Fixed bugs.

domokane · Aug 1, 2024 · 0bb5168 · 0bb5168
1 parent 6148f94
commit 0bb5168
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Showing 13 changed files with 833 additions and 36 deletions.
diff --git a/financepy/__init__.py b/financepy/__init__.py
@@ -1,7 +1,7 @@
 cr = "\n"
 
 s = "####################################################################" + cr
-s += "#  FINANCEPY BETA Version " + str('0.360') + " - This build: 31 Jul 2024 at 23:01 #" + cr
+s += "#  FINANCEPY BETA Version " + str('0.360') + " - This build: 01 Aug 2024 at 13:01 #" + cr
 s += "#     This software is distributed FREE AND WITHOUT ANY WARRANTY   #" + cr
 s += "#  Report bugs as issues at https://github.com/domokane/FinancePy  #" + cr
 s += "####################################################################"

diff --git a/financepy/products/bonds/bond.py b/financepy/products/bonds/bond.py
@@ -241,6 +241,9 @@ def dirty_price_from_ytm(self,
         function is vectorised with respect to the yield input. It implements
         a number of standard conventions for calculating the YTM. """
 
+        if settle_dt > self.maturity_dt:
+            raise FinError("Bond settlement is after maturity date")
+
         if convention not in YTMCalcType:
             raise FinError("Yield convention unknown." + str(convention))
 

diff --git a/financepy/products/bonds/bond_zero.py b/financepy/products/bonds/bond_zero.py
@@ -348,11 +348,15 @@ def accrued_interest(self,
         weekends or you can specify a country calendar for business days."""
 
         num_flows = len(self.cpn_dts)
-
+        
         if num_flows == 0:
             raise FinError("Accrued interest - not enough flow dates.")
 
+        if settle_dt > self.maturity_dt:
+            raise FinError("Bond Zero settlement after maturity date")
+
         for i_flow in range(1, num_flows):
+
             # cpns paid on the settlement date are paid to the seller
             if self.cpn_dts[i_flow] > settle_dt:
                 self.pcd = self.cpn_dts[i_flow - 1]
@@ -361,14 +365,16 @@ def accrued_interest(self,
 
         dc = DayCount(self.dc_type)
         cal = Calendar(self.cal_type)
-        ex_dividend_dt = cal.add_business_days(
-            self.ncd, -self.ex_div_days)
+
+        ex_dividend_dt = cal.add_business_days(self.ncd, -self.ex_div_days)
+
 
         (acc_factor, num, _) = dc.year_frac(self.pcd,
                                             settle_dt,
                                             self.ncd,
                                             FrequencyTypes.ZERO)
 
+
         if settle_dt > ex_dividend_dt:
             acc_factor = acc_factor - 1.0
 
@@ -671,7 +677,7 @@ def __repr__(self):
         s = label_to_string("OBJECT TYPE", type(self).__name__)
         s += label_to_string("ISSUE DATE", self.issue_dt)
         s += label_to_string("MATURITY DATE", self.maturity_dt)
-        s += label_to_string("cpn (%)", 0)
+        s += label_to_string("COUPON (%)", 0)
         s += label_to_string("ISSUE PRICE", self.issue_price)
         s += label_to_string("FREQUENCY", self.freq_type)
         s += label_to_string("DAY COUNT TYPE", self.dc_type)

diff --git a/financepy/utils/calendar.py b/financepy/utils/calendar.py
@@ -1101,7 +1101,7 @@ def __str__(self):
 ###############################################################################
 
     def __repr__(self):
-        s = self.cal_type
+        s = self.cal_type.name
         return s
 
 ###############################################################################
diff --git a/golden_tests/TestFinBondZSpread.py b/golden_tests/TestFinBondZSpread.py
@@ -0,0 +1,91 @@
+import os
+import pandas as pd
+import matplotlib.pyplot as plt
+
+import sys
+sys.path.append("..")
+
+from financepy.utils.global_vars import gPercent
+from financepy.utils.calendar import CalendarTypes
+from financepy.utils.day_count import DayCountTypes
+from financepy.utils.frequency import FrequencyTypes
+from financepy.utils.date import Date, from_datetime
+from financepy.market.curves.interpolator import InterpTypes
+from financepy.market.curves.discount_curve import DiscountCurve
+from financepy.market.curves.discount_curve_flat import DiscountCurveFlat
+from financepy.products.bonds.bond import Bond
+from financepy.products.rates.ibor_single_curve import IborSingleCurve
+from financepy.products.rates.ibor_benchmarks_report import dataframe_to_benchmarks
+
+# Set to True to run this file spandalone and see some useful info
+DIAGNOSTICS_MODE = False
+
+from FinTestCases import FinTestCases, globalTestCaseMode
+
+test_cases = FinTestCases(__file__, globalTestCaseMode)
+
+
+def test_z_spread_flat_curve():
+
+    settlement = Date(19, 9, 2012)
+    base_curve = DiscountCurveFlat(settlement, flat_rate=1*gPercent)
+    return _test_z_spread_for_curve(base_curve)
+
+
+def test_z_spread_actual_curve():
+
+    path = os.path.join(os.path.dirname(__file__), './data/GBP_OIS_20120919.csv')
+    dfbm = pd.read_csv(path, index_col=0)
+
+    dfbm['base_date'] = pd.to_datetime(dfbm['base_date'], errors='ignore', format='%d/%m/%Y')
+    dfbm['start_date'] = pd.to_datetime(dfbm['start_date'], errors='ignore', format='%d/%m/%Y')  # allow tenors
+    dfbm['maturity_date'] = pd.to_datetime(dfbm['maturity_date'], errors='ignore', format='%d/%m/%Y')  # allow tenors
+
+    valuation_date = from_datetime(dfbm.loc[0, 'base_date'])
+    cal = CalendarTypes.UNITED_KINGDOM
+    bms = dataframe_to_benchmarks(dfbm, asof_date=valuation_date, calendar_type=cal)
+    depos = bms['IborDeposit']
+    fras = bms['IborFRA']
+    swaps = bms['IborSwap']
+
+    fras.sort(key=lambda fra: fra.maturity_dt)
+    libor_curve = IborSingleCurve(valuation_date, depos, fras, swaps, InterpTypes.LINEAR_ZERO_RATES)
+
+    return _test_z_spread_for_curve(libor_curve)
+
+
+def _test_z_spread_for_curve(base_curve: DiscountCurve):
+    path = os.path.join(os.path.dirname(__file__), './data/gilt_bond_prices.txt')
+    bondDataFrame = pd.read_csv(path, sep='\t')
+    bondDataFrame['mid'] = 0.5*(bondDataFrame['bid'] + bondDataFrame['ask'])
+
+    bondDataFrame['maturity'] = pd.to_datetime(bondDataFrame['maturity'], format="%d-%b-%y")
+    freq_type = FrequencyTypes.SEMI_ANNUAL
+    accrual_type = DayCountTypes.ACT_ACT_ICMA
+
+    for bdfIndex, bondRow in bondDataFrame.iterrows():
+        matDatetime = bondRow['maturity']
+        maturityDt = from_datetime(matDatetime)
+        issueDt = Date(maturityDt.d, maturityDt.m, 2000)
+        coupon = bondRow['coupon']/100.0
+        clean_price = bondRow['mid']
+        bond = Bond(issueDt, maturityDt, coupon, freq_type, accrual_type)
+        z_spread = bond.z_spread(base_curve.value_dt, clean_price, base_curve)
+        asset_swap_spread = bond.asset_swap_spread(base_curve.value_dt, clean_price, base_curve)
+        bondDataFrame.loc[bdfIndex, 'z_spread'] = z_spread
+        bondDataFrame.loc[bdfIndex, 'asset_swap_spread'] = asset_swap_spread
+
+    if DIAGNOSTICS_MODE:
+        print(bondDataFrame)
+        plt.plot(bondDataFrame['maturity'], bondDataFrame['gross redemption yield'], '.', label='yield')
+        plt.plot(bondDataFrame['maturity'], bondDataFrame['z_spread']*100, '.', label='z_spread')
+        plt.plot(bondDataFrame['maturity'], bondDataFrame['asset_swap_spread']*100, '.', label='asset_swap_spread')
+        plt.legend(loc='best')
+        plt.show()
+
+    assert bondDataFrame['z_spread'].isnull().values.any() == False
+
+
+if __name__ == '__main__':
+    test_z_spread_flat_curve()
+    test_z_spread_actual_curve()
diff --git a/golden_tests/TestFinBondZeroCoupon.py b/golden_tests/TestFinBondZeroCoupon.py
@@ -50,31 +50,43 @@ def test_bond_zero():
     test_cases.header('YTM', 'accrued')
     test_cases.print(ytm, accrued_interest)
 
+###############################################################################
 
 def test_bond_zero_ror():
 
-    path = os.path.join(os.path.dirname(__file__), './/data//test_cases_bond_ror.csv')
+    path = ".//data//test_cases_bond_zero_ror.csv"
     df = pd.read_csv(path, parse_dates=['buy_date', 'sell_date'])
+
     # A 1-year bond with zero coupon per year. code: 092103011
     bond = BondZero(
         issue_dt=Date(23, 7, 2021),
         maturity_dt=Date(24, 8, 2022),
         issue_price=97.67
     )
-    test_cases.header('bond_code', 'buy_date', 'buy_ytm', 'buy_price', 'sell_date', 'sell_ytm', 'sell_price',
-                     'simple_return', 'irr')
+
+    test_cases.header('bond_code', 'buy_date', 'buy_ytm', 'buy_price', 
+                      'sell_date', 'sell_ytm', 'sell_price',
+                      'simple_return', 'irr')
+
     for row in df.itertuples(index=False):
+
         buy_dt = Date(row.buy_date.day, row.buy_date.month, row.buy_date.year)
         sell_dt = Date(row.sell_date.day, row.sell_date.month, row.sell_date.year)
+
         buy_price = bond.dirty_price_from_ytm(buy_dt, row.buy_ytm, YTMCalcType.ZERO)
         sell_price = bond.dirty_price_from_ytm(sell_dt, row.sell_ytm, YTMCalcType.ZERO)
+
         simple, irr, pnl = bond.calc_ror(buy_dt, sell_dt, row.buy_ytm, row.sell_ytm)
+
         test_cases.print(row.bond_code, buy_dt, row.buy_ytm, buy_price,
                          sell_dt, row.sell_ytm, sell_price, simple, irr)
 
 ###############################################################################
 
-
-test_bond_zero()
-test_bond_zero_ror()
-test_cases.compareTestCases()
+try:
+    test_bond_zero()
+    test_bond_zero_ror()
+    test_cases.compareTestCases()
+except Exception as e:
+    print(f"Unexpected error:{e}", sys.exc_info()[0])
+
diff --git a/golden_tests/TestFinIborBenchmarksReport.py b/golden_tests/TestFinIborBenchmarksReport.py
@@ -1,9 +1,8 @@
-import pandas as pd
-from os.path import dirname, join
-
 import sys
 sys.path.append("..")
 
+import pandas as pd
+from os.path import dirname, join
 
 from financepy.utils.date import Date
 from financepy.utils.global_types import SwapTypes
@@ -18,6 +17,10 @@
 
 from financepy.products.rates.ibor_benchmarks_report import ibor_benchmarks_report, dataframe_to_benchmarks
 
+from FinTestCases import FinTestCases, globalTestCaseMode
+
+test_cases = FinTestCases(__file__, globalTestCaseMode)
+
 
 def test_ibor_benchmarks_report():
     valuation_date = Date(6, 10, 2001)
@@ -67,13 +70,13 @@ def test_ibor_benchmarks_report():
     curve = IborSingleCurve(valuation_date, depos, fras, swaps,
                             interp_type, check_refit=False, do_build=do_build)
 
-    bechmarks_report = ibor_benchmarks_report(curve)
+    benchmarks_report = ibor_benchmarks_report(curve)
 
-    # print(bechmarks_report)
+    # print(benchmarks_report)
 
     # Confirm that there are no NaNs. In particular this means that different types of benchmarks
     # return exactly the same keys, just like we want it, with a couple of exceptions
-    assert (bechmarks_report
+    assert (benchmarks_report
             .drop(columns=['fixed_freq_type', 'fixed_leg_type'])
             .isnull().values.any()
             ) == False
@@ -99,6 +102,10 @@ def test_dataframe_to_benchmarks():
     assert len(benchmarks['IborSwap']) == 10
 
 
-if __name__ == '__main__':
-     test_ibor_benchmarks_report()
-     test_dataframe_to_benchmarks()
+try:
+    test_ibor_benchmarks_report()
+    test_dataframe_to_benchmarks()
+except Exception as e:
+    print(f"Unexpected error:{e}", sys.exc_info()[0])
+
+
diff --git a/golden_tests/TestFinIborCurveParRateShock.py b/golden_tests/TestFinIborCurveParRateShock.py
@@ -14,6 +14,10 @@
 from financepy.utils.date import Date
 from financepy.utils.calendar import CalendarTypes
 
+from FinTestCases import FinTestCases, globalTestCaseMode
+
+test_cases = FinTestCases(__file__, globalTestCaseMode)
+
 
 def test_ibor_curve_par_rate_shocker():
     valuation_date = Date(6, 10, 2001)

diff --git a/golden_tests/TestFinIborCurveRiskEngine.py b/golden_tests/TestFinIborCurveRiskEngine.py
@@ -4,6 +4,7 @@
 import sys
 sys.path.append("..")
 
+from helpers import buildIborSingleCurve
 from financepy.utils.date import Date
 from financepy.utils.global_vars import gBasisPoint
 from financepy.utils.global_types import SwapTypes
@@ -17,6 +18,10 @@
 from financepy.products.rates.ibor_single_curve import IborSingleCurve
 import financepy.products.rates.ibor_curve_risk_engine as re
 
+from FinTestCases import FinTestCases, globalTestCaseMode
+
+test_cases = FinTestCases(__file__, globalTestCaseMode)
+
 # when set to True this file can be run standalone and will produce some useful output.
 # Set to False to use as part of a testing framework
 DIAGNOSTICS_MODE = False

diff --git a/golden_tests/data/GBP_OIS_20120919.csv b/golden_tests/data/GBP_OIS_20120919.csv
@@ -0,0 +1,33 @@
+,base_date,type,start_date,maturity_date,day_count_type,notional,contract_rate,fixed_leg_type,fixed_freq_type,curve,currency
+0,19/09/2012,IborDeposit,19/09/2012,19/12/2012,ACT_360,10000,0.003815,PAY,,OIS,GBP
+1,19/09/2012,IborFRA,19/12/2012,19/03/2013,ACT_360,10000,0.003322,PAY,,OIS,GBP
+2,19/09/2012,IborFRA,20/03/2013,20/06/2013,ACT_360,10000,0.003205,PAY,,OIS,GBP
+3,19/09/2012,IborFRA,19/06/2013,19/09/2013,ACT_360,10000,0.003265,PAY,,OIS,GBP
+4,19/09/2012,IborFRA,18/09/2013,18/12/2013,ACT_360,10000,0.00341,PAY,,OIS,GBP
+5,19/09/2012,IborFRA,18/12/2013,18/03/2014,ACT_360,10000,0.003675,PAY,,OIS,GBP
+6,19/09/2012,IborFRA,19/03/2014,19/06/2014,ACT_360,10000,0.003995,PAY,,OIS,GBP
+7,19/09/2012,IborFRA,18/06/2014,18/09/2014,ACT_360,10000,0.00447,PAY,,OIS,GBP
+8,19/09/2012,IborFRA,17/09/2014,17/12/2014,ACT_360,10000,0.00502,PAY,,OIS,GBP
+9,19/09/2012,IborFRA,17/12/2014,17/03/2015,ACT_360,10000,0.005595,PAY,,OIS,GBP
+10,19/09/2012,IborFRA,18/03/2015,18/06/2015,ACT_360,10000,0.00611,PAY,,OIS,GBP
+11,19/09/2012,IborFRA,17/06/2015,17/09/2015,ACT_360,10000,0.006715,PAY,,OIS,GBP
+12,19/09/2012,IborFRA,16/09/2015,16/12/2015,ACT_360,10000,0.007415,PAY,,OIS,GBP
+13,19/09/2012,IborSwap,19/09/2012,19/09/2016,ACT_360,10000,0.005579274,PAY,ANNUAL,OIS,GBP
+14,19/09/2012,IborSwap,19/09/2012,19/09/2017,ACT_360,10000,0.007227034,PAY,ANNUAL,OIS,GBP
+15,19/09/2012,IborSwap,19/09/2012,19/09/2018,ACT_360,10000,0.009073759,PAY,ANNUAL,OIS,GBP
+16,19/09/2012,IborSwap,19/09/2012,19/09/2019,ACT_360,10000,0.011003603,PAY,ANNUAL,OIS,GBP
+17,19/09/2012,IborSwap,19/09/2012,19/09/2020,ACT_360,10000,0.01292279,PAY,ANNUAL,OIS,GBP
+18,19/09/2012,IborSwap,19/09/2012,19/09/2021,ACT_360,10000,0.01476606,PAY,ANNUAL,OIS,GBP
+19,19/09/2012,IborSwap,19/09/2012,19/09/2022,ACT_360,10000,0.016469326,PAY,ANNUAL,OIS,GBP
+20,19/09/2012,IborSwap,19/09/2012,19/09/2024,ACT_360,10000,0.019226422,PAY,ANNUAL,OIS,GBP
+21,19/09/2012,IborSwap,19/09/2012,19/09/2027,ACT_360,10000,0.022052563,PAY,ANNUAL,OIS,GBP
+22,19/09/2012,IborSwap,19/09/2012,19/09/2032,ACT_360,10000,0.025029801,PAY,ANNUAL,OIS,GBP
+23,19/09/2012,IborSwap,19/09/2012,19/09/2037,ACT_360,10000,0.026712763,PAY,ANNUAL,OIS,GBP
+24,19/09/2012,IborSwap,19/09/2012,19/09/2042,ACT_360,10000,0.027739254,PAY,ANNUAL,OIS,GBP
+25,19/09/2012,IborSwap,19/09/2012,19/09/2047,ACT_360,10000,0.028452841,PAY,ANNUAL,OIS,GBP
+26,19/09/2012,IborSwap,19/09/2012,19/09/2052,ACT_360,10000,0.028903302,PAY,ANNUAL,OIS,GBP
+27,19/09/2012,IborSwap,19/09/2012,19/09/2057,ACT_360,10000,0.029121657,PAY,ANNUAL,OIS,GBP
+28,19/09/2012,IborSwap,19/09/2012,19/09/2062,ACT_360,10000,0.029225286,PAY,ANNUAL,OIS,GBP
+29,19/09/2012,IborSwap,19/09/2012,19/09/2072,ACT_360,10000,0.029407055,PAY,ANNUAL,OIS,GBP
+30,19/09/2012,IborSwap,19/09/2012,19/09/2082,ACT_360,10000,0.029593652,PAY,ANNUAL,OIS,GBP
+31,19/09/2012,IborSwap,19/09/2012,19/09/2092,ACT_360,10000,0.029716109,PAY,ANNUAL,OIS,GBP