def set_market_data(self, market_data):
self.today = misc.datetime2xl(datetime.datetime.strptime(market_data['MarketDate'], '%Y-%m-%d'))
misc.Date.set_origin(*[int(s) for s in market_data['MarketDate'].split('-')][::-1])
super(FXOptionPricer, self).set_market_data(market_data)
fwd_quotes = market_data["FXFwd_" + self.ccypair]
fwdtenors = [misc.datetime2xl(datetime.datetime.strptime(knot[2], '%Y-%m-%d')) for knot in fwd_quotes]
spot_date = misc.Date(str(market_data['MarketDate']))
fwds = [knot[1] for knot in fwd_quotes]
self.fx_spot = fwds[0]
fwdcurve = curve.ForwardCurve.from_array(fwdtenors, fwds)
self.fx_fwd = fwdcurve(self.expiry)
vol_field = "FXVOL_" + self.ccypair
calendar = misc.Calendar.US
voltenors = [ float(calendar.advance(spot_date, misc.Period(str(knot[0]))) - spot_date) for knot in market_data[vol_field]['ATM']]
volmark = {}
volmark['tenor'] = voltenors
for field in ['ATM', 'RRd25', 'RRd10', 'BFd25', 'BFd10']:
volmark[field] = [market_data[vol_field][field][i][1] for i in range(len(voltenors))]
tom = self.expiry - self.today
volpts = {}
for field in ['ATM', 'RRd25', 'RRd10', 'BFd25', 'BFd10']:
if field == 'ATM':
mode = curve.VolCurve.InterpMode.LinearTime
else:
mode = curve.VolCurve.InterpMode.SqrtTime
vcurve = curve.VolCurve.from_array( volmark['tenor'], volmark[field], interp_mode = mode )
volpts[field] = vcurve(tom)
self.atm = volpts['ATM']
self.v10 = volpts['BFd10'] + volpts['RRd10']/2.0
self.v90 = volpts['BFd10'] - volpts['RRd10']/2.0
self.v25 = volpts['BFd25'] + volpts['RRd25']/2.0
self.v75 = volpts['BFd25'] - volpts['RRd25']/2.0
self.volnode = pyktlib.Delta5VolNode(self.today, self.expiry, self.fx_fwd, self.atm, self.v90, self.v75, self.v25, self.v10, "act365")
def calibrate_ycurve(market_data, field='IRYCurve_usd3m'):
today = Date(str(market_data['MarketDate']), "YYYY-MM-DD")
Settings.instance().evaluationDate = today
quotes = market_data[field]
calib_helpers = []
calendar = misc.Calendar.US_UK
dayroll = misc.DayRoll.ModifiedFollowing
daycount = misc.DayCount.ACT360
for quote in quotes:
inst_name, inst_tenor = quote[0].split('_')
if inst_name == "CD":
ratehelper = DepositRateHelper(QuoteHandle(SimpleQuote(float(quote[1]))), \
misc.Period(str(inst_tenor)), 2,
calendar, dayroll, False, daycount)
elif inst_name == "IRF":
ratehelper = FuturesRateHelper(
QuoteHandle(SimpleQuote(100 - float(quote[1]) * 100)),
misc.Date(str(inst_tenor)), 3, calendar, dayroll, True,
daycount, QuoteHandle(SimpleQuote(0.0)))
elif inst_name == "IRS":
ratehelper = SwapRateHelper(
QuoteHandle(SimpleQuote(float(quote[1]))),
misc.Period(str(inst_tenor)), calendar, Semiannual,
misc.DayRoll.Unadjusted, misc.DayCount._30360US,
USDLibor(Period(3, Months)))
else:
raise NameError('The instrument name %s is not supported' %
inst_name)
calib_helpers.append(ratehelper)
#libor_fac = rate_index.LiborIndexFactory('3M', calendar, daycount)
spotdate = today
yield_curve = PiecewiseFlatForward(spotdate, calib_helpers, daycount)
return yield_curve
def str2tenor(input):
if input == None:
return None
if '-' in input:
tenor = misc.Date(str(input))
else:
tenor = misc.Period(str(input))
return tenor
def gen_market_data(self, market_data, scen):
if hasattr(scen[0], '__iter__'):
crv_type = scen[0][0].split('_')[0]
else:
crv_type = scen[0].split('_')[0]
md = copy.deepcopy(market_data)
if crv_type == "MarketDate":
md[scen[0]] = str(misc.Date(str(md[scen[0]])) + scen[1])
else:
if hasattr(scen[0], '__iter__'):
data = md[scen[0][0]]
for i in range(1, len(scen[0])):
data = data[scen[0][i]]
else:
data = md[scen[0]]
if crv_type == 'FXFwd':
for knot in data:
knot[1] = knot[1] * (1 + scen[1])
else:
for knot in data:
knot[1] = knot[1] + scen[1]
return md
def set_market_data(self, market_data):
self.market_data = copy.copy(market_data)
self.value_date = misc.Date(str(market_data['MarketDate']))