def set_market_data(self, market_data): super(CMQNormalCSO, self).set_market_data(market_data) if len(market_data) == 0: self.fwd_avg = 1.0 self.df = 1.0 return fwd_quotes = market_data['COMFwd'][self.fwd_index] for quote in fwd_quotes: if quote[0] == self.leg_a: self.fwd_a = quote[2] continue elif quote[0] == self.leg_b: self.fwd_b = quote[2] break volmark = cmq_crv_defn.lookup_vol_mark(self.fwd_index, market_data, self.end, \ vol_fields=['COMDV'+str(self.leg_diff)]) self.ivol = volmark['COMDV' + str(self.leg_diff)] if self.need_disc and (self.end >= self.value_date): rate_quotes = market_data['IRCurve'][self.ccy.lower() + '_disc'] tenors = [(quote[1] - self.value_date).days for quote in rate_quotes] irates = [quote[2] for quote in rate_quotes] mode = cmq_curve.ForwardCurve.InterpMode.Linear rate_curve = cmq_curve.ForwardCurve.from_array(tenors, irates, interp_mode=mode) t_exp = (self.end - self.value_date).days self.df = np.exp(-rate_curve(t_exp) * t_exp / 365.0) else: self.df = 1.0
def set_market_data(self, market_data): super(CMQCommodEuOpt, self).set_market_data(market_data) if len(market_data) == 0: self.volmark = None else: self.volmark = cmq_crv_defn.lookup_vol_mark(self.fwd_index, market_data, self.end, \ vol_fields=cmq_crv_defn.COMVOL_fields)
def set_market_data(self, market_data): super(CMQMthlyAsian, self).set_market_data(market_data) if len(market_data) == 0: self.volmark = None return self.volmark = cmq_crv_defn.lookup_vol_mark(self.fwd_index, market_data, self.end, \ vol_fields = cmq_crv_defn.COMVOL_fields)
def set_market_data(self, market_data): super(CMQCommodEuOpt, self).set_market_data(market_data) if len(market_data) == 0: self.fwd_avg = 1.0 self.df = 1.0 return fwd_quotes = market_data['COMFwd'][self.fwd_index] for quote in fwd_quotes: if quote[0] == self.contract: self.fwd_avg = quote[2] break self.volmark = cmq_crv_defn.lookup_vol_mark(self.fwd_index, market_data, self.end, \ vol_fields=cmq_crv_defn.COMVOL_fields) if self.need_disc and (self.end >= self.value_date): rate_quotes = market_data['IRCurve'][self.ccy.lower() + '_disc'] tenors = [(quote[1] - self.value_date).days for quote in rate_quotes] irates = [quote[2] for quote in rate_quotes] mode = cmq_curve.ForwardCurve.InterpMode.Linear rate_curve = cmq_curve.ForwardCurve.from_array(tenors, irates, interp_mode=mode) t_exp = (self.end - self.value_date).days self.df = np.exp(-rate_curve(t_exp) * t_exp / 365.0) else: self.df = 1.0
def set_market_data(self, market_data): super(CMQCommodEuOpt, self).set_market_data(market_data) if len(market_data) == 0: self.volmark = None else: self.volmark = cmq_crv_defn.lookup_vol_mark(self.fwd_index, market_data, self.end, \ vol_fields=cmq_crv_defn.COMVOL_fields)
def set_market_data(self, market_data): super(CMQMthlyAsian, self).set_market_data(market_data) if len(market_data) == 0: self.volmark = None return self.volmark = cmq_crv_defn.lookup_vol_mark(self.fwd_index, market_data, self.end, \ vol_fields = cmq_crv_defn.COMVOL_fields)
def set_market_data(self, market_data): super(CMQNormalCSO, self).set_market_data(market_data) if len(market_data) == 0: self.fwd_avg = 1.0 self.df = 1.0 return fwd_quotes = market_data['COMFwd'][self.fwd_index] for quote in fwd_quotes: if quote[0] == self.leg_a: self.fwd_a = quote[2] continue elif quote[0] == self.leg_b: self.fwd_b = quote[2] break volmark = cmq_crv_defn.lookup_vol_mark(self.fwd_index, market_data, self.end, \ vol_fields=['COMDV'+str(self.leg_diff)]) self.ivol = volmark['COMDV'+str(self.leg_diff)] if self.need_disc: self.df = disc_factor(self.value_date, self.end, market_data['IRCurve'][self.ccy.lower() + '_disc']) else: self.df = 1.0