Gearing in swaps
[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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