QuantLibPython/testSwapPricing.py at master · sschlenkrich/QuantLibPython · GitHub

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import QuantLib as ql
import QuantLibWrapper.YieldCurve as yc
import QuantLibWrapper.Swap as sw

today = ql.Date(3,9,2018)
ql.Settings.setEvaluationDate(ql.Settings.instance(),today)

terms = [     \
        '1y', \
        '2y', \
        '3y', \
        '4y', \
        '5y', \
        '6y', \
        '7y', \
        '8y', \
        '9y', \
        '10y',\
        '12y',\
        '15y',\
        '20y',\
        '25y',\
        '30y' ]

rates = [       \
        2.70e-2,\
        2.75e-2,\
        2.80e-2,\
        3.00e-2,\
        3.36e-2,\
        3.68e-2,\
        3.97e-2,\
        4.24e-2,\
        4.50e-2,\
        4.75e-2,\
        4.75e-2,\
        4.70e-2,\
        4.50e-2,\
        4.30e-2,\
        4.30e-2 ]

rates2 = [ r+0.005 for r in rates ]

discCurve = yc.YieldCurve(terms,rates)
projCurve = yc.YieldCurve(terms,rates2)

startDate = ql.Date(30, 10, 2018)
endDate = ql.Date(30, 10, 2038)

swap = sw.Swap(startDate,endDate,0.05,discCurve,projCurve)

print('NPV:      %11.2f' % (swap.npv()))
print('FairRate: %11.6f' % (swap.fairRate()))
print('Annuity:  %11.2f' % (swap.annuity()))

print(swap.fixedCashFlows())
print(swap.floatCashFlows())