GitHub - pazzo83/QuantLib.jl: Quantlib implementation in pure Julia (original) (raw)

This package aims to provide a pure Julia version of the popular open source library QuantLib (written in C++ and interfaced with other languages via SWIG). Right now the package is in an alpha state, but there is quite a bit of functionality already.

using Pkg; Pkg.add("QuantLib")

The package essentially contains the main QuantLib module and two sub-modules for various time-based and math-based operations. Below is a fairly up-to-date status of what is included.

using QuantLib using Dates

settlement_date = Date(2008, 9, 18) # construct settlement date

settings is a global singleton that contains global settings

set_eval_date!(settings, settlement_date - Dates.Day(3))

settings that we will need to construct the yield curve

freq = QuantLib.Time.Semiannual() tenor = QuantLib.Time.TenorPeriod(freq) conv = QuantLib.Time.Unadjusted() conv_depo = QuantLib.Time.ModifiedFollowing() rule = QuantLib.Time.DateGenerationBackwards() calendar = QuantLib.Time.USGovernmentBondCalendar() dc_depo = QuantLib.Time.Actual365() dc = QuantLib.Time.ISDAActualActual() dc_bond = QuantLib.Time.ISMAActualActual() fixing_days = 3

build depos

depo_rates = [0.0096, 0.0145, 0.0194] depo_tens = [Dates.Month(3), Dates.Month(6), Dates.Month(12)]

build bonds

issue_dates = [Date(2005, 3, 15), Date(2005, 6, 15), Date(2006, 6, 30), Date(2002, 11, 15), Date(1987, 5, 15)] mat_dates = [Date(2010, 8, 31), Date(2011, 8, 31), Date(2013, 8, 31), Date(2018, 8, 15), Date(2038, 5, 15)]

coupon_rates = [0.02375, 0.04625, 0.03125, 0.04000, 0.04500] market_quotes = [100.390625, 106.21875, 100.59375, 101.6875, 102.140625]

construct the deposit and fixed rate bond helpers

insts = Vector{BootstrapHelper}(undef, length(depo_rates) + length(issue_dates)) for i = 1:length(depo_rates) depo_quote = Quote(depo_rates[i]) depo_tenor = QuantLib.Time.TenorPeriod(depo_tens[i]) depo = DepositRateHelper(depo_quote, depo_tenor, fixing_days, calendar, conv_depo, true, dc_depo) insts[i] = depo end

for i =1:length(coupon_rates) term_date = mat_dates[i] rate = coupon_rates[i] issue_date = issue_dates[i] market_quote = market_quotes[i] sched = QuantLib.Time.Schedule(issue_date, term_date, tenor, conv, conv, rule, true) bond = FixedRateBondHelper(Quote(market_quote), FixedRateBond(3, 100.0, sched, rate, dc_bond, conv, 100.0, issue_date, calendar, DiscountingBondEngine())) insts[i + length(depo_rates)] = bond end

Construct the Yield Curve

interp = QuantLib.Math.LogLinear() trait = Discount() bootstrap = IterativeBootstrap() yts = PiecewiseYieldCurve(settlement_date, insts, dc, interp, trait, 0.00000000001, bootstrap)

Build it

calculate!(yts)

Build our Fixed Rate Bond

settlement_days = 3 face_amount = 100.0

fixed_schedule = QuantLib.Time.Schedule(Date(2007, 5, 15), Date(2017, 5, 15), QuantLib.Time.TenorPeriod(QuantLib.Time.Semiannual()), QuantLib.Time.Unadjusted(), QuantLib.Time.Unadjusted(), QuantLib.Time.DateGenerationBackwards(), false, QuantLib.Time.USGovernmentBondCalendar())

pe = DiscountingBondEngine(yts)

fixedrate_bond = FixedRateBond(settlement_days, face_amount, fixed_schedule, 0.045, QuantLib.Time.ISMAActualActual(), QuantLib.Time.ModifiedFollowing(), 100.0, Date(2007, 5, 15), fixed_schedule.cal, pe)

Calculate NPV

npv(fixedrate_bond) # 107.66828913260542