Gearing in swapsΒΆ

[2]:
import QuantLib as ql

Create a relinkable yield term structure handle and build a curve

[1]:
import QuantLib as ql
import pandas as pd

yts = ql.YieldTermStructureHandle(ql.FlatForward(2, ql.TARGET(), 0.05, ql.Actual360()))
engine = ql.DiscountingSwapEngine(yts)
index = ql.USDLibor(ql.Period('6M'), yts)

schedule = ql.MakeSchedule(ql.Date(15,6,2021), ql.Date(15,6,2023), ql.Period('6M'))
nominal = [10e6]


fixedLeg = ql.FixedRateLeg(schedule, index.dayCounter(), nominal, [0.05])
floatingLeg = ql.IborLeg(nominal, schedule, index)
swap = ql.Swap(fixedLeg, floatingLeg)
swap.setPricingEngine(engine)

print(f"Floating leg NPV: {swap.legNPV(1):,.2f}\n")
pd.DataFrame([{
    'fixingDate': cf.fixingDate().ISO(),
    'accrualStart': cf.accrualStartDate().ISO(),
    'accrualEnd': cf.accrualEndDate().ISO(),
    "paymentDate": cf.date().ISO(),
    'gearing': cf.gearing(),
    'forward': cf.indexFixing(),
    'rate': cf.rate(),
    "amount": cf.amount()
} for cf in map(ql.as_floating_rate_coupon, swap.leg(1))])
Floating leg NPV: 933,741.01

[1]:
fixingDate accrualStart accrualEnd paymentDate gearing forward rate amount
0 2021-06-11 2021-06-15 2021-12-15 2021-12-15 1.0 0.050641 0.050641 257424.241734
1 2021-12-13 2021-12-15 2022-06-15 2022-06-15 1.0 0.050637 0.050637 255999.698407
2 2022-06-13 2022-06-15 2022-12-15 2022-12-15 1.0 0.050641 0.050641 257424.241734
3 2022-12-13 2022-12-15 2023-06-15 2023-06-15 1.0 0.050637 0.050637 255999.698407
[2]:
floatingLeg = ql.IborLeg(nominal, schedule, index, gearings=[0.7])
swap = ql.Swap(fixedLeg, floatingLeg)
swap.setPricingEngine(engine)

print(f"Floating leg NPV: {swap.legNPV(1):,.2f}\n")
pd.DataFrame([{
    'fixingDate': cf.fixingDate().ISO(),
    'accrualStart': cf.accrualStartDate().ISO(),
    'accrualEnd': cf.accrualEndDate().ISO(),
    "paymentDate": cf.date().ISO(),
    'gearing': cf.gearing(),
    'forward': cf.indexFixing(),
    'rate': cf.rate(),
    "amount": cf.amount()
} for cf in map(ql.as_floating_rate_coupon, swap.leg(1))])
Floating leg NPV: 653,618.71

[2]:
fixingDate accrualStart accrualEnd paymentDate gearing forward rate amount
0 2021-06-11 2021-06-15 2021-12-15 2021-12-15 0.7 0.050641 0.035449 180196.969214
1 2021-12-13 2021-12-15 2022-06-15 2022-06-15 0.7 0.050637 0.035446 179199.788885
2 2022-06-13 2022-06-15 2022-12-15 2022-12-15 0.7 0.050641 0.035449 180196.969214
3 2022-12-13 2022-12-15 2023-06-15 2023-06-15 0.7 0.050637 0.035446 179199.788885
[4]:
swapType = ql.VanillaSwap.Payer
numDates = (len(schedule)-1)
gearing = [0.7] * numDates
spread = [0.0] * numDates
fixedRateArray = [0.05] * numDates
nominalArray = nominal * numDates
nsSwap = ql.NonstandardSwap(
    swapType, nominalArray, nominalArray,
    schedule, fixedRateArray, index.dayCounter(),
    schedule, index, gearing, spread, index.dayCounter())

nsSwap.setPricingEngine(engine)
print(f"Floating leg NPV: {nsSwap.legNPV(1):,.2f}\n")
pd.DataFrame([{
    'fixingDate': cf.fixingDate().ISO(),
    'accrualStart': cf.accrualStartDate().ISO(),
    'accrualEnd': cf.accrualEndDate().ISO(),
    "paymentDate": cf.date().ISO(),
    'gearing': cf.gearing(),
    'forward': cf.indexFixing(),
    'rate': cf.rate(),
    "amount": cf.amount()
} for cf in map(ql.as_floating_rate_coupon, swap.leg(1))])
Floating leg NPV: 653,618.71

[4]:
fixingDate accrualStart accrualEnd paymentDate gearing forward rate amount
0 2021-06-11 2021-06-15 2021-12-15 2021-12-15 1.0 0.050641 0.050641 180196.969214
1 2021-12-13 2021-12-15 2022-06-15 2022-06-15 1.0 0.050637 0.050637 179199.788885
2 2022-06-13 2022-06-15 2022-12-15 2022-12-15 1.0 0.050641 0.050641 180196.969214
3 2022-12-13 2022-12-15 2023-06-15 2023-06-15 1.0 0.050637 0.050637 179199.788885
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