Amended FinTestCases and Fixed bugs in date generation (add tenor)

domokane · Sep 26, 2021 · 2d43d10 · 2d43d10
1 parent c3ffdf7
commit 2d43d10
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Showing 23 changed files with 171 additions and 127 deletions.
diff --git a/financepy/market/curves/discount_curve.py b/financepy/market/curves/discount_curve.py
@@ -77,7 +77,8 @@ def __init__(self,
         self._dfs = np.array(self._dfs)
         self._interp_type = interp_type
         self._freq_type = FrequencyTypes.CONTINUOUS
-        self._day_count_type = None  # Not needed for this curve
+        # This needs to be thought about - I just assign an arbitrary value
+        self._day_count_type = DayCountTypes.ACT_ACT_ISDA
         self._interpolator = Interpolator(self._interp_type)
         self._interpolator.fit(self._times, self._dfs)
 
@@ -280,11 +281,13 @@ def swap_rate(self,
     ###############################################################################
 
     def df(self,
-           dt: (list, Date)):
+           dt: (list, Date),
+           day_count = DayCountTypes.ACT_ACT_ISDA):
         """ Function to calculate a discount factor from a date or a
-        vector of dates. """
+        vector of dates. The day count determines how dates get converted to 
+        years. I allow this to default to ACT_ACT_ISDA unless specified. """
 
-        times = times_from_dates(dt, self._valuation_date, self._day_count_type)
+        times = times_from_dates(dt, self._valuation_date, day_count)
         dfs = self._df(times)
 
         if isinstance(dfs, float):

diff --git a/financepy/market/volatility/equity_vol_surface.py b/financepy/market/volatility/equity_vol_surface.py
@@ -194,7 +194,7 @@ def _delta_fit(k, *args):
 
 
 @njit(float64(float64, float64, float64, float64, int64, int64, float64,
-              float64, float64[:]), fastmath=True)
+              float64, float64[:]), cache=True, fastmath=True)
 def _solver_for_smile_strike(s, t, r, q,
                          option_type_value,
                          volatilityTypeValue,

diff --git a/financepy/models/bk_tree.py b/financepy/models/bk_tree.py
@@ -760,7 +760,7 @@ def callable_puttable_bond_tree_fast(coupon_times, coupon_flows,
 ###############################################################################
 
 
-@njit(fastmath=True)
+@njit(fastmath=True, cache=True)
 def build_tree_fast(a, sigma, tree_times, num_time_steps, discount_factors):
     """ Calibrate the tree to a term structure of interest rates. """
 

diff --git a/financepy/models/option_implied_dbn.py b/financepy/models/option_implied_dbn.py
@@ -17,7 +17,7 @@
 ###############################################################################
 
 @njit(float64[:](float64, float64, float64, float64, float64[:], 
-                 float64[:]), cache=True)
+                 float64[:]), cache=True, fastmath=True)
 def option_implied_dbn(s, t, r, q, strikes, sigmas):
     """ This function calculates the option smile/skew-implied probability
     density function times the interval width. """

diff --git a/financepy/products/rates/dual_curve.py b/financepy/products/rates/dual_curve.py
@@ -274,7 +274,12 @@ def _validate_inputs(self,
         self._usedDeposits = ibor_deposits
         self._usedFRAs = ibor_fras
         self._usedSwaps = ibor_swaps
-        self._day_count_type = None
+
+        # Need the floating leg basis for the curve
+        if len(self._usedSwaps) > 0:
+            self._day_count_type = ibor_swaps[0]._float_leg._day_count_type
+        else:
+            self._day_count_type = None
 
 ###############################################################################
 

diff --git a/financepy/products/rates/ibor_single_curve.py b/financepy/products/rates/ibor_single_curve.py
@@ -351,8 +351,13 @@ def _validate_inputs(self,
         self._usedDeposits = ibor_deposits
         self._usedFRAs = ibor_fras
         self._usedSwaps = ibor_swaps
-        self._day_count_type = None
 
+      # Need the floating leg basis for the curve
+        if len(self._usedSwaps) > 0:
+            self._day_count_type = ibor_swaps[0]._float_leg._day_count_type
+        else:
+            self._day_count_type = None
+
 ###############################################################################
 
     def _build_curve_using_1d_solver(self):

diff --git a/financepy/products/rates/ibor_swap.py b/financepy/products/rates/ibor_swap.py
@@ -96,7 +96,7 @@ def __init__(self,
                                        bus_day_adjust_type,
                                        date_gen_rule_type)
 
-        self._floatLeg = SwapFloatLeg(effective_date,
+        self._float_leg = SwapFloatLeg(effective_date,
                                       self._termination_date,
                                       float_leg_type,
                                       float_spread,
@@ -125,7 +125,7 @@ def value(self,
         fixed_leg_value = self._fixed_leg.value(valuation_date,
                                                 discount_curve)
 
-        float_leg_value = self._floatLeg.value(valuation_date,
+        float_leg_value = self._float_leg.value(valuation_date,
                                                discount_curve,
                                                index_curve,
                                                firstFixingRate)
@@ -139,10 +139,9 @@ def pv01(self, valuation_date, discount_curve):
         """ Calculate the value of 1 basis point coupon on the fixed leg. """
 
         pv = self._fixed_leg.value(valuation_date, discount_curve)
-
-        # Needs to be positive even if it is a payer leg
-        pv = np.abs(pv)
         pv01 = pv / self._fixed_leg._coupon / self._fixed_leg._notional
+        # Needs to be positive even if it is a payer leg
+        pv01 = np.abs(pv01)
         return pv01
 
     ###########################################################################
@@ -177,7 +176,7 @@ def swap_rate(self,
             df_t = discount_curve.df(self._maturity_date)
             float_leg_pv = (df0 - df_t)
         else:
-            float_leg_pv = self._floatLeg.value(valuation_date,
+            float_leg_pv = self._float_leg.value(valuation_date,
                                                 discount_curve,
                                                 index_curve,
                                                 first_fixing)
@@ -239,7 +238,7 @@ def print_float_leg_pv(self):
         """ Prints the fixed leg amounts without any valuation details. Shows
         the dates and sizes of the promised fixed leg flows. """
 
-        self._floatLeg.print_valuation()
+        self._float_leg.print_valuation()
 
     ###########################################################################
 
@@ -248,7 +247,7 @@ def print_flows(self):
         the dates and sizes of the promised fixed leg flows. """
 
         self._fixed_leg.print_payments()
-        self._floatLeg.print_payments()
+        self._float_leg.print_payments()
 
     ###########################################################################
 
@@ -257,7 +256,7 @@ def __repr__(self):
         s = label_to_string("OBJECT TYPE", type(self).__name__)
         s += self._fixed_leg.__repr__()
         s += "\n"
-        s += self._floatLeg.__repr__()
+        s += self._float_leg.__repr__()
         return s
 
     ###########################################################################

diff --git a/financepy/products/rates/ois.py b/financepy/products/rates/ois.py
@@ -10,7 +10,7 @@
 from ...utils.frequency import FrequencyTypes
 from ...utils.calendar import CalendarTypes,  DateGenRuleTypes
 from ...utils.calendar import Calendar, BusDayAdjustTypes
-from ...utils.helpers import check_argument_types
+from ...utils.helpers import check_argument_types, label_to_string
 from ...utils.math import ONE_MILLION
 from ...utils.global_types import SwapTypes
 from ...market.curves.discount_curve import DiscountCurve
@@ -65,12 +65,12 @@ def __init__(self,
                  termination_date_or_tenor: (Date, str),  # Date contract ends
                  fixed_leg_type: SwapTypes,
                  fixed_coupon: float,  # Fixed coupon (annualised)
-                 fixedFreqType: FrequencyTypes,
+                 fixed_freq_type: FrequencyTypes,
                  fixed_day_count_type: DayCountTypes,
                  notional: float = ONE_MILLION,
                  payment_lag: int = 0,  # Number of days after period payment occurs
                  float_spread: float = 0.0,
-                 floatFreqType: FrequencyTypes = FrequencyTypes.ANNUAL,
+                 float_freq_type: FrequencyTypes = FrequencyTypes.ANNUAL,
                  float_day_count_type: DayCountTypes = DayCountTypes.THIRTY_E_360,
                  calendar_type: CalendarTypes = CalendarTypes.WEEKEND,
                  bus_day_adjust_type: BusDayAdjustTypes = BusDayAdjustTypes.FOLLOWING,
@@ -100,17 +100,17 @@ def __init__(self,
 
         self._effective_date = effective_date
 
-        floatLegType = SwapTypes.PAY
+        float_leg_type = SwapTypes.PAY
         if fixed_leg_type == SwapTypes.PAY:
-            floatLegType = SwapTypes.RECEIVE
+            float_leg_type = SwapTypes.RECEIVE
 
         principal = 0.0
 
         self._fixed_leg = SwapFixedLeg(effective_date,
                                        self._termination_date,
                                        fixed_leg_type,
                                        fixed_coupon,
-                                       fixedFreqType,
+                                       fixed_freq_type,
                                        fixed_day_count_type,
                                        notional,
                                        principal,
@@ -119,11 +119,11 @@ def __init__(self,
                                        bus_day_adjust_type,
                                        date_gen_rule_type)
 
-        self._floatLeg = SwapFloatLeg(effective_date,
+        self._float_leg = SwapFloatLeg(effective_date,
                                       self._termination_date,
-                                      floatLegType,
+                                      float_leg_type,
                                       float_spread,
-                                      floatFreqType,
+                                      float_freq_type,
                                       float_day_count_type,
                                       notional,
                                       principal,
@@ -136,18 +136,18 @@ def __init__(self,
 
     def value(self,
               valuation_date: Date,
-              oisCurve: DiscountCurve,
-              firstFixingRate=None):
+              ois_curve: DiscountCurve,
+              first_fixing_rate=None):
         """ Value the interest rate swap on a value date given a single Ibor
         discount curve. """
 
         fixed_leg_value = self._fixed_leg.value(valuation_date,
-                                             oisCurve)
+                                                ois_curve)
 
-        float_leg_value = self._floatLeg.value(valuation_date,
-                                             oisCurve,
-                                             oisCurve,
-                                             firstFixingRate)
+        float_leg_value = self._float_leg.value(valuation_date,
+                                                ois_curve,
+                                                ois_curve,
+                                                first_fixing_rate)
 
         value = fixed_leg_value + float_leg_value
         return value
@@ -157,37 +157,31 @@ def value(self,
     def pv01(self, valuation_date, discount_curve):
         """ Calculate the value of 1 basis point coupon on the fixed leg. """
 
-        pv = self._fixed_leg.value(valuation_date, discount_curve)
-
-        # Needs to be positive even if it is a payer leg
-        pv = np.abs(pv)
+        pv = self._fixed_leg.value(valuation_date, discount_curve)        
         pv01 = pv / self._fixed_leg._coupon / self._fixed_leg._notional
+
+        # Needs to be positive even if it is a payer leg and/or coupon < 0
+        pv01 = np.abs(pv01)
         return pv01
 
 ##########################################################################
 
-    def swap_rate(self, valuation_date, oisCurve):
+    def swap_rate(self, valuation_date, ois_curve, first_fixing_rate = None):
         """ Calculate the fixed leg coupon that makes the swap worth zero.
         If the valuation date is before the swap payments start then this
         is the forward swap rate as it starts in the future. The swap rate
         is then a forward swap rate and so we use a forward discount
         factor. If the swap fixed leg has begun then we have a spot
         starting swap. """
 
-        pv01 = self.pv01(valuation_date, oisCurve)
-
-        if valuation_date < self._effective_date:
-            df0 = oisCurve.df(self._effective_date)
-        else:
-            df0 = oisCurve.df(valuation_date)
+        pv01 = self.pv01(valuation_date, ois_curve)
 
-        floatLegPV = 0.0
-
-        dfT = oisCurve.df(self._maturity_date)
-        floatLegPV = (df0 - dfT) 
-# Removed the next line as it seems unneccesary
-#        floatLegPV /= self._fixed_leg._notional
-        cpn = floatLegPV / pv01           
+        float_leg_value = self._float_leg.value(valuation_date,
+                                             ois_curve,
+                                             ois_curve,
+                                             first_fixing_rate)
+
+        cpn = float_leg_value / pv01           
         return cpn
 
 ###############################################################################
@@ -204,7 +198,7 @@ def print_float_leg_pv(self):
         """ Prints the fixed leg amounts without any valuation details. Shows
         the dates and sizes of the promised fixed leg flows. """
 
-        self._floatLeg.print_valuation()
+        self._float_leg.print_valuation()
 
 ###############################################################################
 
@@ -213,16 +207,15 @@ def print_flows(self):
         the dates and sizes of the promised fixed leg flows. """
 
         self._fixed_leg.print_payments()
-
-        self._floatLeg.print_payments()
+        self._float_leg.print_payments()
 
 ##########################################################################
 
     def __repr__(self):
         s = label_to_string("OBJECT TYPE", type(self).__name__)
         s += self._fixed_leg.__repr__()
         s += "\n"
-        s += self._floatLeg.__repr__()
+        s += self._float_leg.__repr__()
         return s
 
 ###############################################################################

diff --git a/financepy/products/rates/ois_curve.py b/financepy/products/rates/ois_curve.py
@@ -300,7 +300,12 @@ def _validate_inputs(self,
         self._usedDeposits = oisDeposits
         self._usedFRAs = oisFRAs
         self._usedSwaps = oisSwaps
-        self._day_count_type = None
+
+       # Need the floating leg basis for the curve
+        if len(self._usedSwaps) > 0:
+            self._day_count_type = oisSwaps[0]._float_leg._day_count_type
+        else:
+            self._day_count_type = None
 
 ###############################################################################
 

diff --git a/financepy/products/rates/swap_float_leg.py b/financepy/products/rates/swap_float_leg.py
@@ -160,6 +160,9 @@ def value(self,
         numPayments = len(self._payment_dates)
         firstPayment = False
 
+        index_basis = index_curve._day_count_type
+        index_day_counter = DayCount(index_basis)
+
         for iPmnt in range(0, numPayments):
 
             pmntDate = self._payment_dates[iPmnt]
@@ -168,7 +171,10 @@ def value(self,
 
                 startAccruedDt = self._startAccruedDates[iPmnt]
                 endAccruedDt = self._endAccruedDates[iPmnt]
-                alpha = self._year_fracs[iPmnt]
+                pay_alpha = self._year_fracs[iPmnt]
+
+                (index_alpha, num, _) = index_day_counter.year_frac(startAccruedDt,
+                                                              endAccruedDt)
 
                 if firstPayment is False and firstFixingRate is not None:
 
@@ -179,9 +185,9 @@ def value(self,
 
                     dfStart = index_curve.df(startAccruedDt)
                     dfEnd = index_curve.df(endAccruedDt)
-                    fwd_rate = (dfStart / dfEnd - 1.0) / alpha
+                    fwd_rate = (dfStart / dfEnd - 1.0) / index_alpha
 
-                pmntAmount = (fwd_rate + self._spread) * alpha * notional
+                pmntAmount = (fwd_rate + self._spread) * pay_alpha * notional
 
                 dfPmnt = discount_curve.df(pmntDate) / dfValue
                 pmntPV = pmntAmount * dfPmnt

diff --git a/financepy/utils/date.py b/financepy/utils/date.py
@@ -686,6 +686,7 @@ def add_tenor(self,
         newDates = []
 
         for tenStr in tenor:
+
             tenStr = tenStr.upper()
             DAYS = 1
             WEEKS = 2
@@ -727,6 +728,13 @@ def add_tenor(self,
             elif periodType == MONTHS:
                 for _ in range(0, num_periods):
                     newDate = newDate.add_months(1)
+
+                # in case we landed on a 28th Feb and lost the month day we add this logic    
+                y = newDate._y
+                m = newDate._m
+                d = min(self._d, newDate.eom()._d)
+                newDate = Date(d, m, y)
+
             elif periodType == YEARS:
                 for _ in range(0, num_periods):
                     newDate = newDate.add_months(12)
@@ -962,3 +970,4 @@ def test_type():
     print("TEST TYPE", gDateFormatType)
 
 ###############################################################################
+