def gen_instruments_test_data( self,
file_name,
curve_name ):
# Generate instruments by test data
instruments = BS_BT.get_rates_instrument_test( file_name,
curve_name)
return instruments
def gen_zero_curve(self, value_date, ccy, instrument, Day_Counter):
""" Wrapper function:
Generate swap curve depends on
disc_cv_details is either
XCS or LIBOR
"""
curve = B_S.boot_strapping_Zero_ccy(value_date, ccy, instrument,
Day_Counter)
return curve
def get_yields_curve( self,
LIBOR_ins,
OIS_ins,
FX_ins,
sdate,
currency,
shock_year,
BPS,
spread,
Day_Counter ):
""" Bootstrapping calculation of yields curve
shock_year = -1 means does not shock
shock_year = 0 means paralell shock
"""
units = 100
BPS = BPS/units
OIS_ans = [0]
ans_book = {
"cash":[0,LIBOR_ins["cash"][1]],
"future":[0,LIBOR_ins["future"][1]],
"swap" :[0,LIBOR_ins["swap"][1]],
}
fx_book = {
"cash":[0,FX_ins["cash"][1]],
"future":[0,FX_ins["future"][1]],
"swap" :[0,FX_ins["swap"][1]],
}
ans_book["cash"][0] = BS_TF.shock_inputs_curve( sdate,
LIBOR_ins["cash"][0],
"CASH",
shock_year,
BPS,
spread )
ans_book["future"][0] = BS_TF.shock_inputs_curve( sdate,
LIBOR_ins["future"][0],
"FUTURE",
shock_year,
BPS,
spread )
ans_book["swap"][0] = BS_TF.shock_inputs_curve( sdate,
LIBOR_ins["swap"][0],
"SWAP",
shock_year,
BPS,
spread )
fx_book["cash"][0] = BS_TF.shock_inputs_curve( sdate,
FX_ins["cash"][0],
"CASH",
shock_year,
BPS,
spread )
fx_book["future"][0] = BS_TF.shock_inputs_curve( sdate,
FX_ins["future"][0],
"FUTURE",
shock_year,
BPS,
spread )
fx_book["swap"][0] = BS_TF.shock_inputs_curve( sdate,
FX_ins["swap"][0],
"SWAP",
shock_year,
BPS,
spread )
OIS_ans = BS_TF.shock_inputs_curve( sdate,
OIS_ins,
"OIS",
shock_year,
BPS,
spread )
""" Since we are shocking the inputs instruments
We have to rebootstrapping every time
"""
if currency != "BRL":
LIBOR_curve = BS_BT.boot_strapping_LIBOR_ccy( sdate,
currency,
ans_book,
Day_Counter )
FX_curve = BS_BT.boot_strapping_LIBOR_ccy( sdate,
currency,
fx_book,
Day_Counter )
else:
LIBOR_curve = BS_BT.boot_strapping_Zero_ccy( sdate,
currency,
ans_book,
Day_Counter )
FX_curve = BS_BT.boot_strapping_Zero_ccy( sdate,
currency,
fx_book,
Day_Counter )
OIS_Curve = BS_BT.boot_strapping_OIS_ccy( sdate,
currency,
OIS_ans,
Day_Counter )
LIBOR_curve = [(ele[0],ele[1]) for ele in LIBOR_curve]
FX_curve = [(ele[0],ele[1]) for ele in FX_curve]
OIS_Curve = [(ele[0],ele[1]) for ele in OIS_Curve]
return LIBOR_curve, OIS_Curve, FX_curve