使用EONIA曲线贴现和6M EURIBOR远期曲线定价计算python中IR掉期的潜在未来风险敞口

import numpy as np
from scipy.interpolate import interp1d

# 定义EONIA曲线的期限和贴现因子
eon_rates = [0.01, 0.015, 0.02, 0.025, 0.03]
eon_discount_factors = [0.99, 0.98, 0.97, 0.96, 0.95]

# 定义6M EURIBOR远期曲线的期限和利率
euribor_rates = [0.02, 0.025, 0.03, 0.035, 0.04]
euribor_forward_rates = [0.025, 0.03, 0.035, 0.04, 0.045]

# 定义IR掉期的固定利率和浮动利率
fixed_rate = 0.03
floating_rate = 0.02

# 计算IR掉期的潜在未来风险敞口
discount_factor_interp = interp1d(eon_rates, eon_discount_factors)
discount_factor = discount_factor_interp(0.5)  # 假设掉期期限为0.5年
forward_rate_interp = interp1d(euribor_rates, euribor_forward_rates)
forward_rate = forward_rate_interp(0.5)  # 假设掉期期限为0.5年
exposure = (fixed_rate - floating_rate) * discount_factor * forward_rate

print("IR掉期的潜在未来风险敞口为:", exposure)