def py_ObjectExists(objectId):
errVec = pk.Str_Vec()
objectIds = pk.Str_Vec(objectId)
result = pk.PkInt_Vec()
pk.pk_ObjectExists(objectIds, result, errVec)
peakHelper.checkPeakErr(errVec)
return result[0]
def py_getSwapIndex(convention):
'''
FR007, Shibor3M
'''
errVec = pk.Str_Vec()
settlementType = 0 # 0 for MF, 1 for Unadjusted
result = pk.Str_Vec()
pk.pk_GetSwapConvention(convention, settlementType, result, errVec)
peakHelper.checkPeakErr(errVec)
return result[1]
def py_IndexAssignedFixings(indexId):
errVec = pk.Str_Vec()
fixingDates = pk.PkInt_Vec()
result = pk.Double_Vec()
resultDates = pk.PkInt_Vec()
pk.pk_IndexAssignedFixings(indexId, fixingDates, result, resultDates,
errVec)
peakHelper.checkPeakErr(errVec)
peakDate = tuple((peakHelper.pkDateToDate(i) for i in resultDates))
fixing = peakHelper.pkVecToList(result)
print(peakDate, fixing)
def py_SwapInfo(objId, legNumber, asOfDate, resultFormat=''):
resultMap = pk.Matrix_Map()
errVec = pk.Str_Vec()
rc = pk.pk_SwapInfo(peakHelper.listToPkVec(objId), legNumber,
peakHelper.dateToPkDate(asOfDate), resultFormat,
resultMap, errVec)
peakHelper.checkPeakErr(errVec)
result = peakHelper.unpackMatrix_Map(resultMap)
for k, v in result.iteritems():
if len(v[0]) == 2:
if v[0][0] == 'Key':
result[k] = dict(v[1:])
elif len(v) == 2:
result[k] = dict(zip(v[0], v[1]))
return result
def py_SwapContract(swapId, convention, anchorDate, settleDate, maturity,
notional, fixedRate):
'''convention is one of CNY_REPO_7D CNY_SHIBOR_3M CNY_SHIBOR_ON CNY_DEPO_1Y
'''
errVec = pk.Str_Vec()
result = pk.Param_VecVec()
pk.pk_SwapContract(swapId, convention, peakHelper.dateToPkDate(anchorDate),
pk.Param_t(settleDate), pk.Param_t(maturity), notional,
fixedRate, result, errVec)
peakHelper.checkPeakErr(errVec)
created = result[0]
if created:
created = created[0]
if created.isString():
created = created.asString()
return created
def py_SwapLegNPV(swapIds,
forwardCurveId,
discountCurveId,
cfAfterDate=None,
legNumber=pk.PkMissingInt,
cfAfterDateInclusive=False,
forecastTodaysFixing=False,
debugLevel=0):
errVec = pk.Str_Vec()
result = pk.Param_VecVec()
cfAfterDate = peakHelper.dateToPkDate(
cfAfterDate) if cfAfterDate else pk.PkMissingDate
rc = pk.pk_SwapLegNPV(peakHelper.listToPkVec(swapIds), legNumber,
forwardCurveId, discountCurveId, cfAfterDate,
cfAfterDateInclusive, forecastTodaysFixing,
debugLevel, result, errVec)
peakHelper.checkPeakErr(errVec)
return peakHelper.unpackVecVecResult(result)
def py_VanillaSwapFairRate(swapIds,
forwardCurveIds,
discountCurveIds,
forecastTodaysFixing=False):
errVec = pk.Str_Vec()
result = pk.Param_VecVec()
coefficients = pk.Double_Vec()
leafInstrumentArgsBase_Vec = pk.YCLeafInstrumentArgsBase_Vec()
curveMap = pk.Str_VecVec()
curveSuffix = pk.PkMissingString
rateOrSpread = pk.Str_Vec()
#Str_Vec objIds, Str_Vec forwardCurveIds, Str_Vec discountCurveIds, Double_Vec coefficients, YCLeafInstrumentArgsBase_Vec leafInstrumentArgsBase, PkCommon::PkBool const & forecastTodaysFixing, Str_VecVec curveMapIn, Param_VecVec result, Str_Vec errVec, std::string const & curveSuffix, Str_Vec rateOrSpread
rc = pk.pk_VanillaSwapFairRate(peakHelper.listToPkVec(swapIds),
peakHelper.listToPkVec(forwardCurveIds),
peakHelper.listToPkVec(discountCurveIds),
coefficients, leafInstrumentArgsBase_Vec,
forecastTodaysFixing, curveMap, result,
errVec, curveSuffix, rateOrSpread)
#rc =pk.pk_VanillaSwapFairRate(peakHelper.listToPkVec(swapIds), peakHelper.listToPkVec(forwardCurveIds), peakHelper.listToPkVec(discountCurveIds), coefficients, leafInstrumentArgsBase, forecastTodaysFixing, curveMap, result, errVec)
peakHelper.checkPeakErr(errVec)
return peakHelper.unpackVecVecResult(result)
def py_BuildSwapCurve(curveName,
anchorDate,
indexName,
tenors,
rates,
extFwdCurve,
extDiscCurve='',
startTenors=[],
useExtCurveAsBase=False,
template=''):
'''returns forwardCurveId, discountCurveId, curveEngineId
'''
result = pk.Param_VecVec()
errVec = pk.Str_Vec()
rc = pk.pk_BuildSwapCurve(curveName, peakHelper.dateToPkDate(anchorDate),
indexName, peakHelper.listToPkVec(startTenors),
peakHelper.listToPkVec(tenors),
peakHelper.listToPkVec(rates, pk.Double_Vec),
extFwdCurve, extDiscCurve, result, errVec,
useExtCurveAsBase, template)
peakHelper.checkPeakErr(errVec)
names = tuple(rc)
return names, peakHelper.unpackVecVecResult(result)
def py_SwapLegAnalysis(swapId,
legNumber,
afterDate,
forwardCurveId,
discountCurveId,
afterDateInclusive=True,
forecastTodaysFixing=True,
useSqlFriendlyColHeaders=True,
selectedColumns='All',
toDate=None):
errVec = pk.Str_Vec()
result = pk.Param_VecVec()
if isinstance(selectedColumns, str):
selectedColumns = [selectedColumns]
selectedColumns = peakHelper.listToPkVec(selectedColumns)
rc = pk.pk_SwapLegAnalysis(swapId, legNumber,
peakHelper.dateToPkDate(afterDate),
forwardCurveId, discountCurveId,
afterDateInclusive, forecastTodaysFixing,
useSqlFriendlyColHeaders, selectedColumns,
peakHelper.dateToPkDate(toDate), result, errVec)
peakHelper.checkPeakErr(errVec)
return peakHelper.unpackVecVecResult(result)
def py_IndexAddFixings(indexId, fixingDates, fixingValues):
errVec = pk.Str_Vec()
rc = pk.pk_IndexAddFixings(indexId, peakHelper.listToPkVec(fixingDates),
peakHelper.listToPkVec(fixingValues), errVec)
peakHelper.checkPeakErr(errVec)
return rc