def __init__(self, timeseries):
super().__init__(timeseries)
self._maturity = None
# Swap Database Attributes
self._index_tenor = ql.PeriodParser.parse(
self.ts_attributes[INDEX_TENOR])
self.fixed_business_convention = to_ql_business_convention(
self.ts_attributes[BUSINESS_CONVENTION])
self.settlement_days = int(self.ts_attributes[SETTLEMENT_DAYS])
self.fixed_calendar = to_ql_calendar(self.ts_attributes[CALENDAR])
self.fixed_leg_tenor = ql.PeriodParser.parse(
self.ts_attributes[FIXED_LEG_TENOR])
self.fixed_leg_day_counter = to_ql_day_counter(
self.ts_attributes[DAY_COUNTER])
# QuantLib Objects
self.index = to_ql_rate_index(self.ts_attributes[INDEX],
self._index_tenor, self.term_structure)
# QuantLib Attributes
self.calendar = ql.JointCalendar(self.fixed_calendar,
self.index.fixingCalendar())
self.day_counter = self.index.dayCounter()
self.business_convention = self.index.businessDayConvention()
self.fixing_days = self.index.fixingDays()
self.month_end = self.index.endOfMonth()
# Swap Index
self.swap_index = ql.SwapIndex(self.ts_name, self._tenor,
self.settlement_days, self.currency,
self.calendar, self.fixed_leg_tenor,
self.fixed_business_convention,
self.fixed_leg_day_counter, self.index)
# Rate Helper
self.helper_rate = ql.SimpleQuote(0)
self.helper_convexity = ql.SimpleQuote(0)
def __init__(self, timeseries, is_deposit_rate=True):
super().__init__(timeseries, is_deposit_rate=is_deposit_rate)
self._tenor = ql.PeriodParser.parse(self.ts_attributes[TENOR_PERIOD])
self.calendar = to_ql_calendar(self.ts_attributes[CALENDAR])
self.day_counter = to_ql_day_counter(self.ts_attributes[DAY_COUNTER])
self.business_convention = to_ql_business_convention(
self.ts_attributes[BUSINESS_CONVENTION])
self.fixing_days = int(self.ts_attributes[FIXING_DAYS])
self.month_end = False
# Rate Helper
self.helper_rate = ql.SimpleQuote(0)
def __init__(self, timeseries, telescopic_value_dates=True):
super().__init__(timeseries, telescopic_value_dates=telescopic_value_dates)
self.calendar = to_ql_calendar(self.ts_attributes[CALENDAR])
self.day_counter = to_ql_day_counter(self.ts_attributes[DAY_COUNTER])
self.business_convention = to_ql_business_convention(self.ts_attributes[BUSINESS_CONVENTION])
self._maturity = to_ql_date(self.ts_attributes[MATURITY_DATE])
self.fixing_days = int(self.ts_attributes[FIXING_DAYS])
self.month_end = False
self.index = to_ql_ibor_index(index=self.ts_attributes[SPREAD_TAG], fixing_days=self.fixing_days,
currency=self.currency, calendar=self.calendar, day_counter=self.day_counter,
overnight_index=True)
# Rate Helper
self.helper_rate = ql.SimpleQuote(0)
def __init__(self, timeseries, first_cc):
super().__init__(timeseries)
self.first_cc = first_cc
self.calendar = to_ql_calendar(self.attributes[CALENDAR])
try:
self._tenor = ql.PeriodParser.parse(self.attributes[TENOR_PERIOD])
except KeyError:
# If the deposit rate has no tenor, it must have a maturity.
self._maturity = to_ql_date(to_datetime(self.attributes[MATURITY_DATE]))
self.day_counter = to_ql_day_counter(self.attributes[DAY_COUNTER])
self.compounding = to_ql_compounding(self.attributes[COMPOUNDING])
self.frequency = to_ql_frequency(self.attributes[FREQUENCY])
self.business_convention = to_ql_business_convention(self.attributes[BUSINESS_CONVENTION])
self.fixing_days = int(self.attributes[FIXING_DAYS])
def __init__(self, timeseries, currency_ts):
super().__init__(timeseries)
self._maturity = None
# Swap Database Attributes
self.currency_ts = currency_ts
self._tenor = ql.PeriodParser.parse(self.ts_attributes[TENOR_PERIOD])
self.calendar = to_ql_calendar(self.ts_attributes[CALENDAR])
self.day_counter = to_ql_day_counter(self.ts_attributes[DAY_COUNTER])
self.business_convention = to_ql_business_convention(
self.ts_attributes[BUSINESS_CONVENTION])
self.fixing_days = int(self.ts_attributes[FIXING_DAYS])
self.base_currency = self.ts_attributes[BASE_CURRENCY]
self.base_calendar = to_ql_calendar(self.ts_attributes[BASE_CALENDAR])
self.country = self.ts_attributes[COUNTRY]
self.month_end = False
# Rate Helper
self.currency_spot_rate = ql.SimpleQuote(1)
self.currency_spot_handle = ql.RelinkableQuoteHandle(
self.currency_spot_rate)
self.helper_rate = ql.SimpleQuote(0)
self.helper_spread = ql.SimpleQuote(0)
self.helper_convexity = ql.SimpleQuote(0)
def __init__(self, timeseries):
super().__init__(timeseries)
self._tenor = ql.PeriodParser.parse(self.ts_attributes[TENOR_PERIOD])
self.calendar = to_ql_calendar(self.ts_attributes[CALENDAR])
self.day_counter = to_ql_day_counter(self.ts_attributes[DAY_COUNTER])
self.business_convention = to_ql_business_convention(
self.ts_attributes[BUSINESS_CONVENTION])
self.fixing_days = int(self.ts_attributes[FIXING_DAYS])
self.date_generation = to_ql_date_generation(
self.ts_attributes[DATE_GENERATION])
self.coupon_frequency = ql.Period(
to_ql_frequency(self.ts_attributes[FREQUENCY]))
self.recovery_rate = float(self.ts_attributes[RECOVERY_RATE])
self.coupon = float(self.ts_attributes[COUPONS])
self.base_yield = self.ts_attributes[BASE_SPREAD_TAG]
try:
self.first_accrual_date = to_ql_date(
self.ts_attributes[FIRST_ACCRUAL_DATE])
except KeyError:
self.first_accrual_date = None
self.month_end = False
# Rate Helper
self.helper_rate = ql.SimpleQuote(0)