def test_creation(self):

        b = BusinessDayConvention.from_name('Following')

        self.assertEqual(str(b), 'Following')
        self.assertEqual(b, Following)

        c = BusinessDayConvention(Preceding)
        self.assertEqual(c, Preceding)
Example #2
0
    def create_fixed_float_swap(self, settlement_date, length, fixed_rate,
                                floating_spread, **kwargs):
        """
        Create a fixed-for-float swap given:
        - settlement date
        - length in years
        - additional arguments to modify market default parameters
        """

        _params = self._params._replace(**kwargs)

        index = IborIndex.from_name(self._market,
                                    self._forecasting_term_structure,
                                    **kwargs)

        swap_type = Payer
        nominal = 100.0
        fixed_convention = \
            BusinessDayConvention.from_name(_params.fixed_leg_convention)
        floating_convention = \
            BusinessDayConvention.from_name(_params.floating_leg_convention)
        fixed_frequency = \
            code_to_frequency(_params.fixed_leg_period)
        floating_frequency = code_to_frequency(_params.floating_leg_period)
        fixed_daycount = DayCounter.from_name(_params.fixed_leg_daycount)
        float_daycount = DayCounter.from_name(_params.floating_leg_daycount)
        calendar = Calendar.from_name(_params.calendar)

        maturity = calendar.advance(settlement_date, length, Years,
                                    convention=floating_convention)

        fixed_schedule = Schedule(settlement_date, maturity,
                                  Period(fixed_frequency), calendar,
                                  fixed_convention, fixed_convention,
                                  Forward, False)

        float_schedule = Schedule(settlement_date, maturity,
                                  Period(floating_frequency),
                                  calendar, floating_convention,
                                  floating_convention,
                                  Forward, False)

        swap = VanillaSwap(swap_type, nominal, fixed_schedule, fixed_rate,
                           fixed_daycount, float_schedule, index,
                           floating_spread, float_daycount, fixed_convention)

        engine = DiscountingSwapEngine(self._discount_term_structure,
                                       False,
                                       settlementDate=settlement_date,
                                       npvDate=settlement_date)

        swap.set_pricing_engine(engine)

        return swap
Example #3
0
    def test_creation(self):

        b = BusinessDayConvention['Following']

        self.assertEqual(b.name, 'Following')
        self.assertEqual(b, Following)

        c = BusinessDayConvention(Preceding)
        self.assertEqual(c, Preceding)
    def test_creation(self):

        b = BusinessDayConvention.from_name('Following')

        self.assertEqual(str(b), 'Following')
        self.assertEqual(b, Following)

        c = BusinessDayConvention(Preceding)
        self.assertEqual(c, Preceding)
Example #5
0
def make_rate_helper(market, quote, reference_date=None):
    """
    Wrapper for deposit and swaps rate helpers makers
    TODO: class method of RateHelper?
    """

    rate_type, tenor, quote_value = quote

    if(rate_type == 'SWAP'):
        libor_index = market._floating_rate_index
        spread = SimpleQuote(0)
        fwdStart = Period(0, Days)
        helper = SwapRateHelper.from_tenor(
            quote_value,
            Period(tenor),
            market._floating_rate_index.fixing_calendar,
            code_to_frequency(market._params.fixed_leg_period),
            BusinessDayConvention.from_name(
                market._params.fixed_leg_convention),
            DayCounter.from_name(market._params.fixed_leg_daycount),
            libor_index, spread, fwdStart)
    elif(rate_type == 'DEP'):
        end_of_month = True
        helper = DepositRateHelper(
            quote_value,
            Period(tenor),
            market._params.settlement_days,
            market._floating_rate_index.fixing_calendar,
            market._floating_rate_index.business_day_convention,
            end_of_month,
            DayCounter.from_name(market._deposit_daycount))
    elif(rate_type == 'ED'):
        if reference_date is None:
            raise Exception("Reference date needed with ED Futures data")

        forward_date = next_imm_date(reference_date, tenor) 

        helper = FuturesRateHelper( 
            rate = SimpleQuote(quote_value),
            imm_date = qldate_from_pydate(forward_date),
            length_in_months = 3,
            calendar = market._floating_rate_index.fixing_calendar,
            convention = market._floating_rate_index.business_day_convention,
            end_of_month = True,
            day_counter = DayCounter.from_name(market._params.floating_leg_daycount))
    else:
        raise Exception("Rate type %s not supported" % rate_type)

    return (helper)
Example #6
0
def make_rate_helper(market, quote, reference_date=None):
    """
    Wrapper for deposit and swaps rate helpers makers
    TODO: class method of RateHelper?
    """

    rate_type, tenor, quote_value = quote

    if(rate_type == 'SWAP'):
        libor_index = market._floating_rate_index
        spread = SimpleQuote(0)
        fwdStart = Period(0, Days)
        helper = SwapRateHelper.from_tenor(
            quote_value,
            Period(tenor),
            market._floating_rate_index.fixing_calendar,
            code_to_frequency(market._params.fixed_leg_period),
            BusinessDayConvention.from_name(
                market._params.fixed_leg_convention),
            DayCounter.from_name(market._params.fixed_leg_daycount),
            libor_index, spread, fwdStart)
    elif(rate_type == 'DEP'):
        end_of_month = True
        helper = DepositRateHelper(
            quote_value,
            Period(tenor),
            market._params.settlement_days,
            market._floating_rate_index.fixing_calendar,
            market._floating_rate_index.business_day_convention,
            end_of_month,
            DayCounter.from_name(market._deposit_daycount))
    elif(rate_type == 'ED'):
        if reference_date is None:
            raise Exception("Reference date needed with ED Futures data")

        forward_date = next_imm_date(reference_date, tenor)

        helper = FuturesRateHelper(
            rate =SimpleQuote(quote_value),
            imm_date = qldate_from_pydate(forward_date),
            length_in_months = 3,
            calendar = market._floating_rate_index.fixing_calendar,
            convention = market._floating_rate_index.business_day_convention,
            end_of_month = True,
            day_counter = DayCounter.from_name(
                market._params.floating_leg_daycount))

    elif rate_type.startswith('ER'):
        # TODO For Euribor futures, we found it useful to supply the `imm_date`
        # parameter directly, instead of as a number of periods from the
        # evaluation date, as for ED futures. To achieve this, we pass the
        # `imm_date` in the `tenor` field of the quote.
        helper = FuturesRateHelper(
            rate=SimpleQuote(quote_value),
            imm_date=tenor,
            length_in_months=3,
            calendar=market._floating_rate_index.fixing_calendar,
            convention=market._floating_rate_index.business_day_convention,
            end_of_month=True,
            day_counter=DayCounter.from_name(
                market._params.floating_leg_daycount))
    else:
        raise Exception("Rate type %s not supported" % rate_type)

    return helper