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%matplotlib inline
from datetime import date
import time
import pandas as pd
import numpy as np
pd.options.display.max_colwidth = 60
from Curves.Corporates.CorporateDailyVasicek import CorporateRates
from Boostrappers.CDSBootstrapper.CDSVasicekBootstrapper import BootstrapperCDSLadder
from MonteCarloSimulators.Vasicek.vasicekMCSim import MC_Vasicek_Sim
from Products.Rates.CouponBond import CouponBond
from Products.Credit.CDS import CDS
from Scheduler.Scheduler import Scheduler
import quandl
import matplotlib.pyplot as plt
from parameters import WORKING_DIR
import itertools
marker = itertools.cycle((',', '+', '.', 'o', '*'))
from IPython.core.pylabtools import figsize
figsize(15, 4)
from pandas import ExcelWriter
import numpy.random as nprnd
from pprint import pprint
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t_step = 1.0 / 365.0
simNumber = 10
trim_start = date(2005,3,10)
trim_end = date(2010,12,31) # Last Date of the Portfolio
start = date(2005, 3, 10)
referenceDate = date(2005, 5, 10)
The word portfolio is used to describe just a dict of CouponBonds.
myScheduler = Scheduler()
ReferenceDateList = myScheduler.getSchedule(start=referenceDate,end=trim_end,freq="1M", referencedate=referenceDate)
# SDE parameters - Vasicek SDE
# dr(t) = k(θ − r(t))dt + σdW(t)
self.kappa = x[0]
self.theta = x[1]
self.sigma = x[2]
self.r0 = x[3]
myVasicek = MC_Vasicek_Sim() xOIS = [ 3.0, 0.07536509, -0.208477, 0.07536509] myVasicek.setVasicek(x=xOIS,minDay=trim_start,maxDay=trim_end,simNumber=simNumber,t_step=1/365.0) myVasicek.getLibor()
SixMonthDelay = myScheduler.extractDelay("6M") TwoYearsDelay = myScheduler.extractDelay("2Y") startDates = [referenceDate + nprnd.randint(0,3)*SixMonthDelay for r in range(10)]
myPortfolio = {} coupon = 0.07536509 for i in range(len(startDates)): notional=(-1.0)**i myPortfolio[i] = CouponBond(fee=1.0,start=startDates[i],coupon=coupon,notional=notional, maturity= maturities[i], freq="3M", referencedate=referenceDate)
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myScheduler = Scheduler()
ReferenceDateList = myScheduler.getSchedule(start=referenceDate,end=trim_end,freq="1M", referencedate=referenceDate)
# Create Simulator
xOIS = [ 3.0, 0.07536509, -0.208477, 0.07536509]
myVasicek = MC_Vasicek_Sim(datelist = [trim_start,trim_end],x = xOIS,simNumber = simNumber,t_step =1/365.0 )
#myVasicek.setVasicek(x=xOIS,minDay=trim_start,maxDay=trim_end,simNumber=simNumber,t_step=1/365.0)
myVasicek.getLibor()
# Create Coupon Bond with several startDates.
SixMonthDelay = myScheduler.extractDelay("6M")
TwoYearsDelay = myScheduler.extractDelay("2Y")
startDates = [referenceDate + nprnd.randint(0,3)*SixMonthDelay for r in range(10)]
# For debugging uncomment this to choose a single date for the forward bond
# print(startDates)
startDates = [date(2005,3,10)+SixMonthDelay,date(2005,3,10)+TwoYearsDelay ]
maturities = [(x+TwoYearsDelay) for x in startDates]
myPortfolio = {}
coupon = 0.07536509
for i in range(len(startDates)):
notional=(-1.0)**i
myPortfolio[i] = CouponBond(fee=1.0,start=startDates[i],coupon=coupon,notional=notional,
maturity= maturities[i], freq="3M", referencedate=referenceDate)
def getScheduleComplete(self): self.datelist=self.myScheduler.getSchedule(start=self.start,end=self.maturity,freq=self.freq,referencedate=self.referencedate) self.ntimes = len(self.datelist) fullset = sorted(set(self.datelist) .union([self.referencedate]) .union([self.start]) .union([self.maturity]) ) return fullset,self.datelist
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portfolioScheduleOfCF = set(ReferenceDateList)
for i in range(len(myPortfolio)):
portfolioScheduleOfCF=portfolioScheduleOfCF.union(myPortfolio[i].getScheduleComplete()[0]
)
portfolioScheduleOfCF = sorted(portfolioScheduleOfCF.union(ReferenceDateList))
OIS = myVasicek.getSmallLibor(datelist=portfolioScheduleOfCF)
# at this point OIS contains all dates for which the discount curve should be known.
# If the OIS doesn't contain that date, it would not be able to discount the cashflows and the calcualtion would faill.
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print(OIS)
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pvs={}
for t in portfolioScheduleOfCF:
pvs[t] = np.zeros([1,simNumber])
for i in range(len(myPortfolio)):
myPortfolio[i].setLibor(OIS)
pvs[t] = pvs[t] + myPortfolio[i].getExposure(referencedate=t).values
#print(portfolioScheduleOfCF)
#print(pvs)
pvsPlot = pd.DataFrame.from_dict(list(pvs.items()))
pvsPlot.index= list(pvs.keys())
pvs1={}
for i,t in zip(pvsPlot.values,pvsPlot.index):
pvs1[t]=i[1][0]
pvs = pd.DataFrame.from_dict(data=pvs1,orient="index")
ax=pvs.plot(legend=False)
ax.set_xlabel("Year")
ax.set_ylabel("Coupon Bond Exposure")
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