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# -*- coding: utf-8 -*-
import QuantLib as ql
import pandas as pd
print(ql.__version__)
interactive = 'get_ipython' in globals()
# ### Global data
calendar = ql.TARGET()
settlementDate = ql.Date(18, ql.September, 2008)
settlementDate = calendar.adjust(settlementDate)
fixingDays = 3
settlementDays = 3
todaysDate = calendar.advance(settlementDate, -fixingDays, ql.Days)
ql.Settings.instance().evaluationDate = todaysDate
print("Today: " + str(todaysDate))
print("Settlement Date: " + str(settlementDate))
# ### Market quotes
zcQuotes = [(0.0096, ql.Period(3, ql.Months)), (0.0145, ql.Period(6, ql.Months)), (0.0194, ql.Period(1, ql.Years))]
zcBondsDayCounter = ql.Actual365Fixed()
zcHelpers = [
ql.DepositRateHelper(
ql.makeQuoteHandle(r), tenor, fixingDays, calendar, ql.ModifiedFollowing, True, zcBondsDayCounter
)
for (r, tenor) in zcQuotes
]
# ### Setup bonds
redemption = 100.0
numberOfBonds = 5
bondQuotes = [
(ql.Date(15, ql.March, 2005), ql.Date(31, ql.August, 2010), 0.02375, 100.390625),
(ql.Date(15, ql.June, 2005), ql.Date(31, ql.August, 2011), 0.04625, 106.21875),
(ql.Date(30, ql.June, 2006), ql.Date(31, ql.August, 2013), 0.03125, 100.59375),
(ql.Date(15, ql.November, 2002), ql.Date(15, ql.August, 2018), 0.04000, 101.6875),
(ql.Date(15, ql.May, 1987), ql.Date(15, ql.May, 2038), 0.04500, 102.140625),
]
# ### Definition of the rate helpers
bondsHelpers = []
for issueDate, maturity, couponRate, marketQuote in bondQuotes:
schedule = ql.Schedule(
issueDate,
maturity,
ql.Period(ql.Semiannual),
ql.UnitedStates(ql.UnitedStates.GovernmentBond),
ql.Unadjusted,
ql.Unadjusted,
ql.DateGeneration.Backward,
False,
)
bondsHelpers.append(
ql.FixedRateBondHelper(
ql.makeQuoteHandle(marketQuote),
settlementDays,
100.0,
schedule,
[couponRate],
ql.ActualActual(ql.ActualActual.Bond),
ql.Unadjusted,
redemption,
issueDate,
)
)
# ### Curve building
termStructureDayCounter = ql.ActualActual(ql.ActualActual.ISDA)
bondInstruments = zcHelpers + bondsHelpers
bondDiscountingTermStructure = ql.PiecewiseFlatForward(settlementDate, bondInstruments, termStructureDayCounter)
# ### Building of the LIBOR forecasting curve
dQuotes = [
(0.043375, ql.Period(1, ql.Weeks)),
(0.031875, ql.Period(1, ql.Months)),
(0.0320375, ql.Period(3, ql.Months)),
(0.03385, ql.Period(6, ql.Months)),
(0.0338125, ql.Period(9, ql.Months)),
(0.0335125, ql.Period(1, ql.Years)),
]
sQuotes = [
(0.0295, ql.Period(2, ql.Years)),
(0.0323, ql.Period(3, ql.Years)),
(0.0359, ql.Period(5, ql.Years)),
(0.0412, ql.Period(10, ql.Years)),
(0.0433, ql.Period(15, ql.Years)),
]
depositDayCounter = ql.Actual360()
depositHelpers = [
ql.DepositRateHelper(
ql.makeQuoteHandle(rate), tenor, fixingDays, calendar, ql.ModifiedFollowing, True, depositDayCounter
)
for rate, tenor in dQuotes
]
swFixedLegFrequency = ql.Annual
swFixedLegConvention = ql.Unadjusted
swFixedLegDayCounter = ql.Thirty360(ql.Thirty360.European)
swFloatingLegIndex = ql.Euribor6M()
forwardStart = ql.Period(1, ql.Days)
swapHelpers = [
ql.SwapRateHelper(
ql.makeQuoteHandle(rate),
tenor,
calendar,
swFixedLegFrequency,
swFixedLegConvention,
swFixedLegDayCounter,
swFloatingLegIndex,
ql.QuoteHandle(),
forwardStart,
)
for rate, tenor in sQuotes
]
depoSwapInstruments = depositHelpers + swapHelpers
depoSwapTermStructure = ql.PiecewiseFlatForward(settlementDate, depoSwapInstruments, termStructureDayCounter)
# ### Pricing
#
# Term structures that will be used for pricing:
# the one used for discounting cash flows...
discountingTermStructure = ql.RelinkableYieldTermStructureHandle()
# ...and the one used for forward rate forecasting.
forecastingTermStructure = ql.RelinkableYieldTermStructureHandle()
# Bonds to be priced:
faceAmount = 100
bondEngine = ql.DiscountingBondEngine(discountingTermStructure)
# a zero coupon bond...
zeroCouponBond = ql.ZeroCouponBond(
settlementDays,
ql.UnitedStates(ql.UnitedStates.GovernmentBond),
faceAmount,
ql.Date(15, ql.August, 2013),
ql.Following,
116.92,
ql.Date(15, ql.August, 2003),
)
zeroCouponBond.setPricingEngine(bondEngine)
# ...a fixed 4.5% US Treasury note...
fixedBondSchedule = ql.Schedule(
ql.Date(15, ql.May, 2007),
ql.Date(15, ql.May, 2017),
ql.Period(ql.Semiannual),
ql.UnitedStates(ql.UnitedStates.GovernmentBond),
ql.Unadjusted,
ql.Unadjusted,
ql.DateGeneration.Backward,
False,
)
fixedRateBond = ql.FixedRateBond(
settlementDays,
faceAmount,
fixedBondSchedule,
[0.045],
ql.ActualActual(ql.ActualActual.Bond),
ql.ModifiedFollowing,
100.0,
ql.Date(15, ql.May, 2007),
)
fixedRateBond.setPricingEngine(bondEngine)
# ...and a floating rate bond paying 3M USD Libor + 0.1%
# (should and will be priced on another curve later).
liborTermStructure = ql.RelinkableYieldTermStructureHandle()
libor3m = ql.USDLibor(ql.Period(3, ql.Months), liborTermStructure)
libor3m.addFixing(ql.Date(17, ql.April, 2008), 0.028175)
libor3m.addFixing(ql.Date(17, ql.July, 2008), 0.0278625)
floatingBondSchedule = ql.Schedule(
ql.Date(21, ql.October, 2005),
ql.Date(21, ql.October, 2010),
ql.Period(ql.Quarterly),
ql.UnitedStates(ql.UnitedStates.NYSE),
ql.Unadjusted,
ql.Unadjusted,
ql.DateGeneration.Backward,
True,
)
floatingRateBond = ql.FloatingRateBond(
settlementDays,
faceAmount,
floatingBondSchedule,
libor3m,
ql.Actual360(),
ql.ModifiedFollowing,
spreads=[0.001],
issueDate=ql.Date(21, ql.October, 2005),
)
floatingRateBond.setPricingEngine(bondEngine)
forecastingTermStructure.linkTo(depoSwapTermStructure)
discountingTermStructure.linkTo(bondDiscountingTermStructure)
liborTermStructure.linkTo(depoSwapTermStructure)
# +
data = []
data.append(
(zeroCouponBond.cleanPrice(), fixedRateBond.cleanPrice(), floatingRateBond.cleanPrice())
)
data.append(
(zeroCouponBond.dirtyPrice(), fixedRateBond.dirtyPrice(), floatingRateBond.dirtyPrice())
)
data.append(
(zeroCouponBond.accruedAmount(),
fixedRateBond.accruedAmount(),
floatingRateBond.accruedAmount())
)
data.append(
(None, fixedRateBond.previousCouponRate(), floatingRateBond.previousCouponRate())
)
data.append(
(None, fixedRateBond.nextCouponRate(), floatingRateBond.nextCouponRate())
)
data.append(
(zeroCouponBond.bondYield(ql.Actual360(), ql.Compounded, ql.Annual),
fixedRateBond.bondYield(ql.Actual360(), ql.Compounded, ql.Annual),
floatingRateBond.bondYield(ql.Actual360(), ql.Compounded, ql.Annual))
)
df = pd.DataFrame(data, columns=["ZC", "Fixed", "Floating"],
index=["Clean price", "Dirty price", "Accrued coupon",
"Previous coupon rate", "Next coupon rate", "Yield"])
if not interactive:
print(df)
df
# -
# A few other computations:
# Yield to clean price:
floatingRateBond.cleanPrice(
floatingRateBond.bondYield(ql.Actual360(), ql.Compounded, ql.Annual),
ql.Actual360(),
ql.Compounded,
ql.Annual,
settlementDate,
)
# Clean price to yield:
floatingRateBond.bondYield(
floatingRateBond.cleanPrice(),
ql.Actual360(),
ql.Compounded,
ql.Annual,
settlementDate
)
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