Immanuel Edunsin
34 lines
1.2 KiB
Python
34 lines
1.2 KiB
Python
# simulate_forward.py
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import random
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from cip import theoretical_forward, deviation_bps
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# === Simulation parameters ===
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spot_mid = 1.16987 # last known spot mid
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r_domestic = 0.025 # e.g. USD OIS annual rate
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r_foreign = 0.005 # e.g. EUR OIS annual rate
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days = 30 # tenor in days for 1M
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threshold_bps = 2.0 # alert threshold in bps
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# 1) Compute the “fair” 1M forward via CIP
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theo_fwd = theoretical_forward(spot_mid, r_domestic, r_foreign, days)
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print(f"Theoretical 1M forward: {theo_fwd:.6f}\n")
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# 2) Run 10 simulated “observed” forwards with noise ±5 bps
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for i in range(1, 11):
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noise_bps = random.uniform(-5, 5)
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obs_fwd = theo_fwd * (1 + noise_bps / 10_000)
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dev = deviation_bps(obs_fwd, theo_fwd)
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# 3) Determine if it breaches your threshold
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signal = ""
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if abs(dev) > threshold_bps:
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direction = "Sell forward / Buy spot" if dev > 0 else "Buy forward / Sell spot"
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signal = f" ⚠️ ARB SIGNAL: {dev:.2f} bps → {direction}"
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# 4) Print the result for this trial
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print(
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f"Sim #{i:2d}: noise={noise_bps:+.2f} bps → "
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f"observed={obs_fwd:.6f} → dev={dev:+.2f} bps{signal}"
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)
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