def to_ql_currency(arg):
"""Converts string with a calendar name to a calendar instance of QuantLib.
:param arg: str
The currency 3 letter identifier
:return QuantLib.Currency
"""
if arg.upper() == "USD":
return ql.USDCurrency()
elif arg.upper() == "BRL":
return ql.BRLCurrency()
elif arg.upper() == "EUR":
return ql.EURCurrency()
elif arg.upper() == "GBP":
return ql.GBPCurrency()
elif arg.upper() == "AUD":
return ql.AUDCurrency()
elif arg.upper() == "JPY":
return ql.JPYCurrency()
elif arg.upper() == "TRY":
return ql.TRYCurrency()
elif arg.upper() == "ZAR":
return ql.ZARCurrency()
elif arg.upper() == "CHF":
return ql.CHFCurrency()
elif arg.upper() in ["CNY", "CNH"]:
return ql.CNYCurrency()
else:
raise ValueError(
"Unable to convert {} to a QuantLib currency".format(arg))
'ACT/365':
ql.Actual365Fixed(ql.Actual365Fixed.NoLeap),
# Dates
'FOLLOWING':
ql.Following,
'MODIFIEDFOLLOWING':
ql.ModifiedFollowing,
'BACKWARDS':
ql.DateGeneration.Backward,
'FORWARDS':
ql.DateGeneration.Forward,
# Overnight Indexes
'AUD.OIS':
ql.OvernightIndex('RBACOR', 0, ql.AUDCurrency(), ql.Australia(),
ql.Actual365Fixed()),
'CAD.OIS':
ql.OvernightIndex('CAOREPO', 0, ql.CADCurrency(), ql.Canada(),
ql.Actual365Fixed()),
'CHF.OIS':
ql.OvernightIndex('SARON', 0, ql.CHFCurrency(), ql.Switzerland(),
ql.Actual360()),
'CLP.OIS':
ql.OvernightIndex('CLICP', 0, ql.CLPCurrency(), ql.WeekendsOnly(),
ql.Actual360()),
'CNY.OIS':
ql.OvernightIndex('CNRR007', 0, ql.CNYCurrency(), ql.China(),
ql.Actual365Fixed()),
'COP.OIS':
ql.OvernightIndex('COOVIBR', 0, ql.COPCurrency(), ql.WeekendsOnly(),
