SwapCurve: Interest Rate Curve Case Study

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The SwapCurve case study provides methods for constructing SwapCurve objects such as FR007 and SHIBOR3M, as well as extracting zero-coupon rates and discount factors for specified maturities from the SwapCurve.
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SwapCurve Case Study Template: Function Descriptions

1. Holiday Calendar Construction Functions

McpCalendar: Constructs a holiday calendar object for one or more currency pairs.
McpNCalendar: Constructs a holiday calendar object for multiple currencies.

2. SwapCurve Construction Functions

McpVanillaSwapCurveData: Constructs a Vanilla Swap Curve object.
McpSwapCurve: Constructs a Swap Curve object.

3. Product Storage Functions

McpCalibrationSet: Used to store different products (e.g., Depo, Swap, Bond) when building an interest rate curve and calibrate the curve using the bootstrapping method.

4. Date Calculation Functions

CalendarValueDateTenor: Calculates the maturity date.

5. Discount Factor Extraction Functions

SwapCurveDiscountFactor: Retrieves the discount factor for a specified maturity date from a SwapCurve object.

6. Interest Rate Extraction Functions

SwapCurveZeroRate: Retrieves the zero-coupon rate for a specified maturity date from a SwapCurve object.
[SwapCurveZeroRates]/en/latest/api/yieldcurve.html#excel-swapcurvezerorates-curve-dates-fmt-v): Retrieves zero-coupon rates for multiple maturity dates from a SwapCurve object.

7. Forward Rate Extraction Functions

YieldCurveForwardRate: Retrieves the forward rate from a YieldCurve object.

Python Code Example

Below is an example of a SwapCurve implementation.

SwapCurve Example

This example code demonstrates how to use the mcp library to build and test SwapCurves (interest rate curves). The code includes two main test functions: test_swap_curve_shibor3m and test_swap_curve_fr007, which test the interest rate curves based on SHIBOR 3M and FR007, respectively.

1. `test_swap_curve_shibor3m`

This function tests the interest rate curve based on SHIBOR 3M. Below is the code snippet:

def test_swap_curve_shibor3m():
    referenceDate = '2024-10-12'
    cal_usd = GetCurrencyCalendar('USD', usd_dates)
    vsc_data_args = {
        "ReferenceDate": referenceDate,
        "SwapStartLag": 1,
        "Calendar": cal_usd,
        "PaymentDateAdjuster": "ModifiedFollowing",
        "AccrDateAdjuster": "Actual",
        "FixedFrequency": "Quarterly",
        "FloatFrequency": "Quarterly",
        "FixedDayCounter": "Act365Fixed",
        "FloatDayCounter": "Act360",
        "UseIndexEstimation": True,
        "FixingIndex": "3M",
        "FixingRateMethod": "SIMPLE_AVERAGE",
        "FixInAdvance": True,
        "FixDaysBackward": 1,
        "Margin": 0,
        "MaturityDates": ['2025-4-14', '2025-7-14', '2025-10-13', '2026-10-12', '2027-10-12', '2028-10-12',
                          '2029-10-12', '2031-10-13', '2034-10-12'],
        "Coupons": [0.0184, 0.01755, 0.0171, 0.01715, 0.0176, 0.0182, 0.01885, 0.01965, 0.02065],
        "BumpAmounts": [0.0000, 0.0000, 0.0000, 0.0000, 0.0000, 0.0000, 0.0000, 0.0000, 0.0000],
        "Buses": [1, 1, 1, 1, 1, 1, 1, 1, 1]
    }
    vsc_data_args_curve: mcp.MVanillaSwapCurveData = McpVanillaSwapCurveData(vsc_data_args)
    c_set = wrapper.McpCalibrationSet()
    c_set.addData(vsc_data_args_curve.getHandler())
    c_set.addEnd()
    fixed_sc_args = {"ReferenceDate": referenceDate,
                     'CalibrationSet': c_set,
                     'InterpolatedVariable': 'CONTINUOUSRATES',
                     'InterpolationMethod': 'LINEARINTERPOLATION',
                     'DayCounter': 'ActActISDA'
                     }

    swap_curve: mcp.MSwapCurve = McpSwapCurve(fixed_sc_args)

2. `test_swap_curve_fr007`

This function tests the interest rate curve based on FR007. Below is the code snippet:

def test_swap_curve_fr007():
    referenceDate = '2024-9-21'
    cal_usd = GetCurrencyCalendar('USD', usd_dates)
    vsc_data_args = {
        "ReferenceDate": referenceDate,
        "SwapStartLag": 1,
        "Calendar": cal_usd,
        "PaymentDateAdjuster": "ModifiedFollowing",
        "AccrDateAdjuster": "Actual",
        "FixedFrequency": "Quarterly",
        "FloatFrequency": "Quarterly",
        "FixedDayCounter": "Act365Fixed",
        "FloatDayCounter": "Act365Fixed",
        "UseIndexEstimation": True,
        "FixingIndex": "7D",
        "FixingRateMethod": "COMPOUNDING",
        "FixInAdvance": True,
        "FixDaysBackward": 1,
        "Margin": 0,
        "MaturityDates": ['2025-3-21', '2025-6-23', '2025-9-22', '2026-9-21', '2027-9-21', '2028-9-21', '2029-9-21',
                          '2031-9-22', '2034-9-21'],
        "Coupons": [0.0184, 0.01755, 0.0171, 0.01715, 0.0176, 0.0182, 0.01885, 0.01965, 0.02065],
        "BumpAmounts": [0.0000, 0.0000, 0.0000, 0.0000, 0.0000, 0.0000, 0.0000, 0.0000, 0.0000],
        "Buses": [1, 1, 1, 1, 1, 1, 1, 1, 1]
    }
    vsc_data_args_curve: mcp.MVanillaSwapCurveData = McpVanillaSwapCurveData(vsc_data_args)
    c_set = wrapper.McpCalibrationSet()
    c_set.addData(vsc_data_args_curve.getHandler())
    c_set.addEnd()
    fixed_sc_args = {"ReferenceDate": referenceDate,
                     'CalibrationSet': c_set,
                     'InterpolatedVariable': 'CONTINUOUSRATES',
                     'InterpolationMethod': 'LINEARINTERPOLATION',
                     'DayCounter': 'ActActISDA'
                     }

    swap_curve: mcp.MSwapCurve = McpSwapCurve(fixed_sc_args)