main.py

import numpy as np
import pandas as pd
import datetime as dt

from Vasicek import BrownianMotion
from Pricing import Swaption
from Pricing import ZeroCouponBond
from Calibration import Calibrator

from IPython.display import display
import matplotlib.pyplot as plt

brownian = BrownianMotion()
interest_rate_simulation = brownian.simulate_Vasicek_Two_Factor()

display(interest_rate_simulation)

interest_rate_simulation.plot(figsize = (15,9), grid = True)
plt.legend()
plt.show()

# Defining a zero curve for the example
Dates = [[2010,1,1], [2011,1,1], [2013,1,1], [2015,1,1], [2017,1,1], [2020,1,1], [2030,1,1]]
curveDates = []
for date in Dates:
    curveDates.append(dt.date(date[0],date[1],date[2]))

zeroRates = np.array([1.0, 1.9, 2.6, 3.1, 3.5, 4.0, 4.3])/100

plt.figure(figsize = (15,9))
plt.plot(curveDates,zeroRates)
plt.title('Yield Curve for ' + str(curveDates[0]))
plt.xlabel('Date')
plt.ylabel('Rate')
plt.show()

zero_coupon_bond = ZeroCouponBond(1)
zero_coupon_bond.price()
print(zero_coupon_bond._price)