def py_IMMNextDates(startDate, numOfDates, datePref, endDate, rule='CFFEX'):
'''Optional rule is one of 'CFFEX, 'CFFEXLT', 'INTERNATIONAL'
'''
errVec = Str_Vec()
dateResult = PkInt_Vec()
symResult = Str_Vec()
rc = pk_IMMNextDates(dateToPkDate(startDate), numOfDates, datePref, dateToPkDate(endDate), rule, dateResult, symResult, errVec)
_checkAndRaiseErr(errVec)
return tuple((pkDateToDate(i) for i in dateResult))
def py_CreateIRSwap(swapId, conventions, asofDate, **att):
errVec = Str_Vec()
result = Param_VecVec()
# att = {}
# for k in ('startDate', 'fwdStartTenor', 'endDate', 'endDateTenor', 'notional', 'fixedRate',
# 'floatSpread', 'discCurveId', 'fwdCurveId', 'firstStubDate', 'lastStubDate', 'addFixingDelayToStartDate'):
# att[k] = attributes.get(k, None)
conventions = dictToKeyValueVec(conventions)
rc = pk_CreateIRSwap(swapId, conventions, dateToPkDate(asofDate), dateToPkDate(att.get('endDate', None)),
att.get('endDateTenor', ''), att.get('notional'), att.get('fixedRate'), att.get('floatSpread', 0.0),
att.get('discCurveId', ''), att.get('fwdCurveId', ''), dateToPkDate(att.get('firstStubDate', None)), dateToPkDate(att.get('lastStubDate', None)),
att.get('addFixingDelayToStartDate', True), result, errVec, att.get('fwdStartTenor', ''), att.get('resetFrequency', ''))
_checkAndRaiseErr(errVec)
return _unpackVecVecResult(result)
def py_SwapLegNPV(swapId, forwardCurveId, discountCurveId, cfAfterDate=None, legNumber=PkMissingInt, cfAfterDateInclusive=False, forecastTodaysFixing=False, debugLevel=0):
errVec = Str_Vec()
result = Param_VecVec()
cfAfterDate = dateToPkDate(cfAfterDate) if cfAfterDate else PkMissingDate
rc = pk_SwapLegNPV(_listToPkVec(swapId), legNumber, forwardCurveId, discountCurveId, cfAfterDate, cfAfterDateInclusive, forecastTodaysFixing, debugLevel, result, errVec)
_checkAndRaiseErr(errVec)
return _unpackVecVecResult(result)
def py_SwapLegAnalysis(swapId, legNumber, afterDate, forwardCurveId, discountCurveId, afterDateInclusive=True, forecastTodaysFixing=True, useSqlFriendlyColHeaders=True, selectedColumns='All', toDate=None):
errVec = Str_Vec()
result = Param_VecVec()
if isinstance(selectedColumns, str):
selectedColumns = [selectedColumns]
selectedColumns = _listToPkVec(selectedColumns)
rc = pk_SwapLegAnalysis(swapId, legNumber, dateToPkDate(afterDate), forwardCurveId, discountCurveId, afterDateInclusive, forecastTodaysFixing, useSqlFriendlyColHeaders, selectedColumns, dateToPkDate(toDate), result, errVec)
_checkAndRaiseErr(errVec)
return _unpackVecVecResult(result)
def py_BuildSwapCurve(curveName, anchorDate, indexName, tenors, rates, extFwdCurve, extDiscCurve='', startTenors=[], useExtCurveAsBase=True, template=''):
'''returns forwardCurveId, discountCurveId, curveEngineId
'''
result = Param_VecVec()
errVec = Str_Vec()
rc = pk_BuildSwapCurve(curveName, dateToPkDate(anchorDate), indexName, _listToPkVec(startTenors), _listToPkVec(tenors), _listToPkVec(rates, Double_Vec),
extFwdCurve, extDiscCurve, result, errVec, useExtCurveAsBase, template)
_checkAndRaiseErr(errVec)
names = tuple(rc)
return names, _unpackVecVecResult(result)
def py_SwapInfo(objId, legNumber, asOfDate, resultFormat=''):
resultMap = Matrix_Map()
errVec = Str_Vec()
rc = pk_SwapInfo(_listToPkVec(objId), legNumber, dateToPkDate(asOfDate), resultFormat, resultMap, errVec)
_checkAndRaiseErr(errVec)
result = _unpackMatrix_Map(resultMap)
for k, v in result.iteritems():
if len(v[0]) == 2:
if v[0][0] == 'Key':
result[k] = dict(v[1:])
elif len(v) == 2:
result[k] = dict(zip(v[0], v[1]))
return result
def py_SwapContract(swapId, convention, anchorDate, settleDate, maturity, notional, fixedRate):
'''convention is one of CNY_REPO_7D CNY_SHIBOR_3M CNY_SHIBOR_ON CNY_DEPO_1Y
'''
errVec = Str_Vec()
result = Param_VecVec()
pk_SwapContract(swapId, convention, dateToPkDate(anchorDate), Param_t(settleDate), Param_t(maturity), notional, fixedRate, result, errVec)
_checkAndRaiseErr(errVec)
created = result[0]
if created:
created = created[0]
if created.isString():
created = created.asString()
return created
def py_IMMSymbolToDate(immCodes, refDate, rule='CFFEX'):
'''Optional rule is one of 'CFFEX, 'CFFEXLT', 'INTERNATIONAL'
'''
errVec = Str_Vec()
result = Param_Vec()
if isinstance(immCodes, str):
immCodes = [immCodes]
immCodes = _listToPkVec(immCodes)
if isinstance(refDate, datetime.date):
refDate = [dateToPkDate(refDate)]
if len(refDate) < immCodes.size():
refDate += [refDate[-1]] * (immCodes.size() - len(refDate))
refDate = _listToPkVec(refDate)
pk_IMMSymbolToDate(immCodes, refDate, rule, result, errVec)
_checkAndRaiseErr(errVec)
result = _unpackVecResult(result)
return tuple((pkDateToDate(i) for i in result))
def py_BuildCfetsCurve(curveName, anchorDate, indexName, tenors, rates, method, discCurveName=''):
errVec = Str_Vec()
result = Param_VecVec()
rc = pk_BuildCfetsCurve(curveName, dateToPkDate(anchorDate), indexName, Str_Vec(tenors), Double_Vec(rates), method, discCurveName, result, errVec)
_checkAndRaiseErr(errVec)
return rc
def py_FixedRateBond(objId, description, bondType, faceAmount, coupons, scheduleID, issueDate, paymentCalendar, currency='CNY', settlementDays=1, dayCounter='', paymentBDC='', redemption=PkMissingDouble, compounding=PkMissingString, exerDate=PkMissingDate):
errVec = Str_Vec()
type = ['IB', 'SSE', 'Custom'].index(bondType) + 1
rc = pk_FixedRateBond(objId, description, currency, settlementDays, _listToPkVec(faceAmount, vecType=float), scheduleID, _listToPkVec(coupons, vecType=float), dayCounter, paymentBDC, redemption, dateToPkDate(issueDate), paymentCalendar, compounding, type, errVec, exerDate)
_checkAndRaiseErr(errVec)
return rc
def py_Schedule(scheduleId, startDate, endDate, tenor, calendar, bdc=PkMissingString, endDateBDC=PkMissingString, genRule=PkMissingString, endOfMonth=False, firstDate=PkMissingDate, nextToLastDate=PkMissingDate):
errVec = Str_Vec()
rc = pk_Schedule(scheduleId, dateToPkDate(startDate), dateToPkDate(endDate), tenor, calendar, bdc, endDateBDC, genRule, endOfMonth, firstDate, nextToLastDate, errVec)
_checkAndRaiseErr(errVec)
return rc
def py_BondFlowAnalysis(bondId, afterDate):
errVec = Str_Vec()
result = Param_VecVec()
rc = pk_BondFlowAnalysis(bondId, dateToPkDate(afterDate), result, errVec)
_checkAndRaiseErr(errVec)
return _unpackVecVecResult(result)
def _py_CalendarHolidayList(calendar, fromDate, toDate, type):
errVec = Str_Vec()
result = PkInt_Vec()
rc = pk_CalendarHolidayList(calendar, dateToPkDate(fromDate), dateToPkDate(toDate), type, result, errVec)
_checkAndRaiseErr(errVec)
return tuple(pkDateToDate(d) for d in result)
def py_RollCurve(curveId, newCurveId, newCurveDate):
errVec = Str_Vec()
rc = pk_RollCurve(curveId, newCurveId, dateToPkDate(newCurveDate), errVec)
_checkAndRaiseErr(errVec)
return rc
