def setUp(self):
self._pricingDate = Date(month=9,day=12,year=2011)
self._marketId = 'TEST1'
QuantLib.Settings.instance().evaluationDate = self._pricingDate.ql()
self._tcSwap = TCSwap(name='Dummy',
ccy = Currency('USD'),
startDate = date(month=9,day=14,year=2011),
endDate = date(month=9,day=14,year=2016),
fixedCoupon = 0.01,
fixedBasis = Basis.createBasis('30360'),
fixedPaymentFrequency = Frequency('S'),
fixedPaymentRollRule = Roll('MF'),
fixedPaymentCalendar = Calendar.createCalendar('US'),
floatingIndex = Index('LIBOR'),
floatingIndexTerm = TimePeriod('M'),
floatingIndexNumTerms = 3,
floatingSpread = 0.0,
floatingBasis = Basis.createBasis('30360'),
floatingPaymentFrequency = Frequency('Q'),
floatingPaymentRollRule = Roll('MF'),
floatingPaymentCalendar = Calendar.createCalendar('US'),
floatingResetFrequency = Frequency('Q'),
floatingResetRollRule = Roll('MF'),
floatingResetCalendar = Calendar.createCalendar('US'))
self._pos = SwapPosition(amount=1000000, tcSwap=self._tcSwap)
def to_python(self, value):
if isinstance(value, Basis.Basis):
return value
if value is None or value == '':
return value
#TODO: catch exception and raise ValidationError for forms
return Basis.createBasis(value)
