Swap Curve Construction

来源：https://uqer.io/community/share/55c2d440f9f06c91fc18c648

在这个示例中，我们将指导用户如何使用平台的功能，完成从利率互换的市场报价完成收益率曲线的构造。

from CAL.PyCAL import *
SetEvaluationDate(Date(2015, 8, 6))

1. 构造收益率曲线

我们从一组市场标准化互换的市场报价中获取收益率曲线的信息：

• swap_rates：标准互换对应的固定端利率
• swap_tenor：标准互换对应的期限

swap_rates = [0.02, 0.03, 0.04 ,0.05, 0.055, 0.06, 0.065, 0.07]
swap_tenor = ['6M', '1Y', '2Y', '3Y', '4Y', '5Y',  '7Y', '10Y']
shiborIndex = Shibor('3M')

instruments = []
for rate, tenor in zip(swap_rates, swap_tenor):
    print('{0:3s} benchmark Shibor Swap fixed at: {1:.2f}%'.format(tenor, rate*100))
    rateHelper = ShiborSwapRateHelper(rate, Period(tenor), Frequency.Quarterly, shiborIndex)
    instruments.append(rateHelper)

6M  benchmark Shibor Swap fixed at: 2.00%
1Y  benchmark Shibor Swap fixed at: 3.00%
2Y  benchmark Shibor Swap fixed at: 4.00%
3Y  benchmark Shibor Swap fixed at: 5.00%
4Y  benchmark Shibor Swap fixed at: 5.50%
5Y  benchmark Shibor Swap fixed at: 6.00%
7Y  benchmark Shibor Swap fixed at: 6.50%
10Y benchmark Shibor Swap fixed at: 7.00%

通过标准互换校正（calibration）收益率曲线：

calibratedCurve = CalibratedYieldCurve(EvaluationDate(), instruments, 'Actual/365 (Fixed)')

收益率曲线的基本信息：

• discount：折现因子
• forward(%)：远期利率
• zero(%)：零息利率

calibratedCurve.curveProfile().head(10)

我们可以画图来看：

calibratedCurve.curveProfile()['zero(%)'].plot(figsize=(16,8))

<matplotlib.axes.AxesSubplot at 0x6bbabd0>

2. 测试

首先可以看这条收益率曲线是否真的可以完美定价基准互换（perfectly pricing）：

cal = Calendar('China.IB')
startDate = cal.advanceDate(Date(2015, 8, 6), '1B', BizDayConvention.Following)
shiborIndex = Shibor('3M', calibratedCurve)
nominal = 100000000.
pricingEngine = DiscountingSwapEngine(calibratedCurve)
for rate, tenor in zip(swap_rates, swap_tenor):
    benchmarkSwap = ShiborSwap(SwapLegType.Payer, nominal, startDate, Period(tenor), Period('3M'), rate, shiborIndex)
    benchmarkSwap.setPricingEngine(pricingEngine)
    print('{0:3s} benchmark Shibor Swap NPV: {1:>8.4f}'.format(tenor, benchmarkSwap.NPV()))

6M  benchmark Shibor Swap NPV:   0.0000
1Y  benchmark Shibor Swap NPV:  -0.0000
2Y  benchmark Shibor Swap NPV:   0.0000
3Y  benchmark Shibor Swap NPV:   0.0000
4Y  benchmark Shibor Swap NPV:  -0.0000
5Y  benchmark Shibor Swap NPV:   0.0000
7Y  benchmark Shibor Swap NPV:   0.0000
10Y benchmark Shibor Swap NPV:   0.0000

然后我们取一个假设已经存在的互换（seasoned swap），通过这条收益率曲线估计它的现值：

startDate = Date(2015, 7, 15)
shiborIndex.addFixing(Date(2015, 7, 14), 0.045)
customizeSwap = ShiborSwap(SwapLegType.Receiver, nominal, startDate, Period('9Y'), Period('3M'), 0.06, shiborIndex)
customizeSwap.setPricingEngine(pricingEngine)
print('{0:3s} Shibor Swap fixed at {1:.2f}% NPV: {2:15.4f}'.format('9Y',6.00, customizeSwap.NPV()))

9Y  Shibor Swap fixed at 6.00% NPV:   -6308510.5573

customizeSwap.legAnalysis(0).head(10)

customizeSwap.legAnalysis(1).head(10)