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 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()
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
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()
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()
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()