2020_CurveBuilding_Tasks.ipynb

Kernel: Python 2 (system-wide)

Задачи к лекции "Восстановление кривой доходности"

Чтобы определить валюты, для которых Вы будете строить кривые и дату завершения форвардного контракта, запустить функцию ниже с Вашим почтовым ящиком

def getVariant(email):
    ccy = ['NOK', 'SEK', 'DKK', 'EUR']
    h = hash(email)
    ccy1 = ccy[h % 5]
    date = 365 + h%365
    print 'Task 1: 5Y curve for ' + ccy1
    print 'Task 2: FX Forward for USD' + ccy1 + ' with maturity date ' + str(date)
getVariant('[email protected]')

Task 1: 5Y curve for DKK
Task 2: FX Forward for USDDKK with maturity date 547

Задачa 1

Взять значения базовых ставок https://sebgroup.com/large-corporates-and-institutions/prospectuses-and-downloads/rates/base-rates и цену процентных свопов https://sebgroup.com/large-corporates-and-institutions/prospectuses-and-downloads/rates/swap-rates Восстановить кривую для Вашей валюты

s0 = 0.0*1e-2
s1 = 0.1*1e-2
s2 = 0.2*1e-2


r0 = s0

import numpy as np
import scipy.optimize
import scipy.interpolate
import matplotlib.pyplot as pt

# Дискаунт фактор из процентной ставки
# для простоты капитализация процентов не учитывается
def DF(L,m):
    return 1.0 / (1.0 + L*m/12)


def S1(r12, r0, s1):
    r6 = 0.5* (r0 + r12)
    df6 = DF(r6, 6)
    df12 = DF(r12, 12)
    price = 2*(1 - df12) / (df6 + df12)
    return price - s1

r12 = scipy.optimize.broyden1(lambda x: S1(x, s0, s1), 0.0)

print(r12)

pt.plot([0, 12, 24, 36], [r0, r12])

0.0010003713434594047

---------------------------------------------------------------------------
ValueError                                Traceback (most recent call last)
<ipython-input-5-886bc9cae148> in <module>()
     28 print(r12)
     29 
---> 30 pt.plot([0, 12, 24, 36], [r0, r12])

/usr/lib/python2.7/dist-packages/matplotlib/pyplot.pyc in plot(*args, **kwargs)
   3259                       mplDeprecation)
   3260     try:
-> 3261         ret = ax.plot(*args, **kwargs)
   3262     finally:
   3263         ax._hold = washold
/usr/lib/python2.7/dist-packages/matplotlib/__init__.pyc in inner(ax, *args, **kwargs)
   1716                     warnings.warn(msg % (label_namer, func.__name__),
   1717                                   RuntimeWarning, stacklevel=2)
-> 1718             return func(ax, *args, **kwargs)
   1719         pre_doc = inner.__doc__
   1720         if pre_doc is None:
/usr/lib/python2.7/dist-packages/matplotlib/axes/_axes.pyc in plot(self, *args, **kwargs)
   1370         kwargs = cbook.normalize_kwargs(kwargs, _alias_map)
   1371 
-> 1372         for line in self._get_lines(*args, **kwargs):
   1373             self.add_line(line)
   1374             lines.append(line)
/usr/lib/python2.7/dist-packages/matplotlib/axes/_base.pyc in _grab_next_args(self, *args, **kwargs)
    402                 this += args[0],
    403                 args = args[1:]
--> 404             for seg in self._plot_args(this, kwargs):
    405                 yield seg
    406 
/usr/lib/python2.7/dist-packages/matplotlib/axes/_base.pyc in _plot_args(self, tup, kwargs)
    382             x, y = index_of(tup[-1])
    383 
--> 384         x, y = self._xy_from_xy(x, y)
    385 
    386         if self.command == 'plot':
/usr/lib/python2.7/dist-packages/matplotlib/axes/_base.pyc in _xy_from_xy(self, x, y)
    241         if x.shape[0] != y.shape[0]:
    242             raise ValueError("x and y must have same first dimension, but "
--> 243                              "have shapes {} and {}".format(x.shape, y.shape))
    244         if x.ndim > 2 or y.ndim > 2:
    245             raise ValueError("x and y can be no greater than 2-D, but have "
ValueError: x and y must have same first dimension, but have shapes (4,) and (2,)