def _scenario(self) -> Optional[MarketDataScenario]:
scenarios = Scenario.path
if not scenarios:
return None
return MarketDataScenario(scenario=scenarios[0] if len(scenarios) == 1 else
CompositeScenario(scenarios=tuple(reversed(scenarios))))
def calc(self, priceable: Priceable,
risk_measure: RiskMeasure) -> PricingFuture:
futures = []
provider = priceable.provider
base_scenario = self._scenario
parameters = self._parameters
location = self.market.location
base_market = self.market
for date in self.__date_range:
if date > self.pricing_date:
scenario = MarketDataScenario(
CarryScenario(
int(
business_day_count(dt.datetime.today().date(),
date)), self._roll_to_fwds))
risk_key = RiskKey(provider, date, base_market, parameters,
scenario, risk_measure)
futures.append(self._calc(priceable, risk_key))
else:
market = CloseMarket(location=location,
date=close_market_date(location, date))
risk_key = RiskKey(provider, date, market, parameters,
base_scenario, risk_measure)
futures.append(self._calc(priceable, risk_key))
return HistoricalPricingFuture(futures)
def calc(self, instrument: InstrumentBase, risk_measure: RiskMeasure) -> PricingFuture:
futures = []
provider = instrument.provider
base_scenario = self._scenario
parameters = self._parameters
location = self.market.location
base_market = self.market
for date in self.__date_range:
if date > self.pricing_date:
scenario = MarketDataScenario(CarryScenario(date=date, roll_to_fwds=self._roll_to_fwds))
risk_key = RiskKey(provider, date, base_market, parameters, scenario, risk_measure)
futures.append(self._calc(instrument, risk_key))
else:
market = CloseMarket(location=location, date=close_market_date(location, date))
risk_key = RiskKey(provider, date, market, parameters, base_scenario, risk_measure)
futures.append(self._calc(instrument, risk_key))
return HistoricalPricingFuture(futures)
def __scenario(self) -> MarketDataScenario:
return MarketDataScenario(scenario=Scenario.current) if Scenario.current_is_set else None
