def _calculateBODRisk(self,
contract,
riskTenors=[],
startTenors=[],
rates=[]):
riskCurveId = '_risk_%s' % 'BOD'
rc = self._buildSwapCurve(riskCurveId,
self.endDate,
self.indexName,
self.bodIndexCurve,
self.bodDiscCurve,
riskTenors,
startTenors,
riskRates=rates)
fwdCurveName, discCurveName, curveEngineName = rc[0]
numCurvePoints = len(riskTenors)
fairRates = self._extractFairRate(rc)
# print 'FairRates: ', fairRates
print '\nBuilding curve pack for BOD risk'
curveDate = self.endDate
curvePackName = '_riskCurvePack_%s' % curveDate.strftime('%Y%m%d')
rc = p.py_BuildCurvePack(curvePackName, curveEngineName)
print 'Built curve pack %s' % rc
curveMap = [('Index', 'Curve'), (self.curveMapIndex, fwdCurveName)]
print '\nCalculating BOD risk...'
rcIndex = p.py_CurvePackRisk(curvePackName,
instrumentNames=[contract],
curveMap=curveMap,
discountCurveName=discCurveName,
showBasePv=True,
riskMode="index")
rcDisc = p.py_CurvePackRisk(curvePackName,
instrumentNames=[contract],
curveMap=curveMap,
discountCurveName=discCurveName,
showBasePv=True,
riskMode="discount")
# print('\nCurvePackRisk:')
# pprint.pprint(rc)
return (rcIndex, rcDisc, fairRates)
def runIMMRIsk():
bucketDates = p.py_IMMNextDates(anchorDate, 30, '3M',
datetime.date(2025, 2, 25), 'CFFEX')
print '\n\nIMM dates: '
pprint.pprint(bucketDates)
bucketDates = [anchorDate] + list(bucketDates)
rc = p.py_BuildRPCurvePack(curvePackName, [curveName, discCurveName],
bucketDates)
print '\nBuilt RP curve pack: %s' % rc
rc = p.py_CurvePackRisk(curvePackName,
instrumentNames=[swapId],
curveMap=[('Index', 'Curve'),
('_' + indexName, curveName)],
discountCurveName=discCurveName,
showBasePv=True)
print '\nCurvePackRisk:'
pprint.pprint(rc)
def runCFETSCurveRisk():
rc = p.py_BuildSwapCurve(swapCurveId, anchorDate, indexName, tenors, rates,
curveName, discCurveName)
print '\n\nBuilt swap curve: '
pprint.pprint(rc, width=500)
curve, discCurve, curveEngineName = rc[0]
rc = p.py_BuildCurvePack(curvePackName, curveEngineName)
print '\nBuilt curve pack %s' % rc
rc = p.py_CurvePackRisk(curvePackName,
instrumentNames=[swapId],
curveMap=[('Index', 'Curve'),
('_' + indexName, curve)],
discountCurveName=discCurve,
showBasePv=True)
pprint.pprint('\nCurvePackRisk:')
pprint.pprint(rc)
def _calculateRisk(self,
curveTemplate='RISK',
ignoreFixing=False,
startTenors=[]):
curveEngineName, indexCurveName, discCurveName = self._createSwapCurve(
curveTemplate=curveTemplate, startTenors=startTenors)
rc = p.py_BuildCurvePack(self.curvePackName, curveEngineName)
print 'Built curve pack %s' % rc
curveMap = [('Index', 'Curve'), ('_' + self.indexName, indexCurveName)]
rc = p.py_CurvePackRisk(self.curvePackName,
instrumentNames=[self.contract],
curveMap=curveMap,
discountCurveName=discCurveName,
forecastTodaysFixing=ignoreFixing,
showBasePv=True)
pprint.pprint('\nCurvePackRisk:')
pprint.pprint(rc)
return rc
def _calculateRisk(self, curve, curveDate):
tenors, rates = self.pdayMktData
riskCurveId = '_risk_%s' % self.indexName
# rc = p.py_BuildSwapCurve(riskCurveId, self.endDate, self.indexName, tenors, rates, curve, useExtCurveAsBase=False, template='RISK')
rc = p.py_BuildSwapCurve(riskCurveId, curveDate, self.indexName,
tenors, rates, curve)
fwdCurveName, discCurveName, curveEngineName = rc[0]
curvePackName = '_riskCurvePack_%s' % curveDate.strftime('%Y%m%d')
rc = p.py_BuildCurvePack(curvePackName, curveEngineName)
print 'Built curve pack %s' % rc
curveMap = [('Index', 'Curve'), ('_' + self.indexName, fwdCurveName)]
rc = p.py_CurvePackRisk(curvePackName,
instrumentNames=[self.contract],
curveMap=curveMap,
discountCurveName=discCurveName,
showBasePv=True)
# print('\nCurvePackRisk:')
# pprint.pprint(rc)
return rc
def runIMMRisk(self):
curve = self._createCfetsCurve()
bucketDates = p.py_IMMNextDates(self.anchorDate, 40, '3M',
datetime.date(2028, 12, 23), 'CFFEX')
print '\n\nIMM dates: '
pprint.pprint(bucketDates)
bucketDates = [self.anchorDate] + list(bucketDates)
rc = p.py_BuildRPCurvePack(self.curvePackName, [curve, curve],
bucketDates)
print '\nBuilt RP curve pack: %s' % rc
curveMap = curveMap = [('Index', 'Curve'),
('_' + self.indexName, curve)]
rc = p.py_CurvePackRisk(self.curvePackName,
instrumentNames=[self.contract],
curveMap=curveMap,
discountCurveName=curve,
showBasePv=True)
print '\nCurvePackRisk:'
pprint.pprint(rc)
def _calculateIMMEstimate(self, contract):
print '\nBuilding IMM curve pack'
curveDate = self.endDate
curvePackName = '_immriskCurvePack_%s' % curveDate.strftime('%Y%m%d')
immDates = p.py_IMMNextDates(self.endDate, 40, '3M',
datetime.date(2028, 12, 23), 'CFFEX')
# print '\n\nIMM dates: '
# pprint.pprint(immDates)
startDates = [self.endDate] + list(immDates)[:-1]
rc = p.py_BuildRPCurvePack(curvePackName,
[self.bodIndexCurve, self.bodDiscCurve],
startDates)
print '\nBuilt RP curve pack: %s' % rc
curveMap = [('Index', 'Curve'),
(self.curveMapIndex, self.bodIndexCurve)]
rcDisc = p.py_CurvePackRisk(curvePackName,
instrumentNames=[contract],
curveMap=curveMap,
discountCurveName=self.bodDiscCurve,
showBasePv=True,
riskMode='discount')
discDelta = [r[1] for r in rcDisc[2:]]
rcIndex = p.py_CurvePackRisk(curvePackName,
instrumentNames=[contract],
curveMap=curveMap,
discountCurveName=self.bodDiscCurve,
showBasePv=True,
riskMode='index')
indexDelta = [r[1] for r in rcIndex[2:]]
"""
print '\nCurvePackRisk:'
print 'Index risk:'
pprint.pprint(rcIndex)
print 'Discount risk:'
pprint .pprint(rcDisc)
"""
bodIndexRates = p.py_YieldTSForwardRate(self.bodIndexCurve, startDates,
immDates, self.dayCount)
bodDiscRates = p.py_YieldTSForwardRate(self.bodDiscCurve, startDates,
immDates, self.dayCount)
"""
print "Index forward rates:"
print bodIndexRates
print "Discount forward rates:"
print bodDiscRates
"""
liveIndexRates = p.py_YieldTSForwardRate(self.liveIndexCurve,
startDates, immDates,
self.dayCount)
liveDiscRates = p.py_YieldTSForwardRate(self.liveDiscCurve, startDates,
immDates, self.dayCount)
"""
print "Index forward rates:"
print liveIndexRates
print "Discount forward rates:"
print liveDiscRates
"""
indexEstimate = [
risk * (live - bod) * 10000.0 for risk, live, bod in zip(
indexDelta, liveIndexRates, bodIndexRates)
]
discEstimate = [
risk * (live - bod) * 10000.0
for risk, live, bod in zip(discDelta, liveDiscRates, bodDiscRates)
]
print 'IMM dates:'
symDates = p.py_IMMDateToSymbol(immDates)
print symDates
print ', '.join(['{:,.0f}'] *
len(indexEstimate)).format(*indexEstimate)
print ', '.join(['{:,.0f}'] * len(discEstimate)).format(*discEstimate)
immEstimate = sum(indexEstimate) + sum(discEstimate)
return immEstimate