def get_fx_forward_points(self,
start,
end,
cross,
tenor,
cut="BGN",
source="bloomberg",
cache_algo="internet_load_return"):
""" get_forward_points = get forward points for specified cross, tenor and part of surface
:param start: start date
:param end: end date
:param cross: asset to be calculated
:param tenor: tenor to calculate
:param cut: closing time of data
:param source: source of data eg. bloomberg
:return: forward points
"""
market_data_request = MarketDataRequest()
market_data_generator = self.market_data_generator
market_data_request.data_source = source # use bbg as a source
market_data_request.start_date = start # start_date
market_data_request.finish_date = end # finish_date
if isinstance(cross, str): cross = [cross]
if isinstance(tenor, str): tenor = [tenor]
tenor = [x.replace('1Y', '12M') for x in tenor]
tickers = []
for cr in cross:
for tn in tenor:
tickers.append(cr + tn)
market_data_request = MarketDataRequest(start_date=start,
finish_date=end,
data_source=source,
category='fx-forwards',
freq='daily',
cut=cut,
tickers=tickers,
fields=['close'],
cache_algo=cache_algo,
environment='backtest')
data_frame = market_data_generator.fetch_market_data(
market_data_request)
data_frame.columns = [
x.replace('12M', '1Y') for x in data_frame.columns
]
data_frame.index.name = 'Date'
return data_frame
def get_fx_forward_points(self,
start,
end,
cross,
tenor,
cut="BGN",
data_source="bloomberg",
cache_algo="internet_load_return"):
"""Gets the forward points for a particular tenor and currency
Parameter
---------
start : Datetime
Start date
end : Datetime
End data
cross : str
FX crosses for which we want to download forward points
tenor : str
Tenor of deposit rate
cut : str
Closing time of the market data
data_source : str
data_source of the market data eg. bloomberg
cache_algo : str
Caching scheme for the data
Returns
-------
pandas.DataFrame
Contains deposit rates
"""
market_data_request = MarketDataRequest()
market_data_generator = self.market_data_generator
market_data_request.data_source = data_source # use bbg as a data_source
market_data_request.start_date = start # start_date
market_data_request.finish_date = end # finish_date
if isinstance(cross, str): cross = [cross]
if isinstance(tenor, str): tenor = [tenor]
tenor = [x.replace('1Y', '12M') for x in tenor]
tickers = []
for cr in cross:
for tn in tenor:
tickers.append(cr + tn)
market_data_request = MarketDataRequest(start_date=start,
finish_date=end,
data_source=data_source,
category='fx-forwards',
freq='daily',
cut=cut,
tickers=tickers,
fields=['close'],
cache_algo=cache_algo,
environment='backtest')
data_frame = market_data_generator.fetch_market_data(
market_data_request)
data_frame.columns = [
x.replace('12M', '1Y') for x in data_frame.columns
]
data_frame.index.name = 'Date'
return data_frame
