Fixed pandas issue with append and lots of small bugs

financepy/__init__.py

@@ -1,7 +1,7 @@
 cr = "\n"
 
 s = "####################################################################" + cr
-s += "#  FINANCEPY BETA Version " + str('0.360') + " - This build: 31 Jul 2024 at 19:44 #" + cr
+s += "#  FINANCEPY BETA Version " + str('0.360') + " - This build: 31 Jul 2024 at 23:01 #" + 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 += "####################################################################"

financepy/products/rates/ibor_benchmarks_report.py

@@ -36,7 +36,7 @@ def benchmarks_report(benchmarks,
         if df_bmi is None:
             df_bmi = pd.DataFrame.from_dict(res, orient='index').T
         else:
-            df_bmi = df_bmi.append(res, ignore_index=True)
+            df_bmi = df_bmi._append(res, ignore_index=True)
 
     if include_objects:
         df_bmi['benchmark_objects'] = benchmarks

golden_tests/TestFinBondPortfolio.py

@@ -22,7 +22,7 @@
 def test_BondPortfolio():
 
     import pandas as pd
-    path = os.path.join(os.path.dirname(__file__), './data/giltBondPrices.txt')
+    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'])
 

golden_tests/TestFinBondYieldCurve.py

@@ -32,7 +32,7 @@ def test_BondYieldCurve():
     ###########################################################################
 
     import pandas as pd
-    path = os.path.join(os.path.dirname(__file__), './data/giltBondPrices.txt')
+    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'])
 

golden_tests/TestFinBondZeroCurve.py

@@ -26,7 +26,7 @@
 def test_BondZeroCurve():
 
     import pandas as pd
-    path = os.path.join(os.path.dirname(__file__), './data/giltBondPrices.txt')
+    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'])
 

golden_tests/TestFinIborBenchmarksReport.py

@@ -0,0 +1,105 @@
+import pandas as pd
+from os.path import dirname, join
+
+import sys
+sys.path.append("..")
+
+
+from financepy.utils.date import Date
+from financepy.utils.math import ONE_MILLION
+from financepy.utils.global_types import SwapTypes
+from financepy.utils.frequency import FrequencyTypes
+from financepy.utils.day_count import DayCountTypes
+from financepy.utils.calendar import Calendar, CalendarTypes
+from financepy.market.curves.interpolator import InterpTypes
+from financepy.products.rates.ibor_swap import IborSwap
+from financepy.products.rates.ibor_fra import IborFRA
+from financepy.products.rates.ibor_deposit import IborDeposit
+from financepy.products.rates.ibor_future import IborFuture
+from financepy.products.rates.ibor_single_curve import IborSingleCurve
+
+from financepy.products.rates.ibor_benchmarks_report import ibor_benchmarks_report, dataframe_to_benchmarks
+
+
+def test_ibor_benchmarks_report():
+    valuation_date = Date(6, 10, 2001)
+    cal = CalendarTypes.UNITED_KINGDOM
+    interp_type = InterpTypes.FLAT_FWD_RATES
+
+    depoDCCType = DayCountTypes.ACT_360
+    depos = []
+    spot_days = 2
+    settlement_date = valuation_date.add_weekdays(spot_days)
+    depo = IborDeposit(settlement_date, "3M", 4.2/100.0, depoDCCType, cal_type=cal)
+    depos.append(depo)
+
+    fraDCCType = DayCountTypes.ACT_360
+    fras = []
+    fra = IborFRA(settlement_date.add_tenor("3M"), "3M", 4.20/100.0, fraDCCType, cal_type=cal)
+    fras.append(fra)
+
+    swaps = []
+    swapType = SwapTypes.PAY
+    fixedDCCType = DayCountTypes.THIRTY_E_360_ISDA
+    fixedFreqType = FrequencyTypes.SEMI_ANNUAL
+
+    swap = IborSwap(settlement_date, "1Y", swapType, 4.20/100.0, fixedFreqType, fixedDCCType, cal_type=cal)
+    swaps.append(swap)
+    swap = IborSwap(settlement_date, "2Y", swapType, 4.30/100.0, fixedFreqType, fixedDCCType, cal_type=cal)
+    swaps.append(swap)
+    swap = IborSwap(settlement_date, "3Y", swapType, 4.70/100.0, fixedFreqType, fixedDCCType, cal_type=cal)
+    swaps.append(swap)
+    swap = IborSwap(settlement_date, "5Y", swapType, 5.40/100.0, fixedFreqType, fixedDCCType, cal_type=cal)
+    swaps.append(swap)
+    swap = IborSwap(settlement_date, "7Y", swapType, 5.70/100.0, fixedFreqType, fixedDCCType, cal_type=cal)
+    swaps.append(swap)
+    swap = IborSwap(settlement_date, "10Y", swapType, 6.00/100.0, fixedFreqType, fixedDCCType, cal_type=cal)
+    swaps.append(swap)
+    swap = IborSwap(settlement_date, "12Y", swapType, 6.10/100.0, fixedFreqType, fixedDCCType, cal_type=cal)
+    swaps.append(swap)
+    swap = IborSwap(settlement_date, "15Y", swapType, 5.90/100.0, fixedFreqType, fixedDCCType, cal_type=cal)
+    swaps.append(swap)
+    swap = IborSwap(settlement_date, "20Y", swapType, 5.60/100.0, fixedFreqType, fixedDCCType, cal_type=cal)
+    swaps.append(swap)
+    swap = IborSwap(settlement_date, "25Y", swapType, 5.55/100.0, fixedFreqType, fixedDCCType, cal_type=cal)
+    swaps.append(swap)
+
+    # Create but do not build the initial curve
+    do_build = True
+    curve = IborSingleCurve(valuation_date, depos, fras, swaps,
+                            interp_type, check_refit=False, do_build=do_build)
+
+    bechmarks_report = ibor_benchmarks_report(curve)
+
+    # print(bechmarks_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
+            .drop(columns=['fixed_freq_type', 'fixed_leg_type'])
+            .isnull().values.any()
+            ) == False
+
+
+def test_dataframe_to_benchmarks():
+    path = dirname(__file__)
+    filename = "ibor_benchmarks_example.csv"
+    full_filename_path = join(path, "data", filename)
+
+    asof = Date(6, 10, 2001)
+
+    df = pd.read_csv(full_filename_path, index_col=0)
+    df['start_date'] = pd.to_datetime(df['start_date'], errors='ignore')  # allow tenors
+    df['maturity_date'] = pd.to_datetime(df['maturity_date'], errors='ignore')  # allow tenors
+
+    benchmarks = dataframe_to_benchmarks(
+        df, asof_date=asof, calendar_type=CalendarTypes.UNITED_KINGDOM)
+
+    assert len(benchmarks['IborDeposit']) == 2
+    assert len(benchmarks['IborFRA']) == 1
+    assert len(benchmarks['IborSwap']) == 10
+
+
+if __name__ == '__main__':
+     test_ibor_benchmarks_report()
+     test_dataframe_to_benchmarks()

golden_tests/TestFinIborCurveParRateShock.py

@@ -0,0 +1,89 @@
+import pytest
+import pandas as pd
+
+from financepy.utils.global_types import SwapTypes
+from financepy.utils.math import ONE_MILLION
+from financepy.utils.global_vars import gBasisPoint
+from financepy.market.curves.interpolator import InterpTypes
+from financepy.products.rates.ibor_swap import IborSwap
+from financepy.products.rates.ibor_fra import IborFRA
+from financepy.products.rates.ibor_deposit import IborDeposit
+from financepy.products.rates.ibor_future import IborFuture
+from financepy.products.rates.ibor_single_curve import IborSingleCurve
+from financepy.products.rates.ibor_single_curve_par_shocker import IborSingleCurveParShocker
+from financepy.utils.frequency import FrequencyTypes
+from financepy.utils.day_count import DayCountTypes
+from financepy.utils.date import Date
+from financepy.utils.calendar import Calendar, CalendarTypes
+
+
+def test_ibor_curve_par_rate_shocker():
+    valuation_date = Date(6, 10, 2001)
+    cal = CalendarTypes.UNITED_KINGDOM
+    interp_type = InterpTypes.FLAT_FWD_RATES
+
+    depoDCCType = DayCountTypes.ACT_360
+    depos = []
+    spot_days = 2
+    settlement_date = valuation_date.add_weekdays(spot_days)
+    depo = IborDeposit(settlement_date, "3M", 4.2/100.0, depoDCCType, cal_type=cal)
+    depos.append(depo)
+
+    fraDCCType = DayCountTypes.ACT_360
+    fras = []
+    fra = IborFRA(settlement_date.add_tenor("3M"), "3M", 4.20/100.0, fraDCCType, cal_type=cal)
+    fras.append(fra)
+
+    swaps = []
+    swapType = SwapTypes.PAY
+    fixedDCCType = DayCountTypes.THIRTY_E_360_ISDA
+    fixedFreqType = FrequencyTypes.SEMI_ANNUAL
+
+    swap = IborSwap(settlement_date, "1Y", swapType, 4.20/100.0, fixedFreqType, fixedDCCType, cal_type=cal)
+    swaps.append(swap)
+    swap = IborSwap(settlement_date, "2Y", swapType, 4.30/100.0, fixedFreqType, fixedDCCType, cal_type=cal)
+    swaps.append(swap)
+    swap = IborSwap(settlement_date, "3Y", swapType, 4.70/100.0, fixedFreqType, fixedDCCType, cal_type=cal)
+    swaps.append(swap)
+
+    base_curve = IborSingleCurve(valuation_date, depos, fras, swaps, InterpTypes.FLAT_FWD_RATES, )
+    curve_shocker = IborSingleCurveParShocker(base_curve)
+    mat_dates = curve_shocker.benchmarks_report()['maturity_date'].values
+
+    # size of bump
+    par_rate_bump = 1*gBasisPoint
+
+    # expected forward rate changes in the periods before and after the maturity date of the bumped benchmark
+    # in basis points
+    expected_fwd_rate_changes = {1: (1.00000,  0.0),
+                                 2: (1.00000, -0.50715),
+                                 4: (2.06214, -2.16773)}
+
+    # Which benchmarks we test-bump. They are
+    # - The first (and only) depo we used in construction. Here index = 1 (not 0) because
+    # ibor_single_curve creates a synthetic deposit for the stub implictly
+    # - The only FRA
+    # - the 2Y swap
+    benchmark_idxs = [1, 2, 4]
+    for benchmark_idx in benchmark_idxs:
+        bumped_curve = curve_shocker.apply_bump_to_benchmark(benchmark_idx, par_rate_bump)
+
+        d1 = mat_dates[benchmark_idx-1]
+        d2 = mat_dates[benchmark_idx]
+        d3 = mat_dates[benchmark_idx+1]
+
+        base_fwd_before = base_curve.fwd_rate(d1, d2)
+        base_fwd_after = base_curve.fwd_rate(d2, d3)
+        bumped_fwd_before = bumped_curve.fwd_rate(d1, d2)
+        bumped_fwd_after = bumped_curve.fwd_rate(d2, d3)
+
+        actual_fwd_rate_changes = ((bumped_fwd_before-base_fwd_before)/gBasisPoint,
+                                   (bumped_fwd_after-base_fwd_after)/gBasisPoint)
+
+        assert round(actual_fwd_rate_changes[0], 3) == round(expected_fwd_rate_changes[benchmark_idx][0], 3)
+        assert round(actual_fwd_rate_changes[1], 3) == round(expected_fwd_rate_changes[benchmark_idx][1], 3)
+
+
+if __name__ == '__main__':
+    test_ibor_curve_par_rate_shocker();
+