How to use QuantLib - 10 common examples

def flat_rate(forward, daycounter):
    return FlatForward(
        quote           = SimpleQuote(forward),
        settlement_days = 0,
        calendar        = NullCalendar(),
        daycounter      = daycounter
    )

from quantlib.termstructures.yields.zero_curve import ZeroCurve

def flat_rate(forward, daycounter):
    return FlatForward(
        quote           = SimpleQuote(forward),
        settlement_days = 0,
        calendar        = NullCalendar(),
        daycounter      = daycounter
    )

DtSettlement = today()

settings = Settings()
settings.evaluation_date = DtSettlement

daycounter = ActualActual()
calendar = NullCalendar()

iRate = .1
iDiv = .04

risk_free_ts = flat_rate(iRate, daycounter)
dividend_ts = flat_rate(iDiv, daycounter)

s0 = SimpleQuote(32.0)

# Bates model

v0 = 0.05
kappa = 5.0;
theta = 0.05;
sigma = 1.0e-4;

def flat_rate(forward, daycounter):
    return FlatForward(
        quote           = SimpleQuote(forward),
        settlement_days = 0,
        calendar        = NullCalendar(),
        daycounter      = daycounter
    )

DtSettlement = today()

settings = Settings()
settings.evaluation_date = DtSettlement

daycounter = ActualActual()
calendar = NullCalendar()

iRate = .1
iDiv = .04

risk_free_ts = flat_rate(iRate, daycounter)
dividend_ts = flat_rate(iDiv, daycounter)

s0 = SimpleQuote(32.0)

# Bates model

v0 = 0.05
kappa = 5.0;
theta = 0.05;
sigma = 1.0e-4;
rho = 0.0;

def flat_rate(forward, daycounter):
    return FlatForward(
        quote           = SimpleQuote(forward),
        settlement_days = 0,
        calendar        = NullCalendar(),
        daycounter      = daycounter
    )

helper = DepositRateHelper(float(rate/100), tenor,
                 settlement_days,
                 calendar, ModifiedFollowing, end_of_month,
                 Actual360())

        rate_helpers.append(helper)

    endOfMonth = True

    liborIndex = Libor('USD Libor', Period(6, Months),
                       settlement_days,
                       USDCurrency(), calendar,
                       ModifiedFollowing,
                       endOfMonth, Actual360())

    spread = SimpleQuote(0)
    fwdStart = Period(0, Days)

    for m, period, label in swapData:
        rate = df_libor.get_value(dtObs, label)
        helper = SwapRateHelper(SimpleQuote(rate/100),
                 Period(m, Years), 
            calendar, Annual,
            Unadjusted, Thirty360(),
            liborIndex, spread, fwdStart)

        rate_helpers.append(helper)

    ts_day_counter = ActualActual(ISDA)
    tolerance = 1.0e-15

    ts = term_structure_factory(

df_tmp = DataFrame.filter(df_option, items=['dtExpiry', 'IR', 'IDIV'])
        grouped = df_tmp.groupby('dtExpiry')
        df_rates = grouped.agg(lambda x: x[0])

    # convert data frame (date/value) into zero curve
    # expect the index to be a date, and 1 column of values

    risk_free_ts = df_to_zero_curve(df_rates['R'], dtTrade)
    dividend_ts = df_to_zero_curve(df_rates['D'], dtTrade)

    # back out the spot from any forward
    iRate = df_option['R'][0]
    iDiv = df_option['D'][0]
    TTM = df_option['T'][0]
    Fwd = df_option['F'][0]
    spot = SimpleQuote(Fwd * np.exp(-(iRate - iDiv) * TTM))
    print('Spot: %f risk-free rate: %f div. yield: %f' % \
          (spot.value, iRate, iDiv))

    # loop through rows in option data frame, construct
    # helpers for bid/ask

    oneDay = datetime.timedelta(days=1)
    dtExpiry = [dtTrade + int(t * 365) * oneDay for t in df_option['T']]
    df_option['dtExpiry'] = dtExpiry

    options = []
    for index, row in df_option.T.iteritems():

        strike = row['K']
        if (strike / spot.value > 1.3) | (strike / spot.value < .7):
            continue

def make_rate_helper(market, quote, reference_date=None):
    """
    Wrapper for deposit and swaps rate helpers makers
    TODO: class method of RateHelper?
    """

    rate_type, tenor, quote_value = quote

    if rate_type == 'SWAP':
        libor_index = market._floating_rate_index
        spread = SimpleQuote(0)
        fwdStart = Period(0, Days)
        helper = SwapRateHelper.from_tenor(
            quote_value,
            Period(tenor),
            market._floating_rate_index.fixing_calendar,
            Period(market._params.fixed_leg_period).frequency,
            BusinessDayConvention.from_name(
                market._params.fixed_leg_convention),
            DayCounter.from_name(market._params.fixed_leg_daycount),
            libor_index, spread, fwdStart)
    elif rate_type == 'DEP':
        end_of_month = True
        helper = DepositRateHelper(
            quote_value,
            Period(tenor),
            market._params.settlement_days,

calendar = JointCalendar(UnitedStates(), UnitedKingdom())
    # must be a business day
    eval_date = calendar.adjust(dt_obs)
    settings.evaluation_date = eval_date
    settlement_days = 2
    settlement_date = calendar.advance(eval_date, settlement_days, Days)
    # must be a business day
    settlement_date = calendar.adjust(settlement_date)
    end_of_month = True

    if((rate_type == 'SWAP') & (period == 'Y')):
        liborIndex = Libor(
            'USD Libor', Period(6, Months), settlement_days,
            USDCurrency(), calendar, Actual360()
        )
        spread = SimpleQuote(0)
        fwdStart = Period(0, Days)
        helper = SwapRateHelper.from_tenor(
            SimpleQuote(rate),
            Period(tenor, Years),
            calendar, Annual,
            Unadjusted, Thirty360(),
            liborIndex, spread, fwdStart)
    elif((rate_type == 'LIBOR') & (period == 'M')):
        helper = DepositRateHelper(SimpleQuote(rate),
                                   Period(tenor, Months),
                                   settlement_days,
                                   calendar,
                                   ModifiedFollowing,
                                   end_of_month,
                                   Actual360())
    else:

def aggregate(serie):
        return serie[serie.index[0]]

    df_rates = grouped.agg(aggregate)

    # Get first index:
    first_index = 0

    dtTrade = df_option['dtTrade'][first_index]
    # back out the spot from any forward
    iRate = df_option['iRate'][first_index]
    iDiv = df_option['iDiv'][first_index]
    TTM = df_option['TTM'][first_index]
    Fwd = df_option['Fwd'][first_index]
    spot = SimpleQuote(Fwd * np.exp(-(iRate - iDiv) * TTM))
    print('Spot: %f risk-free rate: %f div. yield: %f' % (spot.value,
                                                          iRate, iDiv))

    # build array of option helpers
    hh = heston_helpers(spot, df_option, dtTrade, df_rates)

    risk_free_ts = dfToZeroCurve(df_rates['iRate'], dtTrade)
    dividend_ts = dfToZeroCurve(df_rates['iDiv'], dtTrade)

    return {'options': hh['options'], 'spot': spot,
            'risk_free_rate': risk_free_ts,
            'dividend_rate': dividend_ts}

# Create schedule based on market and bond parameters.
    index = market._floating_rate_index
    schedule = Schedule.from_rule(
        issue_date,
        maturity,
        Period(tenor),
        index.fixing_calendar,
        index.business_day_convention,
        index.business_day_convention,
        Rule.Backward,  # Date generation rule
        index.end_of_month,
        )

    daycounter = DayCounter.from_name("Actual/Actual (Bond)")
    helper = FixedRateBondHelper(
        SimpleQuote(clean_price),
        market._params.settlement_days,
        100.0,
        schedule,
        coupons,
        daycounter,
        Following,  # Payment convention
        100.0,
        issue_date)

    return helper