def getTime(self):
"""
获取最小起始日期和min{最大交割日日期,当前日期}
"""
post = postgersql()
colname = ['trade_date','delivery_date','currency_pair','dates']
sql = """select op.trade_date,op.delivery_date,op.currency_pair,
case
when t.dates<op.delivery_date then date(t.dates)+1
when t.dates=op.delivery_date then current_date
end as dates
from %s op
left join
(select max(pt.date) as dates,pt.der_id from %s pt
group by pt.der_id) t
on op.trade_type||'_'||op.id = t.der_id
"""%(self.table,self.querytable)
time = post.view(sql,colname)
if time==[] or time==None:
self.begintime = None
self.endtime = None
else:
time = filter(lambda x:x['currency_pair'] in getrate() and dateTostr(x['delivery_date'])>=getrate()[x['currency_pair']],time)
#print len(time)
for lst in time:
if lst['dates'] is None:
lst['dates'] = dateTostr(lst['trade_date']) if dateTostr(lst['trade_date'])>getrate()[lst['currency_pair']] else getrate()[lst['currency_pair']]
else:
lst['dates'] = dateTostr(lst['dates'])
begintime = time[0]['dates'] if len(time)==1 else min(map(lambda x:x['dates'],time))
self.begintime = begintime if getNow('%Y-%m-%d')>=begintime else None
endtime = dateTostr(time[0]['delivery_date'] if len(time)==1 else max(map(lambda x:x['delivery_date'],time)))
self.endtime = endtime if getNow('%Y-%m-%d')>endtime else timedelta(getNow('%Y-%m-%d'),-1)
def cumputeLost(self):
"""
"""
Time = dateTostr(self.Now)
Lost = []
self.forwarddict = []
for trade_id in self.trfdata:
spotList = self.trfdata[trade_id]['spotList']
orderlist = self.trfdata[trade_id]['orderlist']
S = self.trfdata[trade_id]['S']
K = self.trfdata[trade_id]['K']
SellRate = self.trfdata[trade_id]['SellRate']
BuyRate = self.trfdata[trade_id]['BuyRate']
Now = self.trfdata[trade_id]['Now']
lags = self.trfdata[trade_id]['lags']
TIV = self.trfdata[trade_id]['TIV']
amount = self.trfdata[trade_id]['amount']
#print 'knockoptions',lst['id'],currency_pair,dateTostr(lst['trade_date']),deliverydate,
TRF = TargetRedemptionForward(spotList, orderlist, S, K, SellRate,
BuyRate, lags, Now, TIV) ##计算损益值
gal = 0
for lst in TRF:
lst['price'] = (
lst['price'] *
amount) if lst['price'] is not None else lst['price']
gal += lst['price']
if TRF is not None:
Lost.extend(TRF)
"""
'date','com_code','der_id','cap_currency','cap_amount','gal','exrate','data_date':
日期，公司代码，衍生品编号，本金币种，本金金额，汇兑损益，当天的本金/人民币汇率，数据生成日期
"""
forwarddict = {}
forwarddict['date'] = Time
forwarddict['com_code'] = self.trfdata[trade_id]['consign_entity']
forwarddict['der_id'] = self.trfdata[trade_id][
'trade_type'] + '_' + str(self.trfdata[trade_id]['id'])
forwarddict['gal'] = gal
forwarddict['cap_amount'] = amount
forwarddict['cap_currency'] = self.trfdata[trade_id]['currency']
currencypair = forwarddict['cap_currency'] + 'CNY'
forwarddict['exrate'] = gethistoryrate(
[currencypair],
Time)[currencypair] if currencypair != 'CNYCNY' else 1.0
forwarddict['data_date'] = getNow('%Y-%m-%d %H:%M:%S')
logs('compute',
'targetforwards',
'cumputeLost',
forwarddict,
infoFalg=True)
self.forwarddict.append(forwarddict)
self.updateData()
def getDataFromPostgres(self):
"""
获取结构性产品的订单数据
"""
post = postgersql()
colname = [
'id', 'trade_id', 'currency_pair', 'sell_currency', 'buy_currency',
'sell_amount', 'buy_amount', 'trade_date', 'determined_date',
'delivery_date', 'trp', 'rate', 'type', 'consign_entity',
'trade_type'
]
#wherestring = None
#orderby = "order by trade_id, delivery_date"
#Now = getNow('%Y-%m-%d')
Now = dateTostr(self.Now)
sql = """select %s from %s t join
(select trade_id from %s group by trade_id having max(delivery_date)>=date'%s' ) b
on t.trade_id=b.trade_id
order by t.trade_id, t.delivery_date
""" % (','.join(map(lambda x: 't.' + x, colname)),
self.table, self.table, Now) ##过滤已交割完成的结构产品
#self.data = post.view(sql,colname)
optiondata = post.view(sql, colname)
optiondata = filter(
lambda x: x['currency_pair'] in getrate() and Now >= getrate()[x[
'currency_pair']], optiondata)
colname2 = ['der_id']
wherestring2 = """date='{}'""".format(Now)
savedata = map(lambda x: x['der_id'],
post.select(self.writetable, colname2, wherestring2))
data = []
for lst in optiondata:
if lst['trade_type'] + '_' + str(lst['id']) not in savedata:
data.append(lst)
if data is not None and data != []:
self.data = data
self.getDataFromMongo() ##从mongo提取数据并更新损益
self.cumputeLost()
def getDataFromMongo(self):
"""
from mongo get the currency_pairs and bank_rate
"""
## currency_pairs
currency_pairs = list(set(map(lambda x: x['currency_pair'],
self.data)))
Time = self.Now.split()[0]
#currency_dict = getcurrentrate(currency_pairs)
currency_dict = gethistoryrate(currency_pairs, Time)
##bank_rate
self.forwarddict = []
for lst in self.data:
forwarddict = {}
sell_currency = lst['currency_pair'][:3]
buy_currency = lst['currency_pair'][3:]
currency_pair = lst['currency_pair']
#ratetype = getRate((lst['delivery_date'] -lst['trade_date']).days)
ratetype = '12月'
#SellRate,BuyRate = getcurrentbankrate(sell_currency,buy_currency,ratetype)
SellRate, BuyRate = gethistorybankrate(sell_currency, buy_currency,
ratetype,
Time) ##获取银行历史拆借利率
#sell_amount = float64(lst['sell_amount'])
#buy_amount = float64(lst['buy_amount'])
##获取厘定日的汇率，如果还未到厘定日，那么汇率返回None
Setdate = dateTostr(lst['determined_date']) ##厘定日
if Setdate is None:
Setdate = dateTostr(lst['delivery_date'])
if Time < Setdate:
SetRate = None
else:
SetRate = RateExchange(currency_pair).getdayMax(
Setdate) ##厘定日汇率
#SetRate = RateExchange(currency_pair).getdayMax(Setdate)##厘定日汇率
if SetRate == []:
SetRate = None ## 还未到厘定日
## 执行汇率上下限
strikeLowerRate = float64(lst['exe_doexrate'])
strikeUpperRate = float64(lst['exe_upexrate'])
currentRate = currency_dict.get(currency_pair)
if currentRate is None:
print "{ } not Fund!\n".format(currency_pair)
continue
deliverydate = dateTostr(lst['delivery_date'])
#print 'CollaOptions',lst['id'],currency_pair,dateTostr(lst['trade_date']),deliverydate,
temp = self.cumputeLost(Setdate, SetRate, deliverydate,
strikeLowerRate, strikeUpperRate,
currentRate, SellRate, BuyRate, self.delta)
#if forwarddict[lst['id']] is not None:
## 计算本金损益
#forwarddict[lst['id']] = chooselocalmoney(lst,forwarddict[lst['id']])
"""
'date','com_code','der_id','cap_currency','cap_amount','gal','exrate','data_date':
日期，公司代码，衍生品编号，本金币种，本金金额，汇兑损益，当天的本金/人民币汇率，数据生成日期
"""
if temp is not None:
forwarddict['gal'], forwarddict['cap_amount'], forwarddict[
'cap_currency'] = chooselocalmoney(lst, temp)
forwarddict['date'] = Time
forwarddict['com_code'] = lst['consign_entity']
forwarddict['der_id'] = lst['trade_type'] + '_' + str(lst['id'])
currencypair = forwarddict['cap_currency'] + 'CNY'
forwarddict['exrate'] = gethistoryrate(
[currencypair],
Time)[currencypair] if currencypair != 'CNYCNY' else 1.0
forwarddict['data_date'] = getNow('%Y-%m-%d %H:%M:%S')
logs('compute',
'CollaOptions',
'getDataFromMongo',
forwarddict,
infoFalg=True)
self.forwarddict.append(forwarddict)
#self.forwarddict = forwarddict
self.updateData()
def getDataFromMongo(self):
"""
from mongo get the currency_pairs and bank_rate
#卖出币种如果是人民币(CNY/CNH)，那么买入币种是本金，否则就是卖出币种
"""
## currency_pairs
##--------------------获取汇率对的实时汇率
currency_pairs = list(set(map(lambda x: x['currency_pair'],
self.data)))
Time = self.Now.split()[0]
#currency_dict = getcurrentrate(currency_pairs)
currency_dict = gethistoryrate(currency_pairs, Time)
##--------------------获取汇率对的历史汇率
self.forwarddict = []
for lst in self.data:
##
forwarddict = {}
sell_currency = lst['currency_pair'][:3]
buy_currency = lst['currency_pair'][3:]
currency_pair = lst['currency_pair']
#ratetype = getRate((lst['delivery_date'] -lst['trade_date']).days)
ratetype = '12月'
#SellRate,BuyRate = getcurrentbankrate(sell_currency,buy_currency,ratetype)##获取银行拆借利率
SellRate, BuyRate = gethistorybankrate(sell_currency, buy_currency,
ratetype,
Time) ##获取银行历史拆借利率
LockedRate = float(lst['rate']) ##锁定汇率
currentRate = currency_dict.get(currency_pair) ##即期实时汇率
if currentRate is None:
print "{} not fund!\n".format(currency_pair)
continue
deliverydate = dateTostr(lst['delivery_date']) ##交割日期
#print 'forwards',lst['id'],currency_pair,dateTostr(lst['trade_date']),deliverydate,
temp = self.cumputeLost(SellRate, BuyRate, deliverydate,
LockedRate, currentRate)
#print temp
## 计算本金损益
#if forwarddict[lst['id']] is not None:
#forwarddict[lst['id']] = chooselocalmoney(lst,forwarddict[lst['id']])
"""
'date','com_code','der_id','cap_currency','cap_amount','gal','exrate','data_date':
日期，公司代码，衍生品编号，本金币种，本金金额，汇兑损益，当天的本金/人民币汇率，数据生成日期
"""
if temp is not None:
forwarddict['gal'], forwarddict['cap_amount'], forwarddict[
'cap_currency'] = chooselocalmoney(lst, temp)
forwarddict['date'] = Time
forwarddict['com_code'] = lst['consign_entity']
forwarddict['der_id'] = lst['trade_type'] + '_' + str(lst['id'])
currencypair = forwarddict['cap_currency'] + 'CNY'
forwarddict['exrate'] = gethistoryrate(
[currencypair],
Time)[currencypair] if currencypair != 'CNYCNY' else 1.0
forwarddict['data_date'] = getNow('%Y-%m-%d %H:%M:%S')
logs('compute',
'forwards',
'getDataFromMongo',
forwarddict,
infoFalg=True)
#forwarddict[lst['consign_entity']]
self.forwarddict.append(forwarddict)
#self.forwarddict = forwarddict
self.updateData()
def getDataFromMongo(self):
"""
from mongo get the currency_pairs and bank_rate
"""
trfdata = {}
if self.data != []:
S = {} ##货币对最新汇率
spot = {}
Time = dateTostr(self.Now)
#mongo = mongodb()
for lst in self.data:
##获取厘定日汇率，未到立定日，以None填充
code = lst.get('currency_pair')
date = lst.get('determined_date').strftime('%Y-%m-%d')
#determined_date_rate = getkline(code,date,self.mongo)##获取厘定日汇率
if Time < date:
determined_date_rate = None
else:
determined_date_rate = getkline(code, date,
self.mongo) ##获取厘定日汇率
#SetRate = RateExchange(currency_pair).getdayMax(Setdate)##厘定日汇率
lst.update({'determined_date_rate': determined_date_rate})
sell_currency = lst['currency_pair'][:3]
buy_currency = lst['currency_pair'][3:]
#ratetype = getRate((lst['delivery_date'] -lst['trade_date']).days)
ratetype = '12月'
#SellRate,BuyRate = getcurrentbankrate(sell_currency,buy_currency,ratetype)
SellRate, BuyRate = gethistorybankrate(sell_currency,
buy_currency, ratetype,
Time) ##获取银行历史拆借利率
if S.get(code) is None:
for i in range(100):
RE = RateExchange(code).getdayMax(Time)
if RE is not None and RE != []:
S[code] = RE
break
Time = timedelta(Time, -1)
#RE = RateExchange(code).getMax()
#if RE is not None and RE !=[]:
#S[code] = RE[0].get('Close')##获取实时汇率
#if sell_currency+buy_currency!=code:
# BuyRate,SellRate=SellRate,BuyRate##判断卖出买入货币与汇率对的对应情况
if spot.get(code) is None:
dayspot = getdayspot(code, self.mongo)
dayspot = datafill(dayspot)
spot[code] = dayspot
sell_amount = np.float64(lst['sell_amount'])
buy_amount = np.float64(lst['buy_amount'])
if lst['type'] == u'1':
amount = buy_amount
currency = lst['buy_currency']
elif lst['type'] == u'2':
amount = sell_amount
currency = lst['sell_currency']
elif lst['type'] == u'3':
if lst['sell_currency'] == 'USD':
amount = buy_amount
currency = lst['buy_currency']
else:
amount = sell_amount
currency = lst['sell_currency']
else:
amount = None ##其他交易类型，暂时无法计算
currency = None
if trfdata.get(lst['trade_id']) is None:
try:
lags = getLags(self.data, lst['trade_id'])
except:
continue
trfdata[lst['trade_id']] = {
'orderlist': [],
'spotList': lagdata(spot[code], lags), ##lags时间段收益时间序列
'S': S[code], ##实时汇率
'SellRate': SellRate, ##卖出货币拆解利率
'BuyRate': BuyRate, ##买入货币拆解利率
'K': float(lst.get('rate')), ##锁定汇率
'TIV': float(lst.get('trp')), ##目标收益
'lags': lags, ##每期时间间隔
'Now': self.Now, ##损益计算时间
'amount': amount, ##本金
'consign_entity': lst['consign_entity'],
'trade_type': lst['trade_type'],
'id': lst['id'],
'currency': currency
}
trfdata[lst['trade_id']]['orderlist'].append(lst)
self.trfdata = trfdata
def getDataFromMongo(self):
"""
from mongo get the currency_pairs and bank_rate
"""
## currency_pairs
currency_pairs = list(set(map(lambda x: x['currency_pair'],
self.data)))
Time = self.Now.split()[0]
#currency_dict = getcurrentrate(currency_pairs)
currency_dict = gethistoryrate(currency_pairs, Time)
##--------------------获取汇率对的历史汇率
##bank_rate
self.forwarddict = []
for lst in self.data:
forwarddict = {}
sell_currency = lst['currency_pair'][:3]
buy_currency = lst['currency_pair'][3:]
currency_pair = lst['currency_pair']
#ratetype = getRate((lst['delivery_date'] -lst['trade_date']).days)
ratetype = '12月'
#SellRate,BuyRate = getcurrentbankrate(sell_currency,buy_currency,ratetype)
SellRate, BuyRate = gethistorybankrate(sell_currency, buy_currency,
ratetype,
Time) ##获取银行历史拆借利率
#sell_amount = float64(lst['sell_amount'])
#buy_amount = float64(lst['buy_amount'])
Setdate = dateTostr(lst['determined_date'])
if Time < Setdate:
SetRate = None
else:
SetRate = RateExchange(currency_pair).getdayMax(
Setdate) ##厘定日汇率
#SetRate = RateExchange(currency_pair).getdayMax(Setdate)##厘定日汇率
kncockRate = float64(lst['knockout_exrate']) ##敲出汇率
LockedRate = float(lst['rate'])
currentRate = currency_dict[currency_pair]
deliverydate = dateTostr(lst['delivery_date'])
#print 'knockoptions',lst['id'],currency_pair,dateTostr(lst['trade_date']),deliverydate,
type = lst['type']
temp = self.cumputeLost(Setdate, SetRate, deliverydate,
currentRate, LockedRate, kncockRate,
SellRate, BuyRate, self.delta, type)
#print temp
#print '\n'
## 计算本金损益
#if forwarddict[lst['id']] is not None:
#forwarddict[lst['id']] = chooselocalmoney(lst,forwarddict[lst['id']])
"""
'date','com_code','der_id','cap_currency','cap_amount','gal','exrate','data_date':
日期，公司代码，衍生品编号，本金币种，本金金额，汇兑损益，当天的本金/人民币汇率，数据生成日期
"""
if temp is not None:
forwarddict['gal'], forwarddict['cap_amount'], forwarddict[
'cap_currency'] = chooselocalmoney(lst, temp)
forwarddict['date'] = Time
forwarddict['com_code'] = lst['consign_entity']
forwarddict['der_id'] = lst['trade_type'] + '_' + str(lst['id'])
currencypair = forwarddict['cap_currency'] + 'CNY'
forwarddict['exrate'] = gethistoryrate(
[currencypair],
Time)[currencypair] if currencypair != 'CNYCNY' else 1.0
forwarddict['data_date'] = getNow('%Y-%m-%d %H:%M:%S')
logs('compute',
'knockoptions',
'getDataFromMongo',
forwarddict,
infoFalg=True)
self.forwarddict.append(forwarddict)
#self.forwarddict = forwarddict
self.updateData()
def getDataFromMongo(self):
"""
from mongo get the currency_pairs and bank_rate
"""
## currency_pairs
currency_pairs = list(set(map(lambda x:x['currency_pair'],self.data)))
Time = self.Now.split()[0]
#currency_dict = getcurrentrate(currency_pairs)
currency_dict = gethistoryrate(currency_pairs,Time)
##bank_rate
self.forwarddict = []
for lst in self.data:
forwarddict= {}
##交易本币与外币
##支付固定利率
#print '计算订单{}\n'.format(lst)
payFixRate = None if lst['pay_fix_rate'] is None else float64(lst['pay_fix_rate']) ##支付固定利率
chargeFixRate = None if lst['charge_fix_rate'] is None else float64(lst['charge_fix_rate'])##收取浮动利息固定部分
value_date = dateTostr(lst['value_date'])
delivery_date = dateTostr(lst['delivery_date'])
trade_date = dateTostr(lst['trade_date'])
#print lst['id']
if lst['interest_pay_way'] == '3':
##到期一次性支付
br = BankRate(lst['buy_currency'],interestway(lst['interest_pay_way'],lst['charge_float_libor']))
if delivery_date> Time:
date = {dateTostr(lst['delivery_date']):br.getday(Time)}
else:
date = {dateTostr(lst['delivery_date']):br.getday(delivery_date)}
elif lst['interest_pay_way']== '0' or lst['trade_type']=='4':
##提前支付
br = BankRate(lst['buy_currency'],interestway(lst['interest_pay_way'],lst['charge_float_libor']))
if (lst['trade_date'] - lst['value_date']).days>180:
date = {dateTostr(lst['delivery_date']):br.getday(trade_date)}## value_date trade_date
else:
date = {dateTostr(lst['delivery_date']):br.getday(value_date)}## value_date trade_date
else:
#print lst
if (lst['trade_date'] - lst['value_date']).days>180:
date = getbankrateoneday(lst['buy_currency'],trade_date,delivery_date,lst['interest_pay_way'],lst['charge_float_libor'],Time)
else:
date = getbankrateoneday(lst['buy_currency'],value_date,delivery_date,lst['interest_pay_way'],lst['charge_float_libor'],Time)
#payFixRateDict = {}
if chargeFixRate is None:
chargeFixRate=0.0
for t in date:
date[t] = date[t]/100.0+chargeFixRate##货币浮动利率及支付利息时间
Fix = array(sorted(date.items(),key=lambda x:x[0]))
FixDate = Fix[:,0]
FixRate = Fix[:,1][:]
FixRate = FixRate.astype(float64)
Rate = (FixDate,payFixRate,FixRate)##利息支付日期，支付卖出货币利息，收取浮动利率利息
currency_pair = lst['currency_pair']
##货币对之间本币与外币
sellCurrency = currency_pair[:3]
buyCurrency = currency_pair[3:]
ratetype ='12月'
#SellRate,BuyRate = getcurrentbankrate(sellCurrency,buyCurrency,ratetype)
SellRate,BuyRate = gethistorybankrate(sellCurrency,buyCurrency,ratetype,Time)##获取银行历史拆借利率
LockedRate = float64(lst['exe_exrate'])##执行汇率
capped_exrate = None if lst['capped_exrate'] is None else float64(lst['capped_exrate']) ##封顶汇率
##获取厘定日汇率
##获取厘定日的汇率，如果还未到厘定日，那么汇率返回None
Setdate = dateTostr(lst['determined_date'])##厘定日
if Time<Setdate:
SetRate = None
else:
SetRate = RateExchange(currency_pair).getdayMax(Setdate)##厘定日汇率
#SetRate = RateExchange(currency_pair).getdayMax(Setdate)##厘定日汇率
if SetRate ==[]:
SetRate = None## 还未到厘定日
currentRate = currency_dict.get(currency_pair) ## 实时汇率
if currentRate is None:
print "{} not fund!".format(currency_pair)
continue
#deliverydate = dateTostr(lst['delivery_date'])## 交割日期
trade_type = lst['trade_type']##交易类型
rateway = lst['interest_pay_way']##利息支付方式
#sell_amount = float64(lst['sell_amount'])
#buy_amount = float64(lst['buy_amount'])
#2,3,4分别表示:区间式货币掉期(利率进行互换+固定补贴)、货币掉期（利率互换）、封顶式期权(固定补贴)
#print 'SwapOptions', lst['id'],currency_pair,rateway,'区间式货币掉期' if trade_type=='2' else ('货币掉期' if trade_type=='3' else '封顶式期权'),value_date,delivery_date,
temp = self.cumputeLost(Setdate,SetRate,value_date,delivery_date,currentRate,SellRate,BuyRate,LockedRate,rateway,self.delta,capped_exrate,trade_type,Rate)
#if sell_currency+buy_currency !=currency_pair:
# forwarddict[lst['id']] = forwarddict[lst['id']]/currentRate
#if forwarddict[lst['id']] is not None:
#forwarddict[lst['id']] = chooselocalmoney(lst,forwarddict[lst['id']])
"""
'date','com_code','der_id','cap_currency','cap_amount','gal','exrate','data_date':
日期，公司代码，衍生品编号，本金币种，本金金额，汇兑损益，当天的本金/人民币汇率，数据生成日期
"""
if temp is not None:
forwarddict['gal'],forwarddict['cap_amount'],forwarddict['cap_currency'] = chooselocalmoney(lst,temp)
forwarddict['date'] = Time
forwarddict['com_code'] = lst['consign_entity']
forwarddict['der_id'] = lst['trade_type']+'_'+str(lst['id'])
currencypair = forwarddict['cap_currency']+'CNY'
forwarddict['exrate'] = gethistoryrate([currencypair],Time)[currencypair] if currencypair!='CNYCNY' else 1.0
forwarddict['data_date'] = getNow('%Y-%m-%d %H:%M:%S')
logs('compute','swaoption','getDataFromMongo',forwarddict,infoFalg=True)
#if lst['id']==1170:
#print Setdate,SetRate,value_date,delivery_date,currentRate,SellRate,BuyRate,LockedRate,rateway,self.delta,capped_exrate,trade_type,Rate,forwarddict['gal']
self.forwarddict.append(forwarddict)
#print forwarddict
#self.forwarddict = forwarddict
self.updateData()
