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 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 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 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 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 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 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 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 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)