Test premiums green

ynouri · May 24, 2018 · 637bf57 · 637bf57
1 parent 920268f
commit 637bf57
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Showing 4 changed files with 29 additions and 29 deletions.
diff --git a/pysabr/examples/discount_factors.csv b/pysabr/examples/discount_factors.csv
diff --git a/pysabr/examples/option_expiries.csv b/pysabr/examples/option_expiries.csv
@@ -0,0 +1,18 @@
+Option_expiry,Year_frac
+1D,0.002739726
+1W,0.021917808
+1M,0.084931507
+2M,0.17260274
+3M,0.246575342
+6M,0.498630137
+9M,0.750684932
+1Y,1
+1Y6M,1.498630137
+2Y,2
+3Y,3.008219178
+5Y,5.002739726
+7Y,7.005479452
+10Y,10.00821918
+15Y,15.01369863
+20Y,20.01917808
+30Y,30.01917808
diff --git a/pysabr/tests/hagan_2002_lognormal_sabr/conftest.py b/pysabr/tests/hagan_2002_lognormal_sabr/conftest.py
@@ -1,7 +1,6 @@
 import pytest
 import itertools
 import pandas as pd
-from pysabr.helpers import year_frac_from_maturity_label
 
 
 # Path to vols, premiums and discount factors data
@@ -19,13 +18,13 @@
 df_premiums.sort_index(inplace=True)
 
 # Load discount factors
-df_discount = pd.read_csv(PATH + 'discount_factors.csv')
+df_option_expiries = pd.read_csv(PATH + 'option_expiries.csv')
 
 # Cartesian product of all expiries and tenors
 expiries = df_vols.index.levels[1]
 tenors = df_vols.columns
 all_points = list(itertools.product(*[expiries, tenors]))
-# all_points = [('1Y', '10Y')]  # for debugging
+# all_points = [('1Y', '10Y'), ('1Y', '30Y'), ('9M', '10Y')]  # for debugging
 all_points_ids = ["{} into {}".format(e, t) for e, t in all_points]
 
 
@@ -41,12 +40,13 @@ def vol_cube(request):
         df_vols.loc[idx[:, option_expiry], swap_tenor].
         reset_index(level=1, drop=True)
     )
-    expiry_year_frac = year_frac_from_maturity_label(option_expiry)
+    # Option expiry year fraction
+    i = df_option_expiries.Option_expiry == option_expiry
+    expiry_year_frac = df_option_expiries.loc[i].Year_frac.values[0]
+    # expiry_year_frac = year_frac_from_maturity_label(option_expiry)
     vol_input = (p['Forward'], p['Shift'], expiry_year_frac,
                  p['Normal_ATM_vol'], p['Beta'], p['Rho'], p['Volvol'])
-    # Discount factor
-    df = df_discount[
-            df_discount['Option_expiry'] == '10Y'].Discount_factor.values[0]
+
     # Target vols
     vols_target = df_premiums.loc[
         idx['SLN_vol', option_expiry, :], swap_tenor
@@ -56,4 +56,4 @@ def vol_cube(request):
         idx['Call', option_expiry, :], swap_tenor
         ].reset_index(level=[0, 1], drop=True)
     # Yields the tuple
-    yield (vol_input, df, vols_target, premiums_target)
+    yield (vol_input, vols_target, premiums_target)
diff --git a/pysabr/tests/hagan_2002_lognormal_sabr/test_cube.py b/pysabr/tests/hagan_2002_lognormal_sabr/test_cube.py
@@ -4,14 +4,14 @@
 
 
 N = 1e9  # We assume BPV = $100,000 (= 1e9 / 1e4)
-MAX_ABS_ERROR_PREMIUM = 0.1  # Max absolute error on premium is $0.1
+MAX_ABS_ERROR_PREMIUM = 10.0  # Max absolute error on premium is $10.0
 MAX_ERROR_VOL = 0.0005  # Max error is 0.05%
 
 
 def test_vols(vol_cube):
     """Test the full ATM SABR vol chain for Hagan's 2002 Lognormal model."""
     logging.debug(vol_cube)
-    (f, s, t, v_atm_n, beta, rho, volvol), _, vols_target, _ = vol_cube
+    (f, s, t, v_atm_n, beta, rho, volvol), vols_target, _ = vol_cube
     sabr = Hagan2002LognormalSABR(f/100, t, s/100, v_atm_n/1e4,
                                   beta, rho, volvol)
     strikes = vols_target.index
@@ -21,7 +21,7 @@ def test_vols(vol_cube):
 
 def test_premiums(vol_cube):
     """Test the premiums."""
-    (f, s, t, v_atm_n, beta, rho, volvol), df, _, premiums_target = vol_cube
+    (f, s, t, v_atm_n, beta, rho, volvol), _, premiums_target = vol_cube
     sabr = Hagan2002LognormalSABR(f/100, t, s/100, v_atm_n/1e4,
                                   beta, rho, volvol)
     strikes = premiums_target.index[premiums_target.index + s > 0.]