add AssetSwap

Author: thrasibule

quantlib/instruments/_assetswap.pxd

@@ -0,0 +1,38 @@
+from libcpp cimport bool
+from quantlib.types cimport Real, Spread
+from quantlib.time._schedule cimport Schedule
+from ._bond cimport Bond
+from quantlib.handle cimport shared_ptr
+from quantlib.time._date cimport Date
+from quantlib.time._daycounter cimport DayCounter
+from .._cashflow cimport Leg
+from ._swap cimport Swap
+from quantlib.indexes._ibor_index cimport IborIndex
+
+cdef extern from "ql/instruments/assetswap.hpp" namespace "QuantLib" nogil:
+    cdef cppclass AssetSwap(Swap):
+       AssetSwap(bool payBondCoupon,
+                 shared_ptr[Bond] bond,
+                 Real bondCleanPrice,
+                 const shared_ptr[IborIndex]& iborIndex,
+                 Spread spread,
+                 Schedule floatSchedule,
+                 const DayCounter& floatingDayCounter,
+                 bool parAssetSwap, # = true
+                 Real gearing, # 1.0
+                 Real nonParRepayment, # = Null<Real>(),
+                 Date dealMaturity) # = Date()
+       Spread fairSpread() except +
+       Real floatingLegBPS() except +
+       Real floatingLegNPV() except +
+       Real fairCleanPrice() except +
+       Real fairNonParRepayment() except +
+
+       bool parSwap()
+       Spread spread()
+       Real cleanPrice()
+       Real nonParRepayment()
+       const shared_ptr[Bond]& bond()
+       bool payBondCoupon()
+       const Leg& bondLeg()
+       const Leg& floatingLeg()

quantlib/instruments/api.py

@@ -1,3 +1,4 @@
+from .assetswap import AssetSwap
 from .bonds import FixedRateBond, ZeroCouponBond, FloatingRateBond
 from .bondforward import BondForward
 from .credit_default_swap import CreditDefaultSwap, PricingModel

quantlib/instruments/assetswap.pxd

@@ -0,0 +1,4 @@
+from .swap cimport Swap
+
+cdef class AssetSwap(Swap):
+    pass

quantlib/instruments/assetswap.pyx

@@ -0,0 +1,69 @@
+from cython.operator cimport dereference as deref
+from libcpp cimport bool
+from quantlib.types cimport Real, Spread
+from quantlib.handle cimport shared_ptr, static_pointer_cast
+from quantlib.indexes.ibor_index cimport IborIndex
+from quantlib.indexes cimport _ibor_index as _ib
+from quantlib.time.schedule cimport Schedule
+from quantlib.time.date cimport Date
+from quantlib.time.daycounter cimport DayCounter
+from quantlib.utilities.null cimport Null
+from quantlib.cashflow cimport Leg
+from quantlib._cashflow cimport Leg as QlLeg
+from . cimport _assetswap as _asw
+from .bond cimport Bond
+from ._bond cimport Bond as QlBond
+
+cdef class AssetSwap(Swap):
+    def __init__(
+            self, bool pay_bond_coupon, Bond bond, Real bond_clean_price,
+            IborIndex ibor_index, Spread spread, Schedule float_schedule=Schedule.__new__(Schedule),
+            DayCounter floating_day_counter=DayCounter(), bool par_asset_swap=True,
+            Real gearing=1.0, Real non_par_repayment=Null[Real](), Date deal_maturity=Date()
+    ):
+        self._thisptr.reset(
+            new _asw.AssetSwap(pay_bond_coupon,
+                               static_pointer_cast[QlBond](bond._thisptr),
+                               bond_clean_price,
+                               static_pointer_cast[_ib.IborIndex](ibor_index._thisptr),
+                               spread,
+                               float_schedule._thisptr,
+                               deref(floating_day_counter._thisptr),
+                               par_asset_swap,
+                               gearing,
+                               non_par_repayment,
+                               deal_maturity._thisptr
+                               )
+            )
+
+    @property
+    def fair_spread(self):
+        return (<_asw.AssetSwap*>self._thisptr.get()).fairSpread()
+
+    @property
+    def floating_leg_BPS(self):
+        return (<_asw.AssetSwap*>self._thisptr.get()).floatingLegBPS()
+
+    @property
+    def floating_leg_NPV(self):
+        return (<_asw.AssetSwap*>self._thisptr.get()).floatingLegNPV()
+
+    @property
+    def fair_clean_price(self):
+        return (<_asw.AssetSwap*>self._thisptr.get()).fairCleanPrice()
+
+    @property
+    def fair_non_par_repayment(self):
+        return (<_asw.AssetSwap*>self._thisptr.get()).fairNonParRepayment()
+
+    @property
+    def bond_leg(self):
+        cdef Leg leg = Leg.__new__(Leg)
+        leg._thisptr = (<_asw.AssetSwap*>self._thisptr.get()).bondLeg()
+        return leg
+
+    @property
+    def floating_leg(self):
+        cdef Leg leg = Leg.__new__(Leg)
+        leg._thisptr = (<_asw.AssetSwap*>self._thisptr.get()).floatingLeg()
+        return leg

test/test_assetswap.py

@@ -0,0 +1,59 @@
+import unittest
+
+from quantlib.time.api import Date, Period, Annual, TARGET, Unadjusted, Schedule, DateGeneration, Actual365Fixed, Semiannual, ActualActual, Following
+from quantlib.instruments.api import FixedRateBond, AssetSwap
+from quantlib.pricingengines.api import DiscountingBondEngine, DiscountingSwapEngine
+from quantlib.termstructures.yields.api import HandleYieldTermStructure
+from quantlib.indexes.api import Euribor
+from .utilities import flat_rate
+
+class TestMarketASWSpread(unittest.TestCase):
+    def setUp(self):
+        self.term_structure = HandleYieldTermStructure()
+        self.today = Date(24, 4, 2007)
+        self.ibor_index = Euribor(Period(Semiannual), self.term_structure)
+        self.term_structure.link_to(flat_rate(0.05, Actual365Fixed(), self.today))
+        self.spread = 0.0
+        self.face_amount = 100.0
+        self.settlement_days = 2
+
+    def test_market_vs_par_asset_swap(self):
+        """Testing relationship between market asset swap and par asset swap..."""
+
+        pay_fixed_rate = True
+        par_asset_swap = True
+        mkt_asset_swap = False
+        fixed_bond_schedule1 = Schedule.from_rule(Date(4, 1, 2005),
+                                                  Date(4, 1, 2037),
+                                                  Period(Annual),
+                                                  TARGET(),
+                                                  Unadjusted, Unadjusted,
+                                                  DateGeneration.Backward, False)
+        fixed_bond1 = FixedRateBond(self.settlement_days, self.face_amount, fixed_bond_schedule1,
+                                    [0.04], ActualActual(ActualActual.ISDA), Following,
+                                    100.0, Date(4, 1, 2005))
+        bond_engine = DiscountingBondEngine(self.term_structure)
+        swap_engine = DiscountingSwapEngine(self.term_structure)
+        fixed_bond1.set_pricing_engine(bond_engine)
+        fixed_bond_mkt_price1 = 89.22 # market price observed on June 7th 2007
+        fixed_bond_mkt_full_price1 = fixed_bond_mkt_price1 + fixed_bond1.accrued_amount()
+        fixed_bond_par_asset_swap1 = AssetSwap(pay_fixed_rate,
+                                               fixed_bond1, fixed_bond_mkt_price1,
+                                               self.ibor_index,
+                                               self.spread,
+                                               floating_day_counter=self.ibor_index.day_counter,
+                                               par_asset_swap=True)
+        fixed_bond_par_asset_swap1.set_pricing_engine(swap_engine)
+        fixed_bond_par_asset_swap_spread1 = fixed_bond_par_asset_swap1.fair_spread
+        fixed_bond_mkt_asset_swap1 = AssetSwap(pay_fixed_rate,
+                                               fixed_bond1,
+                                               fixed_bond_mkt_price1,
+                                               self.ibor_index,
+                                               self.spread,
+                                               floating_day_counter=self.ibor_index.day_counter,
+                                               par_asset_swap=False)
+        fixed_bond_mkt_asset_swap1.set_pricing_engine(swap_engine)
+        fixed_bond_mkt_asset_swap_spread1 = fixed_bond_mkt_asset_swap1.fair_spread
+
+        self.assertAlmostEqual(fixed_bond_mkt_asset_swap_spread1,
+                               100 * fixed_bond_par_asset_swap_spread1 / fixed_bond_mkt_full_price1)