working cva computation using quantlib

python/cvatesting/instruments.py

@@ -0,0 +1,165 @@
+import QuantLib as ql
+
+
+# ============================================================
+# Global defaults (override via parameters if needed)
+# ============================================================
+
+CALENDAR = ql.TARGET()
+BUSINESS_CONVENTION = ql.ModifiedFollowing
+DATE_GEN = ql.DateGeneration.Forward
+
+FIXED_DAYCOUNT = ql.Thirty360(ql.Thirty360.European)
+FLOAT_DAYCOUNT = ql.Actual360()
+
+
+# ============================================================
+# Yield curve factory
+# ============================================================
+
+def make_flat_curve(
+    evaluation_date: ql.Date,
+    rate: float,
+    day_count: ql.DayCounter = ql.Actual365Fixed()
+) -> ql.YieldTermStructureHandle:
+    """
+    Flat yield curve factory.
+    """
+    ql.Settings.instance().evaluationDate = evaluation_date
+    curve = ql.FlatForward(evaluation_date, rate, day_count)
+    return ql.YieldTermStructureHandle(curve)
+
+
+# ============================================================
+# Index factory
+# ============================================================
+
+def make_euribor_6m(
+    curve_handle: ql.YieldTermStructureHandle
+) -> ql.IborIndex:
+    """
+    Euribor 6M index factory.
+    """
+    return ql.Euribor6M(curve_handle)
+
+
+# ============================================================
+# Schedule factory
+# ============================================================
+
+def make_schedule(
+    start: ql.Date,
+    maturity: ql.Date,
+    tenor: ql.Period,
+    calendar: ql.Calendar = CALENDAR
+) -> ql.Schedule:
+    """
+    Generic schedule factory.
+    """
+    return ql.Schedule(
+        start,
+        maturity,
+        tenor,
+        calendar,
+        BUSINESS_CONVENTION,
+        BUSINESS_CONVENTION,
+        DATE_GEN,
+        False
+    )
+
+
+# ============================================================
+# Swap factory
+# ============================================================
+
+def make_vanilla_swap(
+    evaluation_date: ql.Date,
+    curve_handle: ql.YieldTermStructureHandle,
+    notional: float,
+    fixed_rate: float,
+    maturity_years: int,
+    pay_fixed: bool = False,
+    fixed_leg_freq: ql.Period = ql.Annual,
+    float_leg_freq: ql.Period = ql.Semiannual
+) -> ql.VanillaSwap:    
+    """
+    Vanilla fixed-for-float IRS factory.
+
+    pay_fixed = True  -> payer swap
+    pay_fixed = False -> receiver swap
+    """
+
+    ql.Settings.instance().evaluationDate = evaluation_date
+
+    index = make_euribor_6m(curve_handle)
+
+    start = CALENDAR.advance(evaluation_date, 2, ql.Days)
+    maturity = CALENDAR.advance(start, maturity_years, ql.Years)
+
+    fixed_schedule = make_schedule(
+        start, maturity, ql.Period(fixed_leg_freq)
+    )
+    float_schedule = make_schedule(
+        start, maturity, ql.Period(float_leg_freq)
+    )
+
+    swap_type = (
+        ql.VanillaSwap.Payer if pay_fixed else ql.VanillaSwap.Receiver
+    )
+
+    swap = ql.VanillaSwap(
+        swap_type,
+        notional,
+        fixed_schedule,
+        fixed_rate,
+        FIXED_DAYCOUNT,
+        float_schedule,
+        index,
+        0.0,
+        FLOAT_DAYCOUNT
+    )
+
+    swap.setPricingEngine(
+        ql.DiscountingSwapEngine(curve_handle)
+    )
+
+    return swap
+
+
+# ============================================================
+# Swaption helper factory (for HW calibration)
+# ============================================================
+
+def make_swaption_helpers(
+    swaption_data: list,
+    curve_handle: ql.YieldTermStructureHandle,
+    index: ql.IborIndex,
+    model: ql.HullWhite
+) -> list:
+    """
+    Create ATM swaption helpers.
+
+    swaption_data = [(expiry, tenor, vol), ...]
+    """
+
+    helpers = []
+
+    for expiry, tenor, vol in swaption_data:
+        helper = ql.SwaptionHelper(
+            expiry,
+            tenor,
+            ql.QuoteHandle(ql.SimpleQuote(vol)),
+            index,
+            index.tenor(),
+            index.dayCounter(),
+            index.dayCounter(),
+            curve_handle
+        )
+
+        helper.setPricingEngine(
+            ql.JamshidianSwaptionEngine(model)
+        )
+
+        helpers.append(helper)
+
+    return helpers