s_name = "Rate_History" s_fx_name = "FX_Curve_History" s_opt_name = "Vol_Surface" sheet_name = "Pricer" opt_source = "LIVE" db_name = "Yield_Curve" # Spot FX market fx_spot = reader.read_FX_rates(fx_name) # Libor rate market cv_instrument = reader.read_instruments(s_name, 8) # FX rate market cv_fx_instrument = reader.read_instruments(s_fx_name, 8) # Volatility normal market vol_instrument = reader.read_vol(s_opt_name, 4) """ Start Pricing and Setting up pricing objects """ disc_cv_details = {"type": "LIBOR", "spread": 0} reader.close() # Reslease workbook vol_s = Vol.Val_Surface(val_date, vol_instrument) OPT = OPT.OPTer(cv_instrument, vol_s) inst = OPT.gen_opt_instruments(inputs) ans_bk = OPT.price_opt(inst, val_date) """ Start pricing and output to Pricer sheet """ # Writting to excel
""" import DB.dbExecute as dbEx from IO import Reader as Reader from Live_Pricing import Vol_Live as Vol from Live_Pricing import OPT_Pricer as OPT # Step one load current market vol data # also load current market rates data f_name = "Live Pricing.xlsm" s_name = "Vol_Surface" sdate = "2019-03-25" schema_name = "Yield_Curve" tb_opt = "vcub" opt_source = "LIVE" num = 4 Reader = Reader.excel_reader(f_name) data = Reader.read_vol( s_name, num ) vol_s = Vol.Val_Surface( sdate, schema_name, tb_opt ) vol_s.get_raw_data( opt_source, data ) # Step two load option/swaption balance schedule balance_name = "Schedule" Reader.read( balance_name ) name, raw_data = Reader.get_raw_data() cv_instrument = Reader.read_instruments("Rate_Live", 8) disc_cv_details = { "type" : "LIBOR", "spread" : 0 } # Step three option/swaption pricing