August 2009
Intermediate to advanced
244 pages
9h 5m
English
Content preview from Financial Modelling in Python
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P1: JYS
c05 JWBK378-Fletcher May 12, 2009 16:54 Printer: Yet to come
Market: Curves and Surfaces 65
, date(2006, Apr, 11)
, date(2006, Jul, 11)
, date(2006, Oct, 11)
, date(2007, Jan, 11)
, date(2008, Jan, 11)
, date(2009, Jan, 11)
, date(2010, Jan, 11)
, date(2011, Jan, 11)
, date(2012, Jan, 11)
, date(2013, Jan, 11) ]
tenors = [ months(12), months(24), months(36) ]
vols = zeros((len(expiries), len(tenors)))
# expiry, tenor surface 1y 2y 3y
vols[ 0, 0], vols[ 0, 1], vols[ 0, 2] = 200.00, 76.25, 64.00 # 1m
vols[ 1, 0], vols[ 1, 1], vols[ 1, 2] = 98.50, 84.75, 69.00 # 3m
vols[ 2, 0], vols[ 2, 1], vols[ 2, 2] = 98.00, 81.75, 68.00 # 6m
vols[ 3, 0], vols[ 3, 1], vols[ 3, 2] = 101.25, 82.25, 69.25 # 9m
vols[ 4, 0], vols[ 4, 1], vols[ 4, 2] = 106.00, 82.00, 69.25 # 1y
vols[ 5, 0], vols[ 5, 1], vols[ 5, 2] = 78.75, 73.25, 61.25 # 2y
vols[ 6, 0], vols[ 6, 1], vols[ 6, 2] = 66.25, 59.00, 50.00 # 3y
vols[ 7, 0], vols[ 7, 1], vols[ 7, 2] = 55.25, 47.75, 41.75 # 4y
vols[ 8, 0], vols[ 8, 1], vols[ 8, 2] = 44.75, 40.25, 35.50 # 5y
vols[ 9, 0], vols[ 9, 1], vols[ 9, 2] = 32.00, 30.50, 28.25 # 6y
vols[10, 0], vols[10, 1], vols[10, 2] = 26.50, 24.25, 24.25 # 7y
base = date(2006, Jan, 11);
sig = ppf.market.surface(
[int(t - base)/365.0 for t in expiries]
, [m.number
of months().as number() for m in tenors]
, vols)
tol=1.0e-8
for i in range(len(expiries)):
expiry = expiries[i]
t = int(expiry - base)/365.0
for j in range(len(tenors)): ...
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