def check_autoflow_limits(self):
ccy = self.get_ccy()
key_max = f'TradingParameters/CurrencyKeys/{ccy}/FXNDF/MaximumAmountAutoFlow'
max_autoflow = get_or_raise(
key_max, 'Erro ao consultar limite superior para notional')
if max_autoflow is not None and self.amount > max_autoflow:
msg = 'Notional acima do parâmetro e-sales'
raise RejectException(msg)
key_min = f'TradingParameters/CurrencyKeys/{ccy}/FXNDF/MinimumAmountAutoFlow'
min_autoflow = get_or_raise(
key_min, 'Erro ao consultar limite inferior para notional')
if min_autoflow is not None and self.amount < min_autoflow:
msg = 'Notional abaixo do parâmetro e-sales'
raise RejectException(msg)
key_max = f'FXSupplierControl/{ccy}/MaxQuantity'
max_autoflow_supplier = get_or_raise(
key_max,
'Erro ao consultar limite superior para notinal (fx supplier)')
if max_autoflow_supplier is not None and self.amount > max_autoflow_supplier:
msg = 'Notional acima do parâmetro fx-supplier'
raise RejectException(msg)
def check_dates_and_get_day_count(self):
sett_date_brl = self.get_settlement_date(self.get_brl())
sett_date_ccy = self.get_settlement_date(self.get_ccy())
sett_grid_ccy = self.get_settlement_grid(self.get_ccy())
if sett_date_brl not in sett_grid_ccy:
dates_str = ' '.join(map(str, sett_grid_ccy))
raise RejectException(f'Data de settlement inválida (datas válidas: {dates_str})')
if sett_date_ccy not in sett_grid_ccy:
dates_str = ' '.join(map(str, sett_grid_ccy))
raise RejectException(f'Data de settlement inválida (datas válidas: {dates_str})')
du_brl = sett_grid_ccy.index(sett_date_brl)
du_ccy = sett_grid_ccy.index(sett_date_ccy)
market_type = get_or_raise(f"LegalEntities/{self.cnpj}/FXMarketType", "Erro ao consultar tipo de mercado")
if market_type is None:
raise RejectException(f'Erro ao consultar tipo de mercado')
elif str(market_type) == '2': # cliente interbancário
if du_brl != du_ccy:
raise RejectException(f'Settlement descasado para operação no mercado secundário')
return du_brl, du_ccy
def price(self):
'''implementação do modelo de precificação de um instrumento SPOT'''
brl = self.get_brl()
ccy = self.get_ccy()
today = self.get_today()
sett_date_ccy = self.get_settlement_date(self.ccy)
du_brl = self.du_brl
du_ccy = self.du_ccy
self.check_autoflow_limits(du_ccy)
self.check_cutoff(du_ccy)
dc = np.int64((sett_date_ccy - today) / np.timedelta64(1, 'D'))
r_brl = self.get_settlement_rate(brl)
r_ccy = self.get_settlement_rate(ccy)
usd_future = self.get_usdbrl_future(self.get_bid_or_ask())
casado = self.get_casado()
usdbrl_quote = usd_future - casado
s_cost = self.get_scost(ccy, self.get_bid_or_ask())
s_cost_ccybrl = s_cost * ((1 + r_ccy) ** ((2 - dc) / 360.0)) / ((1 + r_brl) ** ((2 - du_brl) / 252.0))
precision = self.get_currency_precision(ccy)
s_cost_ccybrl = round(s_cost_ccybrl, precision)
cnpj = self.get_cnpj()
spread = self.get_spread(cnpj, ccy, self.get_side(), du_ccy)
if self.get_side() == 'Buy':
s_client = s_cost_ccybrl - float(spread)
else:
s_client = s_cost_ccybrl + float(spread)
if s_client <= 0.0:
raise RejectException('Notional abaixo do Parâmetro e-sales')
if self.result:
if not self.result.has_changed(s_client, precision):
raise ResultHasntChanged()
s_client = round(s_client, precision)
self.result = PriceSpotBase.Result()
self.result.quote = s_client
self.result.spread = float(spread)
self.result.settlement_ccy = du_ccy
self.result.settlement_brl = du_brl
self.result.amount_brl = round(self.get_amount() * s_client, 2)
self.result.amount_usd = round(self.get_amount() * usdbrl_quote)
self.result.revenue_brl = round(self.get_amount() * float(spread), 2)
self.result.settlement_date_ccy = str(sett_date_ccy)
self.result.settlement_date_brl = str(self.get_settlement_date(self.brl))
self.result.usdbrl_quote = usdbrl_quote
self.result.s_cost = s_cost
self.result.precision = precision
return self.result
def check_cutoff(self, settlement):
market_type = get_or_raise(f"LegalEntities/{self.cnpj}/FXMarketType", "Erro ao consultar tipo de mercado")
key = 'SpotConfig/CutOffTimes/'
if market_type and str(market_type) == '2': # cliente interbancário
cutoff = get_or_raise(f"{key}Secundary/Any/d{settlement}", "Erro ao consultar cutoff")
else:
ccy = self.get_ccy()
cutoff = get_or_raise(f"{key}Primary/{ccy}/d{settlement}", f"Erro ao consultar cutoff (ccy)")
if cutoff == '-':
raise RejectException('Transação acima do horário de corte')
hh_cutoff, mm_cutoff = map(int, cutoff.split(':'))
now = get_local_time().time() # dt.datetime.now().time()
if now.hour > hh_cutoff or (now.hour == hh_cutoff and now.minute > mm_cutoff):
raise RejectException('Transação acima do horário de corte')
def check_max_days_to_maturity(self, days):
ccy = self.get_ccy()
key = f'TradingParameters/CurrencyKeys/{ccy}/FXNDF/UpperLimitDays2Maturity'
limit = get_or_raise(
key, f'Erro ao consultar limite máximo para vencimento ({ccy})')
if days > limit:
msg = 'Vencimento acima do parâmetro e-sales (moeda)'
raise RejectException(msg)
key = f'TradingParameters/CounterpartyKeys/{self.cnpj}/FXNDF/UpperLimitDays2Maturity'
limit = get_or_raise(
key,
'Erro ao consultar limite máximo para vencimento (contraparte)')
if days > limit:
msg = 'Vencimento acima do parâmetro e-sales (contraparte)'
raise RejectException(msg)
def get_spread(self, cnpj, ccy, dc):
def get_bucket(buckets):
bucket = None
for index in range(0, len(buckets)):
if int(buckets[index]) >= dc:
bucket = index
break
return bucket
buckets = databus.get(
f'ClientSpreads/CounterpartySpreads/{cnpj}/FXNDF/Buckets')
spreads = databus.get(
f'ClientSpreads/CounterpartySpreads/{cnpj}/FXNDF/Spreads/{ccy}/BUYSELL'
)
bucket = get_bucket(buckets) if buckets is not None else None
counterparty_valid_spread = True
if None in (bucket, spreads) or (spreads and spreads[bucket] is None):
counterparty_valid_spread = False
if not counterparty_valid_spread:
group_name = databus.get(
f'LegalEntitiesRelationships/Groups_Spreads_FXNDF_Memberships/{cnpj}'
)
if group_name is None or group_name == "":
raise RejectException(f'Spread não cadastrado para CNPJ/Grupo')
buckets = databus.get(
f'ClientSpreads/GroupSpreads/{group_name}/FXNDF/Buckets')
spreads = databus.get(
f'ClientSpreads/GroupSpreads/{group_name}/FXNDF/Spreads/{ccy}/BUYSELL'
)
bucket = get_bucket(buckets) if buckets is not None else None
if None in (bucket, spreads) or (spreads
and spreads[bucket] is None):
raise RejectException('Spread não cadastrado para CNPJ/Grupo')
return spreads[bucket]
def get_spread(self, cnpj, ccy, side, du_ccy):
side = side.upper() # side foi colocado em upper no barramento.
spreads = databus.get(f'ClientSpreads/CounterpartySpreads/{cnpj}/FXSPOT/{ccy}/{side}')
if spreads is None or spreads[du_ccy] is None:
group_name = databus.get(f'LegalEntitiesRelationships/Groups_Spreads_FXSPOT_Memberships/{cnpj}')
if group_name is None or group_name == "":
raise RejectException('Spread não cadastrado para CNPJ/Grupo')
spreads = databus.get(f'ClientSpreads/GroupSpreads/{group_name}/FXSPOT/{ccy}/{side}')
raise_if_none(spreads, 'Spread não cadastrado para CNPJ/Grupo')
spread = spreads[du_ccy]
raise_if_none(spread, 'Spread não cadastrado para CNPJ/Grupo')
else:
spread = spreads[du_ccy]
return spread
def get_or_raise(key, message):
value = databus.get(key)
if value is None:
raise RejectException(message)
return value
def price(self):
self.check_autoflow_limits()
brl = self.get_brl()
ccy = self.get_ccy()
today = self.get_today()
fixing = self.get_fixing()
maturity = self.get_maturity()
amount = self.get_amount()
holidays_brl = get_holidays(brl)
d_n = count_business_days(fixing, maturity, holidays_brl)
maturity_adjusted = get_maturity_adjusted(maturity,
d_n,
holidays=holidays_brl)
dc = count_days(today, maturity_adjusted)
du = count_business_days(today,
maturity_adjusted,
holidays=holidays_brl)
self.check_max_days_to_maturity(dc)
ccy_discount_curve_name = self.get_discount_curve_name(ccy)
brl_discount_curve_name = self.get_discount_curve_name(brl)
ccy_curve_dates = self.get_discount_curve_dates(
ccy_discount_curve_name)
brl_curve_dates = self.get_discount_curve_dates(
brl_discount_curve_name)
side = self.get_side()
if side == 'Buy':
ys_brl = self.get_discount_curve_values(brl_discount_curve_name,
'bid')
ys_ccy = self.get_discount_curve_values(ccy_discount_curve_name,
'offer')
else:
ys_brl = self.get_discount_curve_values(brl_discount_curve_name,
'offer')
ys_ccy = self.get_discount_curve_values(ccy_discount_curve_name,
'bid')
dus_brl = list(
map(lambda x: count_business_days(today, x, holidays=holidays_brl),
brl_curve_dates))
dcs_ccy = list(map(lambda x: count_days(today, x), ccy_curve_dates))
y_brl = round(interpolation(dus_brl, ys_brl, du, 252), 6)
y_ccy = interpolation(dcs_ccy, ys_ccy, dc, 360)
y_ccy = round(((1 + y_ccy)**(dc / 360.0) - 1) * (360.0 / dc), 6)
precision = self.get_currency_precision(ccy)
s_cost = self.get_scost(ccy, 'Ask' if side != 'Buy' else 'Bid')
s_cost = round(s_cost, precision)
f_cost = s_cost * ((1 + y_brl)**(du / 252.0)) / (1 + y_ccy *
(dc / 360.0))
f_cost = round(f_cost, precision)
lower_limit_revenue = self.get_lower_limit_revenue(ccy)
fmin = (lower_limit_revenue / amount) * ((1 + y_brl)**(du / 252))
spread = self.get_spread(self.get_cnpj(), ccy, dc)
fop = max(fmin, spread) # TODO: add ceiling
signal = -1 if side == 'Sell' else 1
quote = f_cost - (fop * signal)
y_ccy_custo = ((s_cost / quote) *
(1 + y_brl)**(du / 252.0) - 1) * (360.0 / dc)
quote = round(quote, precision)
if quote <= 0.0:
raise RejectException(
'Notional abaixo do parâmetro e-sales (receita)')
if side == 'Buy':
s_client = y_ccy_custo - y_ccy
revenue = amount * abs(quote - f_cost) / (
(1 + y_brl)**(du / 252.0))
else:
s_client = y_ccy - y_ccy_custo
revenue = amount * abs(f_cost - quote) / (
(1 + y_brl)**(du / 252.0))
y_ccy_custo = round(y_ccy_custo, 6)
s_client = round(s_client, 6)
if self.result:
if not self.result.has_changed(quote, precision, revenue):
raise ResultHasntChanged()
# cálculo do valor presente, se robo esta vendendo, valor deve ser negativo;
present_value_brl = round(
s_cost * (amount / (1 + y_ccy * (dc / 360.0))) * signal, 2)
present_value_ccy = round(present_value_brl / s_cost, precision)
# TODO: apagar esse trecho de código. O propósito desse trecho abaixo é para conseguir realizar
# alguns testes no BV.
if os.getenv('DATA_CONSULTA_PFE'):
data_consulta_dt = dt.datetime.strptime(
os.getenv('DATA_CONSULTA_PFE'), '%Y-%m-%d')
log_info(f'data da consulta pdf = {data_consulta_dt}')
else:
data_consulta_dt = self.get_today().astype(dt.datetime)
pfe_inst = PotentialFutureExposure()
try:
pfe_success = pfe_inst.execute(ccy=self.get_ccy(),
side=self.get_side(),
prazo_consumo=dc,
data_consulta=data_consulta_dt)
except Exception:
raise # TODO: tratar erro de maneira adequada
f_pfe = pfe_success.value # prep_and_get_pfe(self, dc)
brl_risk = f_pfe * abs(present_value_brl) + revenue
spread_risk = (1 + revenue / brl_risk)**(360.0 / dc) - 1
spread_notional = (1 + revenue / abs(present_value_brl))**(360.0 /
dc) - 1
self.result = PriceNDFBase.Result()
self.result.spread = fop
self.result.pre_brl = y_brl
self.result.cupom_ccy = y_ccy
self.result.fop = fop
self.result.fmin = fmin
self.result.quote = quote
self.result.value_brl = round(quote * amount, 2)
self.result.revenue_brl = revenue
self.result.present_value_brl = present_value_brl
self.result.present_value_ccy = present_value_ccy
self.result.brl_risk = brl_risk
self.result.spread_risk = spread_risk
self.result.spread_notional = spread_notional
self.result.dc = dc
self.result.du = du
self.result.dn = d_n # business days entre fixing e settlement.
self.result.s_cost = s_cost
self.result.f_cost = f_cost
self.result.s_client = s_client
self.result.forward_points = round(quote - s_cost, precision)
self.result.y_brl = y_brl
self.result.y_ccy = y_ccy
self.result.y_ccy_client = y_ccy_custo
self.result.f_pfe = f_pfe
self.result.side = side
self.result.adjusted_maturity = str(maturity_adjusted)
self.result.precision = precision
return self.result