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isda_model.py
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from ctypes import *
from isda.c_interface import *
from isda.utils import *
import datetime as dt
class ISDAModel:
def __init__(self, cds, market):
self.cds = cds
self.market = market
self.c_interface = CInterface()
def buildZeroCurve(self, shift=None):
valuation_date = self.py_to_jpm_date(self.market.valuation_date)
routine = 'BuildExampleZeroCurve'
badDayConvModified = ord('N')
holidayNone = 'None'
nInstr = len(self.market.instr_names)
adv_dates = []
for i in range(nInstr):
tmp = TDateInterval()
self.c_interface.JpmcdsStringToDateInterval(self.market.expiries[i], routine, tmp)
dt = (c_int * 1)()
success = self.c_interface.JpmcdsDateFwdThenAdjust(valuation_date, tmp, badDayConvModified, holidayNone, dt)
adv_dates.append(dt[0])
dates = (c_int * len(adv_dates))(*adv_dates)
temp_rates = None
if shift is None:
temp_rates = self.market.rates
else:
temp_rates = [r + shift for r in self.market.rates]
rates = (c_double * len(temp_rates))(*temp_rates)
type = (c_long * 1)()
self.c_interface.JpmcdsStringToDayCountConv('Act/360', type)
mmDCC = c_long(type[0])
tmp = TDateInterval()
self.c_interface.JpmcdsStringToDateInterval('6M', 'BuildExampleZeroCurve', tmp)
freq_p = (c_double * 1)()
self.c_interface.JpmcdsDateIntervalToFreq(tmp, freq_p)
fixedSwapFreq = c_long(int(freq_p[0]))
tmp = TDateInterval()
self.c_interface.JpmcdsStringToDateInterval('3M', 'BuildExampleZeroCurve', tmp)
freq_p = (c_double * 1)()
self.c_interface.JpmcdsDateIntervalToFreq(tmp, freq_p)
floatSwapFreq = c_long(int(freq_p[0]))
type = (c_long * 1)()
self.c_interface.JpmcdsStringToDayCountConv('30/360', type)
swapDCC = c_long(type[0])
type = (c_long * 1)()
self.c_interface.JpmcdsStringToDayCountConv('ACT/360', type)
floatDCC = c_long(type[0])
zero_curve = self.c_interface.JpmcdsBuildIRZeroCurve(
valuation_date,
self.market.instr_names,
dates,
rates,
nInstr,
fixedSwapFreq,
floatSwapFreq,
mmDCC,
swapDCC,
floatDCC,
badDayConvModified,
holidayNone)
return zero_curve[0], adv_dates[-1]
def ymd_to_jpm_date(self, ymd):
dt = datetime.datetime.strptime(ymd,'%m/%d/%Y').date()
return self.c_interface.JpmcdsDate(dt.year, dt.month,dt.day)
def print_curves(self, zero_curve, credit_curve):
base_date = credit_curve.fBaseDate
print('Date:{}, Discount Factor:{}, Survival Probability:{}'.format(self.c_interface.JpmcdsFormatDate(base_date),
self.c_interface.JpmcdsZeroPrice(zero_curve,base_date),
self.c_interface.JpmcdsZeroPrice(credit_curve, base_date)))
for i in range(credit_curve.fNumItems):
dt = credit_curve.fArray[i].fDate
print('Date:{}, Discount Factor:{}, Survival Probability:{}'.format(self.c_interface.JpmcdsFormatDate(dt),
self.c_interface.JpmcdsZeroPrice(zero_curve, dt),
self.c_interface.JpmcdsZeroPrice(credit_curve, dt)))
three_month_interval = TDateInterval()
self.c_interface.JpmcdsStringToDateInterval('3M', 'test', three_month_interval)
stubFS = TStubMethod(False, False)
ret = self.c_interface.JpmcdsStringToStubMethod('F/S', byref(stubFS))
type = (c_long * 1)()
self.c_interface.JpmcdsStringToDayCountConv('Act/360', type)
paymentDCC = type[0]
bad_day_conv_following = ord('F')
cashFlows = self.c_interface.JpmcdsCdsFeeLegFlows(self.cds.accrual_start_date, self.cds.maturity_date, three_month_interval, stubFS, self.cds.notional, self.cds.running_coupon,
paymentDCC, bad_day_conv_following, 'none')
for i in range(cashFlows[0].fNumItems):
date = cashFlows[0].fArray[i].fDate
amount = cashFlows[0].fArray[i].fAmount
print('Date:%s, CashFlow:%s' % (self.c_interface.JpmcdsFormatDate(date), amount))
def buildCreditCurve(self, zero_curve, shift=None):
valuation_date = self.py_to_jpm_date(self.market.valuation_date)
future_imm_dates = Utils.imm_date_vector(dt.datetime.combine(self.market.valuation_date, dt.datetime.min.time()), tenor_list=self.cds.credit_spread_tenors)
jpm_imm_dates = [self.ymd_to_jpm_date(dt[1]) for dt in future_imm_dates]
tenors = (c_int * len(jpm_imm_dates))(*jpm_imm_dates)
nbDates = len(jpm_imm_dates)
temp_spreads = None
if shift is None:
temp_spreads = self.cds.credit_spreads
else:
temp_spreads = [s + shift for s in self.cds.credit_spreads]
spreads = (c_double * len(temp_spreads))(*temp_spreads)
include = None # include all dates and rates
pay_accrual_on_default = True
coupon_interval = None # 3M is assumed
type = (c_long * 1)()
self.c_interface.JpmcdsStringToDayCountConv('Act/360', type)
self.paymentDCC = type[0]
self.stubFS = TStubMethod(False, False)
ret = self.c_interface.JpmcdsStringToStubMethod('F/S', byref(self.stubFS))
bad_day_conv_none = ord('N')
bad_day_conv_modified = ord('M')
bad_day_conv_following = ord('F')
calendar = 'None'
one_day_interval = TDateInterval()
self.c_interface.JpmcdsStringToDateInterval('1D', 'CDSTrade', one_day_interval)
step_in_date = (c_int * 1)()
success = self.c_interface.JpmcdsDateFwdThenAdjust(valuation_date, one_day_interval, bad_day_conv_none, calendar, step_in_date)
three_days_interval = TDateInterval()
self.c_interface.JpmcdsStringToDateInterval('3D', 'CDSTrade', three_days_interval)
cash_settle_date = (c_int * 1)()
success = self.c_interface.JpmcdsDateFwdThenAdjust(valuation_date, three_days_interval, bad_day_conv_modified, calendar, cash_settle_date)
self.c_interface.JpmcdsErrMsgOn
self.c_interface.JpmcdsErrMsgEnableRecord(20,128)
credit_curve = self.c_interface.JpmcdsCleanSpreadCurve(
valuation_date,
zero_curve,
self.cds.effective_date,
step_in_date[0],
cash_settle_date[0],
nbDates,
tenors,
spreads,
include,
self.cds.recovery_rate,
pay_accrual_on_default,
coupon_interval,
self.paymentDCC,
self.stubFS,
bad_day_conv_following,
calendar)
return credit_curve[0],jpm_imm_dates[-1]
def calc_cds_price(self, coupon, zero_curve, credit_curve, is_clean):
valuation_date = self.py_to_jpm_date(self.market.valuation_date)
bad_day_conv_none = ord('N')
bad_day_conv_modified = ord('M')
bad_day_conv_following = ord('F')
calendar = 'None'
one_day_interval = TDateInterval()
self.c_interface.JpmcdsStringToDateInterval('1D', 'CDSTrade', one_day_interval)
step_in_date = (c_int * 1)()
success = self.c_interface.JpmcdsDateFwdThenAdjust(valuation_date, one_day_interval, bad_day_conv_none,
calendar, step_in_date)
three_days_interval = TDateInterval()
self.c_interface.JpmcdsStringToDateInterval('3D', 'CDSTrade', three_days_interval)
cash_settle_date = (c_int * 1)()
success = self.c_interface.JpmcdsDateFwdThenAdjust(valuation_date, three_days_interval, bad_day_conv_modified,
calendar, cash_settle_date)
is_price_clean = is_clean
cdsprice = (c_double * 1)()
include = None # include all dates and rates
pay_accrual_on_default = True
coupon_interval = None # 3M is assumed
ret = self.c_interface.JpmcdsCdsPrice(
valuation_date,
cash_settle_date[0],
step_in_date[0],
self.cds.accrual_start_date,
#self.py_to_jpm_date(datetime.date(2019, 3, 21)),
self.cds.maturity_date,
coupon / 10000.,
pay_accrual_on_default,
coupon_interval,
self.stubFS,
self.paymentDCC,
bad_day_conv_following,
calendar,
zero_curve,
credit_curve,
self.cds.recovery_rate,
is_price_clean,
cdsprice)
print('Coupon:{}, cdsprice:{}'.format(coupon, cdsprice[0] * -1.0))
return cdsprice[0] * -1.0
def get_upfront_charge(self, running_coupon):
isPriceClean = False
cdsprice = (c_double * 1)()
self.coupon_interval = TDateInterval()
self.JpmcdsStringToDateInterval('3M', 'BuildExampleZeroCurve', self.coupon_interval)
ret = self.JpmcdsCdsPrice(
self.cds.today,
self.cds.cash_settle_date,
self.cds.step_in_date,
self.cds.start_date,
self.cds.maturity_date,
self.cds.running_coupon/10000.,
self.payAccrualOnDefault,
byref(self.couponInterval),
self.stubFS,
self.paymentDCC,
self.badDayConvFollowing,
self.calendar,
self.zeroCurve[0],
self.creditCurve[0],
self.cds.recovery_rate,
isPriceClean,
cdsprice)
self.cds.upfront_charge = cdsprice[0] * self.cds.notional
print('Upfront Charge: %s' % self.upfrontCharge)
def get_accrued_premium(self):
c = CInterface()
isPriceClean = True
cdsprice = (c_double * 1)()
ret = self.c_interface.JpmcdsCdsPrice(
self.cds.today,
self.cds.cash_settle_date,
self.cds.step_in_date,
self.cds.start_date,
self.cds.maturity_date,
self.cds.running_coupon/10000.,
self.payAccrualOnDefault,
byref(self.coupon_interval),
self.stubFS,
self.paymentDCC,
self.badDayConvFollowing,
self.calendar,
self.zeroCurve[0],
self.creditCurve[0],
self.cds.recovery_rate,
isPriceClean,
cdsprice)
self.cds.accrued_premium = cdsprice[0] * self.cds.notional - self.cds.upfront_charge
print('Accrued Premium: %s' % self.cds.accrued_premium)
self.cds.days_accrued = self.cds.accrued_premium * (360. / self.cds.running_coupon) / self.cds.notional
print('Days Accrued: %s' % self.cds.days_accrued)
self.cds.clean_price = (self.cds.notional - self.cds.upfront_charge - self.cds.accrued_premium) / self.cds.notional * 100.
print('Clean Price: %s' % self.cds.clean_price)
def py_to_jpm_date(self,pydate):
return self.c_interface.JpmcdsDate(pydate.year, pydate.month,pydate.day)
def single_name_pricer(self):
zero_curve, last_date = self.buildZeroCurve(shift=None)
credit_curve, last_date = self.buildCreditCurve(zero_curve, shift=None)
self.print_curves(zero_curve, credit_curve)
clean_price = self.calc_cds_price(self.cds.running_coupon, zero_curve, credit_curve, is_clean=True)
dirty_price = self.calc_cds_price(self.cds.running_coupon, zero_curve, credit_curve, is_clean=False)
clean_pv = clean_price * self.cds.notional * self.cds.credit_risk_direction_scale_factor
dirty_pv = dirty_price * self.cds.notional * self.cds.credit_risk_direction_scale_factor
accrued_premium = (dirty_price - clean_price) * self.cds.notional
days_accrued = accrued_premium * (360. / self.cds.running_coupon) / self.cds.notional
zero_curve_shifted, last_date = self.buildZeroCurve(shift=0.0001)
credit_curve_shifted, last_date = self.buildCreditCurve(zero_curve_shifted, shift=0.0001)
dirty_price_shifted_cs01 = self.calc_cds_price(self.cds.running_coupon, zero_curve, credit_curve_shifted, is_clean=False)
cs01 = (dirty_price_shifted_cs01 - dirty_price) * self.cds.notional * self.cds.credit_risk_direction_scale_factor
dirty_price_shifted_dv01 = self.calc_cds_price(self.cds.running_coupon, zero_curve_shifted, credit_curve, is_clean=False)
dv01 = (dirty_price_shifted_dv01 - dirty_price) * self.cds.notional * self.cds.credit_risk_direction_scale_factor
return {'clean_price' : clean_price, 'dirty_price' : dirty_price, 'clean_pv' : clean_pv, 'dirty_pv' : dirty_pv, 'accrued_premium' : accrued_premium, 'days_accrued' : days_accrued, 'cs01' : cs01, 'dv01' : dv01}