def CreateEnvironment(self, tag, t):
try:
MarketServer._environments[tag] = \
ppf.market.environment(utils.to_ppf_date(t))
return tag
except RuntimeError, e:
utils.raise_com_exception(e)
def AddSurface(self, tag, name, expiries, tenors, values):
try:
import numpy
exp, ten = expiries[1:], tenors[1:]
surface = [x[1:] for x in values[1:]]
MarketServer.retrieve(tag, 'environments').add_surface(
str(name), ppf.market.surface(exp, ten, numpy.array(surface)))
except RuntimeError, e:
utils.raise_com_exception(e)
def AddCurve(self, tag, name, curve, interp):
try:
import ppf.math.interpolation
interp = eval("ppf.math.interpolation." + interp)
times, factors = [x[1]
for x in curve[1:]], [x[2] for x in curve[1:]]
MarketServer.retrieve(tag, 'environments').add_curve(
str(name), ppf.market.curve(times, factors, interp))
except RuntimeError, e:
utils.raise_com_exception(e)
def GenerateExerciseSchedule(self, tag, start, end, period, duration,
shift_method):
try:
sched = \
ppf.core.generate_exercise_table(
start = utils.to_ppf_date(start)
, end = utils.to_ppf_date(end)
, period = period
, duration = eval("ppf.date_time."+duration)
, shift_method = eval("ppf.date_time.shift_convention."+shift_method))
TradeServer._exercises[tag] = sched
return tag
except RuntimeError, e:
utils.raise_com_exception(e)
def CreateLeg(self, tag, flows, pay_or_receive, adjuvant_table, payoff):
try:
adjuvants = None
if adjuvant_table:
adjuvants = TradeServer.retrieve(adjuvant_table, 'adjuvants')
leg = \
ppf.core.leg(
TradeServer.retrieve(flows, 'flows')
, eval("ppf.core."+pay_or_receive)
, adjuvants
, eval("ppf.pricer.payoffs."+payoff)())
TradeServer._legs[tag] = leg
return tag
except RuntimeError, e:
utils.raise_com_exception(e)
def CreateTrade(self, tag, legs, exercise_sched, exercise_type):
try:
tl = [TradeServer.retrieve(l, 'legs') for l in legs[1:]]
if exercise_sched:
exercises = TradeServer.retrieve(exercise_sched, 'exercises')
if not exercise_type:
raise RuntimeError, "missing exercise type"
call_cancel = eval("ppf.core.exercise_type." + exercise_type)
trade = ppf.core.trade(tl, (exercises, call_cancel))
else:
trade = ppf.core.trade(tl, None)
TradeServer._trades[tag] = trade
return tag
except RuntimeError, e:
utils.raise_com_exception(e)
def GenerateFlows(
self
, tag
, start
, end
, period
, duration
, pay_currency
, pay_shift_method
, accrual_basis
, observables):
try:
flows = ppf.core.generate_flows(
start=utils.to_ppf_date(start)
, end=utils.to_ppf_date(end)
, duration=eval("ppf.date_time."+duration)
, period=period
, pay_shift_method=eval(\
"ppf.date_time.shift_convention."+pay_shift_method)
, pay_currency=pay_currency
, accrual_basis=eval("ppf.date_time."+accrual_basis)
, observables=TradeServer.retrieve(observables, 'observables'))
TradeServer._flows[tag] = flows
return tag
except RuntimeError, e: utils.raise_com_exception(e)
def GenerateLiborObservables(
self
, tag
, start
, end
, roll_period
, roll_duration
, reset_period
, reset_duration
, reset_currency
, reset_basis
, reset_shift_method):
try:
observables = \
ppf.core.generate_libor_observables(
start=utils.to_ppf_date(start)
, end=utils.to_ppf_date(end)
, roll_period=roll_period
, roll_duration = eval("ppf.date_time."+roll_duration)
, reset_period = reset_period
, reset_duration = eval("ppf.date_time."+reset_duration)
, tenor_period = reset_period
, tenor_duration = eval("ppf.date_time."+reset_duration)
, reset_currency=reset_currency
, reset_basis = eval("ppf.date_time."+reset_basis)
, reset_shift_method=eval( \
"ppf.date_time.shift_convention."+reset_shift_method)
, reset_lag = 0)
TradeServer._observables[tag] = observables
return tag
except RuntimeError, e: utils.raise_com_exception(e)
def GenerateAdjuvantTable(
self
, tag
, items
, tens
, vals
, start
, roll_period
, roll_duration
, shift_method):
try:
import numpy
adjuvants = \
ppf.core.generate_adjuvant_table(
items[1:]
, [int(t) for t in tens[1:]]
, numpy.array([x[1:len(vals[0])] for x in vals[1:]])
, utils.to_ppf_date(start)
, rol_period=roll_period
, roll_duration=eval("ppf.date_time."+roll_duration)
, shift_method=eval(\
"ppf.date_time.shift_convention."+shift_method))
TradeServer._adjuvants[tag] = adjuvants
return tag
except RuntimeError, e: utils.raise_com_exception(e)
def AddSurface(self, tag, name, expiries, tenors, values):
try:
import numpy
exp, ten = expiries[1:], tenors[1:]
surface = [x[1:] for x in values[1:]]
MarketServer.retrieve(tag,'environments').add_surface(
str(name), ppf.market.surface(exp, ten, numpy.array(surface)))
except RuntimeError, e: utils.raise_com_exception(e)
def AddCurve(self, tag, name, curve, interp):
try:
import ppf.math.interpolation
interp = eval("ppf.math.interpolation."+interp)
times, factors = [x[1] for x in curve[1:]],[x[2] for x in curve[1:]]
MarketServer.retrieve(tag, 'environments').add_curve(
str(name), ppf.market.curve(times, factors, interp))
except RuntimeError, e: utils.raise_com_exception(e)
def GenerateFlows(self, tag, start, end, period, duration, pay_currency,
pay_shift_method, accrual_basis, observables):
try:
flows = ppf.core.generate_flows(
start=utils.to_ppf_date(start)
, end=utils.to_ppf_date(end)
, duration=eval("ppf.date_time."+duration)
, period=period
, pay_shift_method=eval(\
"ppf.date_time.shift_convention."+pay_shift_method)
, pay_currency=pay_currency
, accrual_basis=eval("ppf.date_time."+accrual_basis)
, observables=TradeServer.retrieve(observables, 'observables'))
TradeServer._flows[tag] = flows
return tag
except RuntimeError, e:
utils.raise_com_exception(e)
def GenerateAdjuvantTable(self, tag, items, tens, vals, start, roll_period,
roll_duration, shift_method):
try:
import numpy
adjuvants = \
ppf.core.generate_adjuvant_table(
items[1:]
, [int(t) for t in tens[1:]]
, numpy.array([x[1:len(vals[0])] for x in vals[1:]])
, utils.to_ppf_date(start)
, rol_period=roll_period
, roll_duration=eval("ppf.date_time."+roll_duration)
, shift_method=eval(\
"ppf.date_time.shift_convention."+shift_method))
TradeServer._adjuvants[tag] = adjuvants
return tag
except RuntimeError, e:
utils.raise_com_exception(e)
def GenerateFixedCouponObservables(self, tag, start, end, roll_period,
roll_duration, reset_currency,
coupon_shift_method, coupon_rate):
try:
observables = \
ppf.core.generate_fixed_coupon_observables(
start=utils.to_ppf_date(start)
, end=utils.to_ppf_date(end)
, roll_period=roll_period
, roll_duration=eval("ppf.date_time."+roll_duration)
, reset_currency=reset_currency
, coupon_shift_method=
eval("ppf.date_time.shift_convention."+coupon_shift_method)
, coupon_rate=coupon_rate)
TradeServer._observables[tag] = observables
return tag
except RuntimeError, e:
utils.raise_com_exception(e)
def GenerateExerciseSchedule(
self
, tag
, start
, end
, period
, duration
, shift_method):
try:
sched = \
ppf.core.generate_exercise_table(
start = utils.to_ppf_date(start)
, end = utils.to_ppf_date(end)
, period = period
, duration = eval("ppf.date_time."+duration)
, shift_method = eval("ppf.date_time.shift_convention."+shift_method))
TradeServer._exercises[tag] = sched
return tag
except RuntimeError, e:
utils.raise_com_exception(e)
def GenerateLiborObservables(self, tag, start, end, roll_period,
roll_duration, reset_period, reset_duration,
reset_currency, reset_basis,
reset_shift_method):
try:
observables = \
ppf.core.generate_libor_observables(
start=utils.to_ppf_date(start)
, end=utils.to_ppf_date(end)
, roll_period=roll_period
, roll_duration = eval("ppf.date_time."+roll_duration)
, reset_period = reset_period
, reset_duration = eval("ppf.date_time."+reset_duration)
, tenor_period = reset_period
, tenor_duration = eval("ppf.date_time."+reset_duration)
, reset_currency=reset_currency
, reset_basis = eval("ppf.date_time."+reset_basis)
, reset_shift_method=eval( \
"ppf.date_time.shift_convention."+reset_shift_method)
, reset_lag = 0)
TradeServer._observables[tag] = observables
return tag
except RuntimeError, e:
utils.raise_com_exception(e)
def CreateTrade(
self
, tag
, legs
, exercise_sched
, exercise_type):
try:
tl = [TradeServer.retrieve(l, 'legs') for l in legs[1:]]
if exercise_sched:
exercises = TradeServer.retrieve(exercise_sched, 'exercises')
if not exercise_type:
raise RuntimeError, "missing exercise type"
call_cancel = eval("ppf.core.exercise_type."+exercise_type)
trade = ppf.core.trade(tl, (exercises, call_cancel))
else:
trade = ppf.core.trade(tl, None)
TradeServer._trades[tag] = trade
return tag
except RuntimeError, e: utils.raise_com_exception(e)
def CreateLeg(
self
, tag
, flows
, pay_or_receive
, adjuvant_table
, payoff):
try:
adjuvants = None
if adjuvant_table:
adjuvants = TradeServer.retrieve(adjuvant_table, 'adjuvants')
leg = \
ppf.core.leg(
TradeServer.retrieve(flows, 'flows')
, eval("ppf.core."+pay_or_receive)
, adjuvants
, eval("ppf.pricer.payoffs."+payoff)())
TradeServer._legs[tag] = leg
return tag
except RuntimeError, e: utils.raise_com_exception(e)
def GenerateFixedCouponObservables(
self
, tag
, start
, end
, roll_period
, roll_duration
, reset_currency
, coupon_shift_method
, coupon_rate):
try:
observables = \
ppf.core.generate_fixed_coupon_observables(
start=utils.to_ppf_date(start)
, end=utils.to_ppf_date(end)
, roll_period=roll_period
, roll_duration=eval("ppf.date_time."+roll_duration)
, reset_currency=reset_currency
, coupon_shift_method=
eval("ppf.date_time.shift_convention."+coupon_shift_method)
, coupon_rate=coupon_rate)
TradeServer._observables[tag] = observables
return tag
except RuntimeError, e: utils.raise_com_exception(e)
def CreateEnvironment(self, tag, t):
try:
MarketServer._environments[tag] = \
ppf.market.environment(utils.to_ppf_date(t))
return tag
except RuntimeError, e: utils.raise_com_exception(e)
def AddConstant(self, tag, name, value):
try:
MarketServer.retrieve(tag, 'environments').add_constant(
str(name), value)
except RuntimeError, e: utils.raise_com_exception(e)
def InvokePricer(self, tag):
try:
return PricerServer.retrieve(tag, 'pricers').__call__()
except RuntimeError, e:
utils.raise_com_exception(e)
def InvokePricer(self, tag):
try:
return PricerServer.retrieve(tag, 'pricers').__call__()
except RuntimeError, e: utils.raise_com_exception(e)
def AddConstant(self, tag, name, value):
try:
MarketServer.retrieve(tag, 'environments').add_constant(
str(name), value)
except RuntimeError, e:
utils.raise_com_exception(e)
