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
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)
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