
sonia_swap_onem = qb.OISSwapInstrument(curve_effective,
datetime.datetime(2016, 7, 29),
0.0038,
sonia,
fixed_length=1,
float_length=1,
**sonia_short_conventions)
sonia_swap_twom = qb.OISSwapInstrument(curve_effective,
datetime.datetime(2016, 8, 31),
0.003017,
sonia,
fixed_length=2,
float_length=2,
**sonia_short_conventions)
sonia_swap_threem = qb.OISSwapInstrument(curve_effective,
datetime.datetime(2016, 9, 30),
0.002653,
sonia,
fixed_length=3,
float_length=3,
**sonia_short_conventions)
sonia_swap_fourm = qb.OISSwapInstrument(curve_effective,
datetime.datetime(2016, 10, 31),
0.002425,
sonia,
fixed_length=4,
float_length=4,
**sonia_short_conventions)
sonia_swap_fivem = qb.OISSwapInstrument(curve_effective,
datetime.datetime(2016, 11, 30),
0.002213,
sonia,
fixed_length=5,
float_length=5,
**sonia_short_conventions)
sonia_swap_sixm = qb.OISSwapInstrument(curve_effective,
datetime.datetime(2016, 12, 30),
0.002053,
sonia,
fixed_length=6,
float_length=6,
**sonia_short_conventions)
sonia_swap_sevenm = qb.OISSwapInstrument(curve_effective,
datetime.datetime(2017, 1, 31),
0.001925,
sonia,
fixed_length=7,
float_length=7,
**sonia_short_conventions)
sonia_swap_eightm = qb.OISSwapInstrument(curve_effective,
datetime.datetime(2017, 2, 28),
0.001812,
sonia,
fixed_length=8,
float_length=8,
**sonia_short_conventions)
sonia_swap_ninem = qb.OISSwapInstrument(curve_effective,
datetime.datetime(2017, 3, 31),
0.001716,
sonia,
fixed_length=9,
float_length=9,
**sonia_short_conventions)
sonia_swap_tenm = qb.OISSwapInstrument(curve_effective,
datetime.datetime(2017, 4, 28),
0.00164,
sonia,
fixed_length=10,
float_length=10,
**sonia_short_conventions)
sonia_swap_elevenm = qb.OISSwapInstrument(curve_effective,
datetime.datetime(2017, 5, 31),
0.001564,
sonia,
fixed_length=11,
float_length=11,
**sonia_short_conventions)
sonia_short_swaps = [sonia_cash, sonia_swap_onew, sonia_swap_twow,
sonia_swap_threew, sonia_swap_onem, sonia_swap_twom,
sonia_swap_threem, sonia_swap_fourm, sonia_swap_fivem,
sonia_swap_sixm, sonia_swap_sevenm, sonia_swap_eightm,
sonia_swap_ninem, sonia_swap_tenm, sonia_swap_elevenm]
sonia_swap_data = [(datetime.datetime(2017, 6, 30), 0.001499),
(datetime.datetime(2017, 12, 29), 0.001223),
(datetime.datetime(2018, 6, 30), 0.001076),
(datetime.datetime(2019, 6, 30), 0.001106),
(datetime.datetime(2020, 6, 30), 0.001444),
(datetime.datetime(2021, 6, 30), 0.002058),
(datetime.datetime(2022, 6, 30), 0.00284),
(datetime.datetime(2023, 6, 30), 0.003749),
(datetime.datetime(2024, 6, 30), 0.004668),
(datetime.datetime(2025, 6, 30), 0.005532),
(datetime.datetime(2026, 6, 30), 0.006322),
(datetime.datetime(2027, 6, 30), 0.007016),
(datetime.datetime(2028, 6, 30), 0.007609),
(datetime.datetime(2031, 6, 30), 0.008891),
(datetime.datetime(2036, 6, 30), 0.009792),
(datetime.datetime(2041, 6, 30), 0.009916),
(datetime.datetime(2046, 6, 30), 0.009869),
(datetime.datetime(2056, 6, 30), 0.009242),
(datetime.datetime(2066, 6, 30), 0.009003)]
for inst in sonia_short_swaps:
sonia.add_instrument(inst)
for maturity, rate in sonia_swap_data:
sonia.add_instrument(qb.OISSwapInstrument(curve_effective,
maturity,
rate,
sonia,
**sonia_conventions))
fedfunds_short = qb.Curve(curve_effective)
fedfunds_short_short_instruments = [
fedfunds_cash,
fedfunds_swap_onew,
fedfunds_swap_twow,
fedfunds_swap_threew]
for inst in fedfunds_short_short_instruments:
new_inst = copy.deepcopy(inst)
new_inst.curve = fedfunds_short
fedfunds_short.add_instrument(new_inst)
for (maturity, rate, months) in fedfunds_short_instruments:
inst = qb.OISSwapInstrument(effective,
maturity,
rate,
fedfunds_short,
fixed_length=months,
float_length=months,
**fedfunds_short_conventions)
fedfunds_short.add_instrument(inst)
for (maturity, rate) in fedfunds_instruments[:6]:
inst = qb.OISSwapInstrument(effective,
maturity,
rate,
fedfunds_short,
**fedfunds_conventions)
fedfunds_short.add_instrument(inst)
usdlibor_short = qb.LIBORCurve(curve_effective, discount_curve=fedfunds_short)
for (length, length_type, rate) in usdlibor_cash_instruments:
inst = qb.LIBORInstrument(effective,
rate,
length,
usdlibor_short,
length_type=length_type,
payment_adjustment='following')
usdlibor_short.add_instrument(inst)
for (start_date, end_date, price) in usdlibor_futures_instruments:
inst = qb.FuturesInstrumentByDates(start_date, end_date, price, usdlibor_short)
usdlibor_short.add_instrument(inst)
for (maturity, rate) in usdlibor_swap_instruments[:2]:
inst = qb.LIBORSwapInstrument(effective,
maturity,
rate,
usdlibor_short,
**usdlibor_conventions)
usdlibor_short.add_instrument(inst)
fedfunds_libor_libor_swaps = usdlibor_swap_instruments[2:4]
fedfunds_libor_libor_swaps.extend([usdlibor_swap_instruments[6]])
fedfunds_libor_libor_swaps.extend(usdlibor_swap_instruments[8:])
fedfunds_libor = qb.SimultaneousStrippedCurve(curve_effective,
fedfunds_short,
usdlibor_short)
fedfunds_libor_swap_data = [(datetime.datetime(2022, 7, 5), 0.003400),
(datetime.datetime(2023, 7, 5), 0.003425),
(datetime.datetime(2026, 7, 5), 0.003488),
(datetime.datetime(2028, 7, 5), 0.003500),
(datetime.datetime(2031, 7, 5), 0.003525),
(datetime.datetime(2036, 7, 5), 0.003563),
(datetime.datetime(2041, 7, 5), 0.003600),
(datetime.datetime(2046, 7, 5), 0.003613),
(datetime.datetime(2056, 7, 5), 0.003613),
(datetime.datetime(2066, 7, 5), 0.003613)]
for idx, (maturity, rate) in enumerate(fedfunds_libor_swap_data):
ois_inst = qb.AverageIndexBasisSwapInstrument(effective,
maturity,
fedfunds_libor,
leg_one_spread=rate)
libor_inst = qb.LIBORSwapInstrument(effective,
fedfunds_libor_libor_swaps[idx][0],
fedfunds_libor_libor_swaps[idx][1],
usdlibor,
**usdlibor_conventions)
instrument_pair = qb.SimultaneousInstrument(ois_inst,
libor_inst,
fedfunds_libor)
fedfunds_libor.add_instrument(instrument_pair)
# eonia.build()
# eonia.view()
# eonia.zeros()
# fedfunds.build()
# fedfunds.view()
# fedfunds.zeros()
# sonia.build()
# sonia.view()
# sonia.zeros()
# euribor.build()
# euribor.view()
# euribor.zeros()
# usdlibor.build()
# usdlibor.view()
# usdlibor.zeros()
# fedfunds_libor.build()
# fedfunds_libor.discount_curve.view()
# fedfunds_libor.discount_curve.zeros()
# fedfunds_libor.projection_curve.view()
# fedfunds_libor.projection_curve.zeros()