Ejemplo n.º 1
0
 def loadHistoricalPricesFromYahoo(self, secId, fr, to, marketId):
     '''
     Downloads prices from yahoo for one secId over a time period
     '''
     quotes = ystockquote.get_historical_prices(secId, fr.str_yyyymmdd(), 
                                                to.str_yyyymmdd())
     #print quotes
     if "Not Found" in str(quotes[1][0]):
         raise ErrorHandling.MarketDataMissing('%s with pricing date %s' % (secId, fr))
     for quote in quotes:
         #print quote
         if quote[0] == 'Date':
             continue
         year = int(quote[0][0:4])
         month = int(quote[0][5:7])
         day = int(quote[0][8:10])
         mid = float(quote[4])
         equities = Equity.objects.filter(ticker=secId)
         stockPrice = StockPrice()
         stockPrice.pricingDate = Date.Date(day,month,year)
         stockPrice.mid = mid
         stockPrice.equity = equities[0]
         stockPrice.marketId = marketId
         #print 'Saving %s ' % (stockPrice)
         stockPrice.save()
Ejemplo n.º 2
0
    def loadStockPriceFromCSVFile(self, fileName):
        '''
        Downloads prices from fileName. fileName needs to include full path
        '''
        file = open(fileName,'r')
        for line in file:
            #print line
            items = line.split(',')
            #skip first line which is headers
            if items[0] == 'date':
                continue
            #print items
            date = items[0]
            ticker = items[1]
            mid = float(items[2])
            marketId = items[3]
            dateItems = date.split('/')
            month = int(dateItems[0])
            day = int(dateItems[1])
            year = int(dateItems[2])
            equities = Equity.objects.filter(ticker=ticker)
            if len(equities) <> 1:
                raise ErrorHandling.OtherException('error with ticker %s and return %s' % 
                                                       (ticker, equities))
            stockPrice = StockPrice()
            stockPrice.pricingDate = Date.Date(day=day,month=month,year=year)
            stockPrice.mid = mid
            stockPrice.marketId = marketId
            stockPrice.equity = equities[0]
#            print 'Saving %s ' % (stockPrice)
            stockPrice.save()
 def testSingleStockPriceScenario(self):
     stockPriceA = StockPrice()
     equity = Equity()
     equity.ticker = 'TEST1'
     stockPriceA.equity = equity
     stockPriceA.pricingDate = Date.Date(month=9,day=12,year=2011)
     stockPriceA.mid = 100.0
     scenarioBase = MarketDataScenario.MarketDataScenario()
     scenarioBase.name = 'Base'
     scenarioBase.marketData = stockPriceA
     #print "Base:" + str(scenarioBase)
     scenarioUp = MarketDataScenario.MarketDataScenario()
     scenarioUp.name = 'Up'
     stockPriceB = copy.copy(stockPriceA)
     stockPriceB.mid = stockPriceB.mid * 1.01
     scenarioUp.marketData = stockPriceB
Ejemplo n.º 4
0
 def NPV(self, pricingDate=None, marketId=''):
     if pricingDate == None:
         raise ErrorHandling.ParameterException('pricingDate cannot be None')
     if self.marketDataContainer == None:
         raise ErrorHandling.MarketDataMissing('marketDataContainer is None')
     e = Equity()
     e.ticker = self.secId
     s = StockPrice()
     s.equity = e
     s.pricingDate = pricingDate
     s.marketId = marketId
     stockPrice = self.marketDataContainer.find(s)
     if stockPrice == None:
         msg = 'Cannot find market data %s in marketDataContainer' % s
         raise ErrorHandling.MarketDataMissing(msg)
     return float(self.amount) * stockPrice.mid
Ejemplo n.º 5
0
 def loadCurrentPriceFromYahoo(self, secId, today, marketId):
     '''
     Loads current price from yahoo and daves it as of today
     '''
     price = ystockquote.get_price(secId)
     try:
         if "Not Found" in price or float(price) < 0.000001:
             raise ErrorHandling.MarketDataMissing('Current price for %s is %s' % (secId,price))
     except:
         raise ErrorHandling.MarketDataMissing('price: %s is bad value' % price)
     mid = float(price)
     stockPrice = StockPrice()
     stockPrice.pricingDate = today
     stockPrice.mid = mid
     stockPrice.equity = Equity.objects.get(ticker=secId)
     stockPrice.marketId = marketId
     stockPrice.save()
Ejemplo n.º 6
0
    def dataForProductionStart(self): 
        #Setup initial data for Tim's portfolios as of 7/24/13        
        productionStartDate = Date(month=7,day=25,year=2013)
        
        if not Batch.objects.filter(batchDate=productionStartDate):
            batch = Batch()
            batch.batchDate = productionStartDate
            batch.save()
        
        if not Location.objects.filter(name='Manhasset').exists():
            location = Location()
            location.name = 'Manhasset'
            location.pricingDate = date(month=7,day=25,year=2013)
            location.save()
        
        if not User.objects.filter(username='******').exists():
            #Enter email password
            User.objects.create_user(username='******',email='*****@*****.**',\
                                     password='******')
            
        cmt = User.objects.get(username='******')
        if not UserProfile.objects.filter(user=cmt).exists():
            up2 = UserProfile()
            up2.user = cmt
            up2.location = Location.objects.get(name='Manhasset')
            up2.marketId = 'EOD'
            up2.save()
        #if it exists then make sure Location is Manhasset
        else:
            profile = UserProfile.objects.get(user=cmt)
            profile.location = Location.objects.get(name='Manhasset')
            profile.marketId = 'EOD'
            profile.save()

        #Setup portfolios
        portfolioData = (['401K','cmt'],['ChaseIRA','cmt'],
                         ['TDIRA','cmt'],['TDPostTaxIRA','cmt'],
                         ['Just2Trade','cmt'],['TDEmergency','cmt'])
        for p in portfolioData:
            if not Portfolio.objects.filter(name=p[0],user=p[1]):
                portfolio =Portfolio()
                portfolio.name = p[0]
                portfolio.user = p[1]
                portfolio.save()

        #Setup Equities and Prices as of productionStartDate
        dataSet = (('NEIAX',32.57),('PTTDX',10.78),('EFA',61.06),
                   ('GSG',32.67),('SAN-E',26.7301),('VWO',40.19),
                   ('VNQ', 71.17))
        for data in dataSet:
            if not Equity.objects.filter(ticker=data[0]).exists():
                equity = Equity()
                equity.ticker = data[0]
                equity.assetType = Enum.AssetType('EQUITYUS')
                equity.save()
            equity = Equity.objects.get(ticker=data[0])
            stockPrice = StockPrice()
            stockPrice.equity = equity
            stockPrice.pricingDate = productionStartDate
            stockPrice.marketId = 'EOD'
            stockPrice.mid = data[1]
            stockPrice.save()

        #Setup Bond identifiers and TCBonds as of productionStartDate
        dataSet = (('PortAuth_4.00_JAN42','73358WGG3',Date(month=1,day=15,year=2012),Date(month=1,day=15,year=2042),0.04,),)
        for data in dataSet:
            if not Identifier.objects.filter(name=data[1],type=BondIdentifierType('CUSIP')):
                identifier = Identifier()
                identifier.name = data[1]
                identifier.type = BondIdentifierType('CUSIP')
                identifier.save()
        for data in dataSet:
            if not TCBond.objects.filter(name=data[0]):
                tcBond = TCBond()
                tcBond.name = data[0]
                tcBond.identifiers = Identifier.objects.get(name=data[1],type=BondIdentifierType('CUSIP'))
                tcBond.startDate = data[2].toPythonDate()
                tcBond.endDate = data[3].toPythonDate()
                tcBond.coupon = data[4]
                tcBond.assetType = Enum.AssetType('NYMUNIBOND')
                tcBond.save()
 
        #Setup OAS for production start date
        if not BondOAS.objects.filter(tCBond=TCBond.objects.get(name='PortAuth_4.00_JAN42'), marketId='EOD',pricingDate=productionStartDate):
            bondOAS = BondOAS(tCBond=TCBond.objects.get(name='PortAuth_4.00_JAN42'), marketId='EOD',pricingDate=productionStartDate,mid=0.014)
            bondOAS.save()
            
        #Setup Rates
        fredLoader = FREDLoader.FREDLoader()
        fredLoader.loadLiborCurvesForSpecificDates(marketId='EOD', datesToLoadFor=[productionStartDate])
       
        #Setup transactions 
        dataSet = (('401K','INIT','EQUITY','NEIAX',8758.407),
                    ('401K','INIT','EQUITY','PTTDX',10746.441),
                    ('ChaseIRA','INIT','EQUITY','EFA',633.37038),
                    ('TDIRA','INIT','EQUITY','EFA',47),
                    ('TDIRA','INIT','EQUITY','GSG',610),
                    ('TDIRA','INIT','EQUITY','VWO',1050),
                    ('TDIRA','INIT','CASH','Cash',11151.23),
                    ('TDPostTaxIRA','INIT','EQUITY','EFA',560),
                    ('TDPostTaxIRA','INIT','EQUITY','VNQ',170),
                    ('TDPostTaxIRA','INIT','CASH','Cash',951.33),
                    ('Just2Trade','INIT','EQUITY','GSG',300),
                    ('Just2Trade','INIT','EQUITY','VWO',430),
                    ('TDEmergency','INIT','BOND','PortAuth_4.00_JAN42',100),
                    ('TDEmergency','INIT','CASH','Cash',201.01))
        
        for data in dataSet:
            if not Transaction.objects.filter(portfolio=Portfolio.objects.get(name=data[0]),
                                              transactionType=TransactionType(data[1]),
                                              positionType=PositionType(data[2]),
                                              ticker=data[3],
                                              amount=data[4],
                                              transactionDate = productionStartDate,
                                              effectiveDate = productionStartDate):
                transaction = Transaction()
                transaction.portfolio =Portfolio.objects.get(name=data[0])
                transaction.transactionType = TransactionType(data[1])
                transaction.positionType = PositionType(data[2])
                transaction.ticker = data[3]
                transaction.amount = data[4]
                transaction.transactionDate = productionStartDate
                transaction.effectiveDate = productionStartDate
                transaction.reflectedInPosition = False
                transaction.save()
Ejemplo n.º 7
0
    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()