Skip to content

Commit 9ffa9fb

Browse files
author
Olivier Davant
committed
IPA Cap Floor and Swaption notebooks update
IPA Cap Floor and Swaption notebooks update
1 parent 1e13f3d commit 9ffa9fb

File tree

2 files changed

+125
-106
lines changed

2 files changed

+125
-106
lines changed

‎Examples/2-Content/2.07-IPA-FinancialContracts/EX-2.07.02-IPA-FinancialContracts-CapFloor.ipynb‎

Lines changed: 86 additions & 86 deletions
Original file line numberDiff line numberDiff line change
@@ -119,7 +119,7 @@
119119
},
120120
{
121121
"cell_type": "code",
122-
"execution_count": 4,
122+
"execution_count": 10,
123123
"metadata": {},
124124
"outputs": [
125125
{
@@ -170,55 +170,55 @@
170170
" <tr>\n",
171171
" <th>0</th>\n",
172172
" <td>None</td>\n",
173-
" <td>None</td>\n",
174-
" <td>None</td>\n",
175-
" <td>None</td>\n",
176-
" <td>None</td>\n",
177-
" <td>None</td>\n",
178-
" <td>None</td>\n",
179-
" <td>None</td>\n",
180-
" <td>None</td>\n",
181-
" <td>None</td>\n",
173+
" <td>SHORT EUR 1.0000% CAP</td>\n",
174+
" <td>CAP</td>\n",
175+
" <td>2022-02-15T00:00:00Z</td>\n",
176+
" <td>2022-02-15T00:00:00Z</td>\n",
177+
" <td>2019-02-11T00:00:00Z</td>\n",
178+
" <td>2024-02-12T00:00:00Z</td>\n",
179+
" <td>5Y</td>\n",
180+
" <td>Monthly</td>\n",
181+
" <td>Monthly</td>\n",
182182
" <td>...</td>\n",
183-
" <td>None</td>\n",
184-
" <td>None</td>\n",
185-
" <td>None</td>\n",
186-
" <td>None</td>\n",
187-
" <td>None</td>\n",
188-
" <td>None</td>\n",
189-
" <td>None</td>\n",
190-
" <td>QPS-Pricer.1043</td>\n",
191-
" <td>Invalid input: CalculationInput is invalid. Fo...</td>\n",
183+
" <td>104.293863</td>\n",
184+
" <td>-0.220229</td>\n",
185+
" <td>-0.220044</td>\n",
186+
" <td>-418.328325</td>\n",
187+
" <td>-3.90095</td>\n",
188+
" <td>-541.486272</td>\n",
189+
" <td>64.480345</td>\n",
190+
" <td></td>\n",
191+
" <td></td>\n",
192192
" <td></td>\n",
193193
" </tr>\n",
194194
" </tbody>\n",
195195
"</table>\n",
196-
"<p>1 rows × 28 columns</p>\n",
196+
"<p>1 rows × 29 columns</p>\n",
197197
"</div>"
198198
],
199199
"text/plain": [
200-
" InstrumentTag InstrumentDescription CallPut ValuationDate MarketDataDate \\\n",
201-
"0 None None None None None \n",
200+
" InstrumentTag InstrumentDescription CallPut ValuationDate \\\n",
201+
"0 None SHORT EUR 1.0000% CAP CAP 2022-02-15T00:00:00Z \n",
202202
"\n",
203-
" StartDate EndDate Tenor InterestPaymentFrequency IndexResetFrequency ... \\\n",
204-
"0 None None None None None ... \n",
203+
" MarketDataDate StartDate EndDate Tenor \\\n",
204+
"0 2022-02-15T00:00:00Z 2019-02-11T00:00:00Z 2024-02-12T00:00:00Z 5Y \n",
205205
"\n",
206-
" ImpliedVolatilityBp DeltaPercent ForwardDeltaPercent DV01AmountInDealCcy \\\n",
207-
"0 None None None None \n",
206+
" InterestPaymentFrequency IndexResetFrequency ... ImpliedVolatilityBp \\\n",
207+
"0 Monthly Monthly ... 104.293863 \n",
208208
"\n",
209-
" GammaAmountInDealCcy VegaAmountInDealCcy ThetaAmountInDealCcy \\\n",
210-
"0 None None None \n",
209+
" DeltaPercent ForwardDeltaPercent DV01AmountInDealCcy GammaAmountInDealCcy \\\n",
210+
"0 -0.220229 -0.220044 -418.328325 -3.90095 \n",
211211
"\n",
212-
" ErrorCode ErrorMessage \\\n",
213-
"0 QPS-Pricer.1043 Invalid input: CalculationInput is invalid. Fo... \n",
212+
" VegaAmountInDealCcy ThetaAmountInDealCcy ErrorCode ErrorMessage \\\n",
213+
"0 -541.486272 64.480345 \n",
214214
"\n",
215-
" ProcessingInformation \n",
216-
"0 \n",
215+
" ProcessingInformation \n",
216+
"0 \n",
217217
"\n",
218-
"[1 rows x 28 columns]"
218+
"[1 rows x 29 columns]"
219219
]
220220
},
221-
"execution_count": 4,
221+
"execution_count": 10,
222222
"metadata": {},
223223
"output_type": "execute_result"
224224
}
@@ -229,14 +229,14 @@
229229
" start_date=\"2019-02-11\",\n",
230230
" amortization_schedule=[\n",
231231
" cap_floor.AmortizationItem(\n",
232-
" start_date=\"2021-02-11\",\n",
233-
" end_date=\"2022-02-11\",\n",
232+
" start_date=\"2021-02-12\",\n",
233+
" end_date=\"2021-02-12\",\n",
234234
" amount=100000,\n",
235235
" amortization_type=cap_floor.AmortizationType.SCHEDULE,\n",
236236
" ),\n",
237237
" cap_floor.AmortizationItem(\n",
238238
" start_date=\"2021-02-11\",\n",
239-
" end_date=\"2022-02-11\",\n",
239+
" end_date=\"2021-02-11\",\n",
240240
" amount=-100000,\n",
241241
" amortization_type=cap_floor.AmortizationType.SCHEDULE,\n",
242242
" ),\n",
@@ -260,7 +260,7 @@
260260
},
261261
{
262262
"cell_type": "code",
263-
"execution_count": 5,
263+
"execution_count": 11,
264264
"metadata": {},
265265
"outputs": [
266266
{
@@ -296,25 +296,25 @@
296296
" <tr>\n",
297297
" <th>0</th>\n",
298298
" <td>None</td>\n",
299+
" <td>SHORT EUR 1.0000% CAP</td>\n",
299300
" <td>None</td>\n",
301+
" <td>-34349.598523</td>\n",
300302
" <td>None</td>\n",
301-
" <td>None</td>\n",
302-
" <td>None</td>\n",
303-
" <td>Invalid input: CalculationInput is invalid. Fo...</td>\n",
303+
" <td></td>\n",
304304
" </tr>\n",
305305
" </tbody>\n",
306306
"</table>\n",
307307
"</div>"
308308
],
309309
"text/plain": [
310-
" InstrumentTag InstrumentDescription FixedRate MarketValueInDealCcy \\\n",
311-
"0 None None None None \n",
310+
" InstrumentTag InstrumentDescription FixedRate MarketValueInDealCcy \\\n",
311+
"0 None SHORT EUR 1.0000% CAP None -34349.598523 \n",
312312
"\n",
313-
" MarketValueInReportCcy ErrorMessage \n",
314-
"0 None Invalid input: CalculationInput is invalid. Fo... "
313+
" MarketValueInReportCcy ErrorMessage \n",
314+
"0 None "
315315
]
316316
},
317-
"execution_count": 5,
317+
"execution_count": 11,
318318
"metadata": {},
319319
"output_type": "execute_result"
320320
}
@@ -325,14 +325,14 @@
325325
" start_date=\"2019-02-11\",\n",
326326
" amortization_schedule=[\n",
327327
" cap_floor.AmortizationItem(\n",
328-
" start_date=\"2021-02-11\",\n",
329-
" end_date=\"2022-02-11\",\n",
328+
" start_date=\"2021-02-12\",\n",
329+
" end_date=\"2021-02-12\",\n",
330330
" amount=100000,\n",
331331
" amortization_type=cap_floor.AmortizationType.SCHEDULE,\n",
332332
" ),\n",
333333
" cap_floor.AmortizationItem(\n",
334334
" start_date=\"2021-02-11\",\n",
335-
" end_date=\"2022-02-11\",\n",
335+
" end_date=\"2021-02-11\",\n",
336336
" amount=-100000,\n",
337337
" amortization_type=cap_floor.AmortizationType.SCHEDULE,\n",
338338
" ),\n",
@@ -364,7 +364,7 @@
364364
},
365365
{
366366
"cell_type": "code",
367-
"execution_count": 6,
367+
"execution_count": 12,
368368
"metadata": {},
369369
"outputs": [
370370
{
@@ -415,55 +415,55 @@
415415
" <tr>\n",
416416
" <th>0</th>\n",
417417
" <td>None</td>\n",
418-
" <td>None</td>\n",
419-
" <td>None</td>\n",
420-
" <td>None</td>\n",
421-
" <td>None</td>\n",
422-
" <td>None</td>\n",
423-
" <td>None</td>\n",
424-
" <td>None</td>\n",
425-
" <td>None</td>\n",
426-
" <td>None</td>\n",
418+
" <td>SHORT EUR 1.0000% CAP</td>\n",
419+
" <td>CAP</td>\n",
420+
" <td>2020-02-07T00:00:00Z</td>\n",
421+
" <td>2020-02-07T00:00:00Z</td>\n",
422+
" <td>2019-02-11T00:00:00Z</td>\n",
423+
" <td>2024-02-12T00:00:00Z</td>\n",
424+
" <td>5Y</td>\n",
425+
" <td>Monthly</td>\n",
426+
" <td>Monthly</td>\n",
427427
" <td>...</td>\n",
428-
" <td>None</td>\n",
429-
" <td>None</td>\n",
430-
" <td>None</td>\n",
431-
" <td>None</td>\n",
432-
" <td>None</td>\n",
433-
" <td>None</td>\n",
434-
" <td>None</td>\n",
435-
" <td>QPS-Pricer.1043</td>\n",
436-
" <td>Invalid input: CalculationInput is invalid. Fo...</td>\n",
428+
" <td>52.472907</td>\n",
429+
" <td>-0.140214</td>\n",
430+
" <td>-0.13845</td>\n",
431+
" <td>-554.32847</td>\n",
432+
" <td>-8.35115</td>\n",
433+
" <td>-1257.704728</td>\n",
434+
" <td>30.34355</td>\n",
437435
" <td></td>\n",
436+
" <td></td>\n",
437+
" <td>The following global parameter is invalid: ski...</td>\n",
438438
" </tr>\n",
439439
" </tbody>\n",
440440
"</table>\n",
441-
"<p>1 rows × 28 columns</p>\n",
441+
"<p>1 rows × 29 columns</p>\n",
442442
"</div>"
443443
],
444444
"text/plain": [
445-
" InstrumentTag InstrumentDescription CallPut ValuationDate MarketDataDate \\\n",
446-
"0 None None None None None \n",
445+
" InstrumentTag InstrumentDescription CallPut ValuationDate \\\n",
446+
"0 None SHORT EUR 1.0000% CAP CAP 2020-02-07T00:00:00Z \n",
447447
"\n",
448-
" StartDate EndDate Tenor InterestPaymentFrequency IndexResetFrequency ... \\\n",
449-
"0 None None None None None ... \n",
448+
" MarketDataDate StartDate EndDate Tenor \\\n",
449+
"0 2020-02-07T00:00:00Z 2019-02-11T00:00:00Z 2024-02-12T00:00:00Z 5Y \n",
450450
"\n",
451-
" ImpliedVolatilityBp DeltaPercent ForwardDeltaPercent DV01AmountInDealCcy \\\n",
452-
"0 None None None None \n",
451+
" InterestPaymentFrequency IndexResetFrequency ... ImpliedVolatilityBp \\\n",
452+
"0 Monthly Monthly ... 52.472907 \n",
453453
"\n",
454-
" GammaAmountInDealCcy VegaAmountInDealCcy ThetaAmountInDealCcy \\\n",
455-
"0 None None None \n",
454+
" DeltaPercent ForwardDeltaPercent DV01AmountInDealCcy GammaAmountInDealCcy \\\n",
455+
"0 -0.140214 -0.13845 -554.32847 -8.35115 \n",
456456
"\n",
457-
" ErrorCode ErrorMessage \\\n",
458-
"0 QPS-Pricer.1043 Invalid input: CalculationInput is invalid. Fo... \n",
457+
" VegaAmountInDealCcy ThetaAmountInDealCcy ErrorCode ErrorMessage \\\n",
458+
"0 -1257.704728 30.34355 \n",
459459
"\n",
460-
" ProcessingInformation \n",
461-
"0 \n",
460+
" ProcessingInformation \n",
461+
"0 The following global parameter is invalid: ski... \n",
462462
"\n",
463-
"[1 rows x 28 columns]"
463+
"[1 rows x 29 columns]"
464464
]
465465
},
466-
"execution_count": 6,
466+
"execution_count": 12,
467467
"metadata": {},
468468
"output_type": "execute_result"
469469
}
@@ -474,14 +474,14 @@
474474
" start_date=\"2019-02-11\",\n",
475475
" amortization_schedule=[\n",
476476
" cap_floor.AmortizationItem(\n",
477-
" start_date=\"2021-02-11\",\n",
478-
" end_date=\"2022-02-11\",\n",
477+
" start_date=\"2021-02-12\",\n",
478+
" end_date=\"2021-02-12\",\n",
479479
" amount=100000,\n",
480480
" amortization_type=cap_floor.AmortizationType.SCHEDULE,\n",
481481
" ),\n",
482482
" cap_floor.AmortizationItem(\n",
483483
" start_date=\"2021-02-11\",\n",
484-
" end_date=\"2022-02-11\",\n",
484+
" end_date=\"2021-02-11\",\n",
485485
" amount=-100000,\n",
486486
" amortization_type=cap_floor.AmortizationType.SCHEDULE,\n",
487487
" ),\n",

0 commit comments

Comments
 (0)