def loadAndSaveMarketData(self, pricingDate, marketId):
''' assumes that 'EOD' marketId exists '''
eodCurve = InterestRateCurve()
eodCurve.ccy = self.tCBond.ccy
eodCurve.index = Enum.Index('LIBOR')
eodCurve.term = 'M'
eodCurve.numTerms = 3
eodCurve.pricingDate = pricingDate
eodCurve.marketId = 'EOD'
eodCurve.load()
irCurve = InterestRateCurve()
irCurve.ccy = self.tCBond.ccy
irCurve.index = Enum.Index('LIBOR')
irCurve.term = 'M'
irCurve.numTerms = 3
irCurve.pricingDate = pricingDate
irCurve.marketId = marketId
eodRates = eodCurve.getRates()
for rate in eodRates:
irCurve.addRate(rate)
irCurve.save()
eodBondOAS = BondOAS.objects.get(tCBond=self.tCBond, pricingDate=pricingDate,
marketId='EOD')
bondOAS = BondOAS(tCBond=self.tCBond, pricingDate=pricingDate,
marketId=marketId,mid=eodBondOAS.mid)
bondOAS.save()
def createAndSaveCurve(self, pricingDate, marketId, r1m, r3m, r6m, r1y, r2y, r3y, r4y, r5y, r7y, r10y, r30y):
'''
creates specific Libor curve and saves it with
'''
curve = InterestRateCurve(ccy='USD', index=Enum.Index('LIBOR'),
term=Enum.TimePeriod('M'), numTerms=3,
pricingDate=pricingDate, marketId=marketId)
m1 = InterestRate(type='Deposit', term=Enum.TimePeriod('M'), numTerms=1, mid=float(r1m)/100.0, curve=curve)
m3 = InterestRate(type='Deposit', term=Enum.TimePeriod('M'), numTerms=3, mid=float(r3m)/100.0, curve=curve)
m6 = InterestRate(type='Deposit', term=Enum.TimePeriod('M'), numTerms=6, mid=float(r6m)/100.0, curve=curve)
y1 = InterestRate(type='Swap', term=Enum.TimePeriod('Y'), numTerms=1, mid=float(r1y)/100.0, curve=curve)
y2 = InterestRate(type='Swap', term=Enum.TimePeriod('Y'), numTerms=2, mid=float(r2y)/100.0, curve=curve)
y3 = InterestRate(type='Swap', term=Enum.TimePeriod('Y'), numTerms=3, mid=float(r3y)/100.0, curve=curve)
y4 = InterestRate(type='Swap', term=Enum.TimePeriod('Y'), numTerms=4, mid=float(r4y)/100.0, curve=curve)
y5 = InterestRate(type='Swap', term=Enum.TimePeriod('Y'), numTerms=5, mid=float(r5y)/100.0, curve=curve)
y7 = InterestRate(type='Swap', term=Enum.TimePeriod('Y'), numTerms=7, mid=float(r7y)/100.0, curve=curve)
y10 = InterestRate(type='Swap', term=Enum.TimePeriod('Y'), numTerms=10, mid=float(r10y)/100.0, curve=curve)
y30 = InterestRate(type='Swap', term=Enum.TimePeriod('Y'), numTerms=30, mid=float(r30y)/100.0, curve=curve)
curve.addRate(m1)
curve.addRate(m3)
curve.addRate(m6)
curve.addRate(y1)
curve.addRate(y2)
curve.addRate(y3)
curve.addRate(y4)
curve.addRate(y5)
curve.addRate(y7)
curve.addRate(y10)
curve.addRate(y30)
# curve.printCurve()
curve.save()
def loadIRCurves():
timePeriods = VARUtilities.VARTimePeriodsAndSteps()
timePeriods.generate(LoadStartDate, LoadEndDate, 1,
Enum.TimePeriod('D').ql(), Calendar.Target())
for time in timePeriods.timeSteps:
print time
curve = InterestRateCurve()
curve.loadDefault(time)
curve.save()
def testSaveCurve(self):
curve = InterestRateCurve(ccy='USD', index=Index('LIBOR'), term='M',
numTerms=3, pricingDate=self.pricingDate, marketId='TMP')
rate = InterestRate(term='M', numTerms=1, type='Deposit', mid=0.01,
curve=curve)
rate1 = InterestRate(term='M', numTerms=3, type='Deposit', mid=0.01,
curve=curve)
curve.addRate(rate)
curve.addRate(rate1)
curve.save()
def testSave2Curves(self):
date = Date(month=9,day=13,year=2011)
curve = InterestRateCurve(ccy='USD', index=Index('LIBOR'), term='M',
numTerms=3, pricingDate=date, marketId='TMP')
rate = InterestRate(term='M', numTerms=1, type='Deposit', mid=0.01, curve=curve)
curve.addRate(rate)
curve.save()
date1 = Date(month=9,day=14,year=2011)
curve1 = InterestRateCurve(ccy='USD', index=Index('LIBOR'), term='M',
numTerms=3, pricingDate=date1, marketId='TMP')
rate1 = InterestRate(term='M', numTerms=1, type='Deposit', mid=0.01)
curve1.addRate(rate1)
curve1.save()
def copyRates(self, fromDate, toDate, fromMarketId, toMarketId):
curves = InterestRateCurve.objects.filter(pricingDate = fromDate, marketId = fromMarketId)
for curve in curves:
curve.loadRates()
newCurve = InterestRateCurve(ccy=curve.ccy, index=curve.index,
term=curve.term, numTerms=curve.numTerms,
pricingDate=toDate, marketId=toMarketId)
for rate in curve.getRates():
newRate = InterestRate(type=rate.type, term=rate.term, numTerms=rate.numTerms, mid=rate.mid, curve=newCurve)
newCurve.addRate(newRate)
newCurve.save()
def loadDummyIRCurve(self, pricingDate):
curve = InterestRateCurve()
curve.ccy = 'USD'
curve.index = Enum.Index('LIBOR')
curve.term = 'M'
curve.numTerms = 3
curve.pricingDate = pricingDate
curve.marketId = 'TEST1'
r1 = InterestRate()
r1.type = 'Deposit'
r1.term = 'M'
r1.numTerms = 1
r1.mid = 0.01
r1.curve = curve
r2 = InterestRate()
r2.type = 'Deposit'
r2.term = 'M'
r2.numTerms = 3
r2.mid = 0.01
r2.curve = curve
r3 = InterestRate()
r3.type = 'Swap'
r3.term = 'Y'
r3.numTerms = 1
r3.mid = 0.01
r3.curve = curve
r4 = InterestRate()
r4.type = 'Swap'
r4.term = 'Y'
r4.numTerms = 5
r4.mid = 0.01
r4.curve = curve
r5 = InterestRate()
r5.type = 'Swap'
r5.term = 'Y'
r5.numTerms = 10
r5.mid = 0.01
r5.curve = curve
r6 = InterestRate()
r6.type = 'Swap'
r6.term = 'Y'
r6.numTerms = 30
r6.mid = 0.01
r6.curve = curve
curve.addRate(r1)
curve.addRate(r2)
curve.addRate(r3)
curve.addRate(r4)
curve.addRate(r5)
curve.addRate(r6)
curve.save()
def loadInterestRateFromCSVFile(self, fileName):
'''
Downloads prices from fileName. fileName needs to include full path
'''
file = open(fileName,'r')
lastDate = Date.Date(month=1,day=1,year=1972)
for line in file:
items = line.split(',')
#skip first line which is headers
if items[0] == 'date':
continue
#create new curve if date has changed
curveDate = self.createDateFromString(items[0])
if curveDate <> lastDate:
newCurve = InterestRateCurve()
newCurve.pricingDate = curveDate
newCurve.ccy = items[1]
newCurve.index = items[2]
newCurve.marketId = items[3]
newCurve.term = items[4]
newCurve.numTerms = int(items[5])
newCurve.save()
newCurve.load()
#Delete all rates in case the curve already existed
rates = InterestRate.objects.filter(curve=newCurve)
if rates:
rates.delete()
curve = InterestRateCurve()
curve.pricingDate = curveDate
curve.ccy = items[1]
curve.index = items[2]
curve.marketId = items[3]
curve.term = items[4]
curve.numTerms = int(items[5])
curve.load()
rate = InterestRate()
rate.curve = curve
rate.type = items[6]
rate.term = items[7]
rate.numTerms = int(items[8])
rate.mid = float(items[9])
rate.save()
lastDate = curveDate
def testUpdateRate(self):
'''
Tests the update of a rate value and save it to DB
'''
curve = InterestRateCurve(ccy='USD', index=Index('LIBOR'), term='M',
numTerms=3, pricingDate=self.pricingDate, marketId='TMP')
curve.addRate(InterestRate(term='M', numTerms=1, type='Deposit',
mid=0.01, curve=curve))
curve.addRate(InterestRate(term='M', numTerms=3, type='Deposit',
mid=0.01, curve=curve))
curve.save()
curve = InterestRateCurve(ccy='USD', index=Index('LIBOR'), term='M',
numTerms=3, pricingDate=self.pricingDate, marketId='TMP')
curve.load()
self.failIf(curve.rates[1].mid <> 0.01, "Rate incorrect")
self.failIf(len(curve.rates) <> 2, "Number of rates incorrect")
curve.rates[1].mid = 0.02
curve.save()
curveAfterUpdate = InterestRateCurve(ccy='USD', index=Index('LIBOR'), term='M',
numTerms=3, pricingDate=self.pricingDate, marketId='TMP')
curveAfterUpdate.load()
self.failIf(curveAfterUpdate.rates[1].mid <> 0.02, "Updated rate incorrect")
self.failIf(len(curveAfterUpdate.rates) <> 2, "Number of updated rates incorrect")
curveAfterUpdate.rates[1].mid = 0.01
curveAfterUpdate.save()
curve = InterestRateCurve(ccy='USD', index=Index('LIBOR'), term='M',
numTerms=3, pricingDate=self.pricingDate, marketId='TMP')
curve.load()
self.failIf(curve.rates[1].mid <> 0.01, "Rate incorrect")
self.failIf(len(curve.rates) <> 2, "Number of rates incorrect")
def loadAndSaveMarketData(self, pricingDate, marketId):
''' assumes that 'EOD' marketId exists
algorithm is to load the EOD curve and save it with marketId
'''
eodCurve = InterestRateCurve()
eodCurve.ccy = self._tcSwap.ccy
eodCurve.index = Index('LIBOR')
eodCurve.term = 'M'
eodCurve.numTerms = 3
eodCurve.pricingDate = pricingDate
eodCurve.marketId = 'EOD'
eodCurve.load()
irCurve = InterestRateCurve()
irCurve.ccy = self._tcSwap.ccy
irCurve.index = Index('LIBOR')
irCurve.term = 'M'
irCurve.numTerms = 3
irCurve.pricingDate = pricingDate
irCurve.marketId = marketId
eodRates = eodCurve.getRates()
for rate in eodRates:
irCurve.addRate(rate)
irCurve.save()
def dataForSuccessfulTest(self):
'''
This saves all data so that system tests run successfully
Pricing date is 9/12/2011 with market data id TEST1
'''
testDatePython = date(month=9,day=12,year=2011)
testDate = Date(month=9,day=12,year=2011)
testFirstDate = Date(month=8,day=30,year=2011)
if not Location.objects.filter(name='Test1').exists():
location = Location()
location.name = 'Test1'
location.pricingDate = date(month=9,day=12,year=2011)
location.save()
location = Location.objects.get(name='Test1')
if not User.objects.filter(username='******').exists():
user = User.objects.create_user(username='******',email='*****@*****.**',\
password='******')
user.is_staff = True
user.is_superuser = True
user.save()
if not User.objects.filter(username='******').exists():
User.objects.create_user(username='******',email='*****@*****.**',\
password='******')
if not User.objects.filter(username='******').exists():
User.objects.create_user(username='******',email='*****@*****.**',\
password='******')
if not User.objects.filter(username='******').exists():
User.objects.create_user(username='******',email='*****@*****.**',\
password='******')
user1 = User.objects.get(username='******')
if not UserProfile.objects.filter(user=user1).exists():
up1 = UserProfile()
up1.user = user1
up1.location = location
up1.marketId = 'EOD'
up1.save()
user2 = User.objects.get(username='******')
if not UserProfile.objects.filter(user=user2).exists():
up2 = UserProfile()
up2.user = user2
up2.location = location
up2.marketId = 'EOD'
up2.save()
user3 = User.objects.get(username='******')
if not UserProfile.objects.filter(user=user3).exists():
up3 = UserProfile()
up3.user = user3
up3.location = location
up3.marketId = 'TEST1'
up3.save()
user4 = User.objects.get(username='******')
if not UserProfile.objects.filter(user=user4).exists():
up4 = UserProfile()
up4.user = user4
up4.location = location
up4.marketId = 'DEMO'
up4.save()
if not TCBond.objects.filter(name='TEST1').exists():
bond = TCBond()
bond.name = 'TEST1'
bond.ccy = 'USD'
cusip = Enum.BondIdentifierType('CUSIP')
if not Identifier.objects.filter(name='123456789', type=cusip):
identifier = Identifier()
identifier.name='123456789'
identifier.type=cusip
identifier.save()
identifier = Identifier.objects.get(name='123456789', type=cusip)
bond.identifiers = identifier
bond.startDate = Date(month=9,day=12,year=2010).toPythonDate()
bond.endDate = Date(month=9,day=12,year=2020).toPythonDate()
bond.coupon = 0.01
bond.basis = '30360'
bond.paymentFrequency = Enum.Frequency('S')
bond.paymentRollRule = Enum.Roll('MF')
bond.paymentCalendar = Calendar.createCalendar('US')
bond.assetType = Enum.AssetType('NYMUNIBOND')
bond.save()
if not Equity.objects.filter(ticker='TEST1').exists():
equity = Equity()
equity.ticker = 'TEST1'
equity.assetType = Enum.AssetType('EQUITYUS')
equity.save()
equity = Equity.objects.get(ticker='TEST1')
stockPrice = StockPrice()
stockPrice.equity = equity
stockPrice.pricingDate = testDate
stockPrice.marketId = 'TEST1'
stockPrice.mid = 123.45
stockPrice.save()
equity = Equity.objects.get(ticker='TEST1')
stockPrice = StockPrice()
stockPrice.equity = equity
stockPrice.pricingDate = testFirstDate
stockPrice.marketId = 'TEST1'
stockPrice.mid = 123.44
stockPrice.save()
if not Equity.objects.filter(ticker='TEST2').exists():
equity = Equity()
equity.ticker = 'TEST2'
equity.assetType = Enum.AssetType('EQUITYUS')
equity.save()
equity = Equity.objects.get(ticker='TEST2')
stockPrice = StockPrice()
stockPrice.equity = equity
stockPrice.pricingDate = testDate
stockPrice.marketId = 'TEST1'
stockPrice.mid = 543.21
stockPrice.save()
equity = Equity.objects.get(ticker='TEST2')
stockPrice = StockPrice()
stockPrice.equity = equity
stockPrice.pricingDate = testFirstDate
stockPrice.marketId = 'TEST1'
stockPrice.mid = 543.11
stockPrice.save()
if not Portfolio.objects.filter(name='TEST1', user='******').exists():
portfolio =Portfolio()
portfolio.name = 'TEST1'
portfolio.user = '******'
portfolio.save()
portfolio =Portfolio.objects.get(name='TEST1', user='******')
if not ModelPosition.objects.filter(asOf=testDate, portfolio=portfolio,
positionType = Enum.PositionType('EQUITY'),
ticker = 'TEST1', amount = 100.0).exists():
position = ModelPosition()
position.asOf=testDate
position.portfolio = portfolio
position.positionType = Enum.PositionType('EQUITY')
position.ticker = 'TEST1'
position.amount = 100.0
position.save()
if not ModelPosition.objects.filter(asOf=testDate, portfolio=portfolio,
positionType = Enum.PositionType('EQUITY'),
ticker = 'TEST2', amount = 100.0).exists():
position = ModelPosition()
position.asOf=testDate
position.portfolio = portfolio
position.positionType = Enum.PositionType('EQUITY')
position.ticker = 'TEST2'
position.amount = 100.0
position.save()
if not ModelPosition.objects.filter(asOf=testDate, portfolio=portfolio,
positionType = Enum.PositionType('BOND'),
ticker = 'TEST1', amount = 100.0).exists():
position = ModelPosition()
position.asOf=testDate
position.portfolio = portfolio
position.positionType = Enum.PositionType('BOND')
position.ticker = 'TEST1'
position.amount = 100.0
position.save()
if not ModelPosition.objects.filter(asOf=testFirstDate, portfolio=portfolio,
positionType = Enum.PositionType('EQUITY'),
ticker = 'TEST1', amount = 100.0).exists():
position = ModelPosition()
position.asOf=testFirstDate
position.portfolio = portfolio
position.positionType = Enum.PositionType('EQUITY')
position.ticker = 'TEST1'
position.amount = 100.0
position.save()
if not ModelPosition.objects.filter(asOf=testFirstDate, portfolio=portfolio,
positionType = Enum.PositionType('EQUITY'),
ticker = 'TEST2', amount = 100.0).exists():
position = ModelPosition()
position.asOf=testFirstDate
position.portfolio = portfolio
position.positionType = Enum.PositionType('EQUITY')
position.ticker = 'TEST2'
position.amount = 100.0
position.save()
if not ModelPosition.objects.filter(asOf=testFirstDate, portfolio=portfolio,
positionType = Enum.PositionType('BOND'),
ticker = 'TEST1', amount = 100.0).exists():
position = ModelPosition()
position.asOf=testFirstDate
position.portfolio = portfolio
position.positionType = Enum.PositionType('BOND')
position.ticker = 'TEST1'
position.amount = 100.0
position.save()
if not ModelPosition.objects.filter(asOf=testFirstDate, portfolio=portfolio,
positionType = Enum.PositionType('CASH'),
ticker = 'Cash', amount = 1000.0).exists():
position = ModelPosition()
position.asOf=testFirstDate
position.portfolio = portfolio
position.positionType = Enum.PositionType('CASH')
position.ticker = 'Cash'
position.amount = 1000.0
position.save()
curve = InterestRateCurve()
curve.ccy = 'USD'
curve.index = Enum.Index('LIBOR')
curve.term = Enum.TimePeriod('M')
curve.numTerms = 3
curve.pricingDate =testDate
curve.marketId = 'TEST1'
curve.addRate(InterestRate(type='Deposit', term=Enum.TimePeriod('M'),
numTerms=1,mid=0.01,curve=curve))
curve.addRate(InterestRate(type='Deposit', term=Enum.TimePeriod('M'),
numTerms=3,mid=0.01,curve=curve))
curve.addRate(InterestRate(type='Swap', term=Enum.TimePeriod('Y'),
numTerms=1,mid=0.01,curve=curve))
curve.addRate(InterestRate(type='Swap', term=Enum.TimePeriod('Y'),
numTerms=5,mid=0.01,curve=curve))
curve.addRate(InterestRate(type='Swap', term=Enum.TimePeriod('Y'),
numTerms=10,mid=0.01,curve=curve))
curve.addRate(InterestRate(type='Swap', term=Enum.TimePeriod('Y'),
numTerms=30,mid=0.01,curve=curve))
curve.save()
curve = InterestRateCurve()
curve.ccy = 'USD'
curve.index = Enum.Index('LIBOR')
curve.term = Enum.TimePeriod('M')
curve.numTerms = 3
curve.pricingDate = testFirstDate
curve.marketId = 'TEST1'
curve.addRate(InterestRate(type='Deposit', term=Enum.TimePeriod('M'),
numTerms=1,mid=0.01,curve=curve))
curve.addRate(InterestRate(type='Deposit', term=Enum.TimePeriod('M'),
numTerms=3,mid=0.01,curve=curve))
curve.addRate(InterestRate(type='Swap', term=Enum.TimePeriod('Y'),
numTerms=1,mid=0.01,curve=curve))
curve.addRate(InterestRate(type='Swap', term=Enum.TimePeriod('Y'),
numTerms=5,mid=0.01,curve=curve))
curve.addRate(InterestRate(type='Swap', term=Enum.TimePeriod('Y'),
numTerms=10,mid=0.01,curve=curve))
curve.addRate(InterestRate(type='Swap', term=Enum.TimePeriod('Y'),
numTerms=30,mid=0.01,curve=curve))
curve.save()
if not SwaptionVolatilitySurface.objects.filter(ccy=Enum.Currency('USD'), index=Enum.Index('LIBOR'), term=Enum.TimePeriod('M'), numTerms=3,
pricingDate=testDate, marketId='TEST1'):
#Special case where I just append the vols. Should use a function
vols = SwaptionVolatilitySurface(ccy=Enum.Currency('USD'), index=Enum.Index('LIBOR'), term=Enum.TimePeriod('M'), numTerms=3,
pricingDate=testDate, marketId='TEST1')
volPoints = []
volPoints.append(SwaptionVolatility(expiryTerm=Enum.TimePeriod('Y'), expiryNumTerms=1, underlyingTerm=Enum.TimePeriod('Y'),
underlyingNumTerms=3, mid=0.40, surface=vols))
volPoints.append(SwaptionVolatility(expiryTerm=Enum.TimePeriod('Y'), expiryNumTerms=3, underlyingTerm=Enum.TimePeriod('Y'),
underlyingNumTerms=3, mid=0.45, surface=vols))
volPoints.append(SwaptionVolatility(expiryTerm=Enum.TimePeriod('Y'), expiryNumTerms=1, underlyingTerm=Enum.TimePeriod('Y'),
underlyingNumTerms=5, mid=0.5, surface=vols))
volPoints.append(SwaptionVolatility(expiryTerm=Enum.TimePeriod('Y'), expiryNumTerms=3, underlyingTerm=Enum.TimePeriod('Y'),
underlyingNumTerms=5, mid=0.55, surface=vols))
vols.addVolatilities(volPoints)
vols.save()
if not BondOAS.objects.filter(tCBond=TCBond.objects.get(name='TEST1'),pricingDate=testDate,
marketId='TEST1'):
bondOAS = BondOAS(tCBond=TCBond.objects.get(name='TEST1'),pricingDate=testDate,
marketId='TEST1',mid=0.0012)
bondOAS.save()
#done for only one test BondPositionTest.testLoadAndSaveMarketData
if not BondOAS.objects.filter(tCBond=TCBond.objects.get(name='TEST1'),pricingDate=Date(month=1,day=1,year=2009),
marketId='EOD'):
bondOAS = BondOAS(tCBond=TCBond.objects.get(name='TEST1'),pricingDate=Date(month=1,day=1,year=2009),
marketId='EOD',mid=0.01)
bondOAS.save()
#now load zero oas for all dates we do testing
timePeriods = VARUtilities.VARTimePeriodsAndSteps()
timePeriods.generate(start = Date(month=8,day=30,year=2011), end = Date(month=9,day=12,year=2011),
num = 1, term = Enum.TimePeriod('D'), calendar = Calendar.US())
for timeStep in timePeriods.timeSteps:
if not BondOAS.objects.filter(tCBond=TCBond.objects.get(name='TEST1'), pricingDate=timeStep, marketId='TEST1'):
bondOAS = BondOAS(tCBond=TCBond.objects.get(name='TEST1'), pricingDate=timeStep, marketId='TEST1',mid=0.0)
bondOAS.save()
fileLoader = MarketDataLoader.EquityPriceLoader()
fileLoader.loadStockPriceFromCSVFile(ROOT_PATH+'/misc/data/StockPricesForHVaRTests.csv')
fileLoader.loadInterestRateFromCSVFile(ROOT_PATH+'/misc/data/InterestRatesForHVaRTests.csv')
if not HvarConfiguration.objects.filter(name='TEST1').exists():
config = HvarConfiguration()
config.name = 'TEST1'
config.startDate = Date(month=8,day=30,year=2011).toPythonDate()
config.endDate = Date(month=9,day=12,year=2011).toPythonDate()
config.stepSize = 1
config.stepUnit = Enum.TimePeriod('D')
config.calendar = Calendar.US()
config.confLevel = 0.95
config.marketId = 'TEST1'
config.save()
def run(self):
#Log
if os.path.isfile(self.logFile):
os.remove(self.logFile)
logFileHandle = open(self.logFile,'w')
logFileHandle.write('Running batch as of %s\n' % self.batchDate)
logFileHandle.write('Max batch is %s\n' % self.maxBatchDate)
# if QuantLib.TARGET().isBusinessDay(self.batchDate.ql()) == False:
# logFileHandle.write('Not a good business date based on QuantLib TARGET calendar. Exiting ...')
# print('Not a good business date based on QuantLib TARGET calendar. Exiting ...')
#Update locations with date
logFileHandle.write('\nUpdating all locations except TEST1 with new date\n')
locations = Location.objects.filter(~Q(name='TEST1'))
for location in locations:
logFileHandle.write('Updating location %s\n' % location.name)
location.pricingDate = self.batchDate.toPythonDate()
location.save()
#Load Equity prices
logFileHandle.write('\nLoading equity prices\n')
equities = Equity.objects.all()
equityLoader = EquityPriceLoader()
for equity in equities:
#skip TEST1 and TEST2 as they are only used for testing
if equity.ticker in ['TEST1', 'TEST2']:
continue
if StockPrice.objects.filter(equity=equity, pricingDate=self.batchDate, marketId=self.marketId).exists() == True:
logFileHandle.write('%s price exists\n' % equity.ticker)
continue
else:
logFileHandle.write('Loading prices for equity %s\n' % equity.ticker)
try:
equityLoader.loadCurrentPriceFromYahoo(secId=equity.ticker,
today=self.batchDate,
marketId=self.marketId)
except MarketDataMissing:
logFileHandle.write('No market data loaded for %s as of %s\n' % (equity.ticker, self.batchDate))
logFileHandle.write('As default loading price from last batch date\n')
lastPrice = StockPrice.objects.get(equity=equity, pricingDate=self.maxBatchDate, marketId=self.marketId)
lastPrice.pricingDate = self.batchDate
lastPrice.pk = None
lastPrice.save()
#Load Interest Rates
logFileHandle.write('\nLoading Interest Rates\n')
if self.maxBatchDate != self.batchDate:
logFileHandle.write('For now just copy rates from max batch date to current batch date\n')
curve = InterestRateCurve.objects.get(ccy=Currency('USD'), index=Index('LIBOR'),
term=TimePeriod('M'), numTerms=3,
pricingDate=self.maxBatchDate,
marketId='EOD')
curve.loadRates()
newCurve = InterestRateCurve(ccy=Currency('USD'), index=Index('LIBOR'),
term=TimePeriod('M'), numTerms=3,
pricingDate=self.batchDate,
marketId='EOD')
for rate in curve.getRates():
newRate = InterestRate(type=rate.type, term=rate.term, numTerms=rate.numTerms, mid=rate.mid, curve=newCurve)
logFileHandle.write('Rate: %s/%d/%0.2f\n' % (rate.term, rate.numTerms, rate.mid*100))
newCurve.addRate(newRate)
newCurve.save()
#Copy OAS forward and keep constant
logFileHandle.write('\nCopying OAS from max batch date to batch date\n')
if self.maxBatchDate != self.batchDate:
bondOAS = BondOAS.objects.get(tCBond=TCBond.objects.get(name='PortAuth_4.00_JAN42'),
marketId='EOD', pricingDate=self.maxBatchDate)
bondOAS.pk = None
bondOAS.pricingDate = self.batchDate
bondOAS.save()
#Process Positions
logFileHandle.write('\nProcessing positions\n')
#load all positions with the max date
#if the batchDate greater than maxbatchdate then copy position to batchdate (roll position forward)
if self.maxBatchDate < self.batchDate:
positions = ModelPosition.objects.filter(asOf=self.maxBatchDate)
for position in positions:
logFileHandle.write('Copying position %s from max batch date to batch date\n' % position)
position.pk = None
position.asOf = self.batchDate
position.save()
#Update Positions based on Transactions
logFileHandle.write('\nUpdating of positions based on transaction\n')
transactions = Transaction.objects.filter(reflectedInPosition=False)
if len(transactions) == 0:
logFileHandle.write('No transactions to process\n')
else:
for transaction in transactions:
logFileHandle.write('Processing transaction %s\n' % str(transaction))
positions = transaction.relatedPositions()
for position in positions:
logFileHandle.write('Processing position %s\n' % str(transaction))
transaction.updatePositionAmount(position=position)
position.save()
transaction.reflectedInPosition = 'True'
transaction.save()
#Performance
logFileHandle.write('\nRunning Performance Report\n')
if os.path.isfile(self.perfFile):
os.remove(self.perfFile)
perfFileHandle = open(self.perfFile,'w')
portfolios = Portfolio.objects.filter(user='******')
startValue = 0
endValue = 0
for portfolio in portfolios:
performanceCalculator = PerformanceCalculator(start=self.productionStartDate,
end=self.batchDate,
portfolio=portfolio,
marketId=self.marketId)
perfFileHandle.write(performanceCalculator.report()+'\n')
startValue += performanceCalculator.startValue
endValue += performanceCalculator.endValue
endValue += performanceCalculator.transactionValue
if startValue == 0 or (self.batchDate.ql() - self.productionStartDate.ql()) == 0:
overallPerformance = 0
else:
overallPerformance = ((endValue - startValue) / startValue) * 365.0 / (self.batchDate.ql() - self.productionStartDate.ql())
perfFileHandle.write('Overall Period Performance = %.2f%%\n' % (overallPerformance*100.0/365.0*(self.batchDate.ql() - self.productionStartDate.ql())))
perfFileHandle.write('Overall Annual Performance = %.2f%%' % (overallPerformance*100.0))
perfFileHandle.close()
#MTM and Positions
logFileHandle.write('\nRunning MTM and Positions Report\n')
totalValue = 0
if os.path.isfile(self.mtmFile):
os.remove(self.mtmFile)
mtmFileHandle = open(self.mtmFile,'w')
portfolios =Portfolio.objects.filter(user='******')
mtmFileHandle.write('MTM Report as of %s\n' % self.batchDate)
for portfolio in portfolios:
mtmFileHandle.write('Portfolio=%s\n' % portfolio.name)
modelPositions = ModelPosition.objects.filter(portfolio=portfolio, asOf=self.batchDate)
for modelPosition in modelPositions:
position = CreatePosition(modelPosition=modelPosition)
portfolio.addPosition(position)
marketDataContainer = MarketDataContainer()
for position in portfolio.positions:
marketDataContainer.add(position.marketData(pricingDate=self.batchDate, marketId=self.marketId))
for position in portfolio.positions:
position.marketDataContainer = marketDataContainer
for position in portfolio.positions:
positionValue = position.NPV(pricingDate=self.batchDate,marketId=self.marketId)
mtmFileHandle.write('ModelPosition=%s with %.0f shares, asset type %s and value $%s\n' % (position.secId,
position.amount,
position.getAssetType(),
fToDC(positionValue)))
portfolioValue = portfolio.NPV(pricingDate=self.batchDate,marketId=self.marketId)
mtmFileHandle.write('Portfolio value=$%s\n\n' % fToDC(portfolioValue))
totalValue += portfolioValue
mtmFileHandle.write('Total value=%s\n\n' % fToDC(totalValue))
#Asset Allocation
#allocations is associative array with value
allocations = {}
totalValue = 0
for item in AssetType.choices:
allocations[item[0]] = 0
logFileHandle.write('\nRunning Allocation Report\n\n')
if os.path.isfile(self.allocationFile):
os.remove(self.allocationFile)
allocationFileHandle = open(self.allocationFile,'w')
portfolios =Portfolio.objects.filter(user='******')
allocationFileHandle.write('Allocation Report as of %s\n\n' % self.batchDate)
for portfolio in portfolios:
if portfolio.name == 'TradeAug2013':
continue
modelPositions = ModelPosition.objects.filter(portfolio=portfolio, asOf=self.batchDate)
for modelPosition in modelPositions:
position = CreatePosition(modelPosition)
portfolio.addPosition(position)
marketDataContainer = MarketDataContainer()
for position in portfolio.positions:
marketDataContainer.add(position.marketData(pricingDate=self.batchDate, marketId=self.marketId))
for position in portfolio.positions:
position.marketDataContainer = marketDataContainer
for position in portfolio.positions:
npv = position.NPV(pricingDate=self.batchDate, marketId=self.marketId)
allocations[str(position.getAssetType())] += npv
totalValue += npv
orderedAllocations = OrderedDict(sorted(allocations.items(),key=lambda t: t[1],reverse=True))
for key in orderedAllocations.keys():
try:
allocationPercent = Allocation.objects.get(assetType=AssetType(key)).percent
except:
allocationPercent = 0.0
try:
actualAllocation = 100*orderedAllocations[key]/totalValue
except:
actualAllocation = 0.0
allocationFileHandle.write('%s=%.0f%%\t\t\t\t\t\twith target %.0f%%\t and value $%s\n' % (key,
actualAllocation,
100*allocationPercent,
fToD(orderedAllocations[key])))
logFileHandle.write('Batch completed\n')
logFileHandle.close()
#Every time I run the batch and it succeeds we need to save the batch info
self.batch.save()