def adjust(cls, pydate, calendar=None, convention=None):
if not calendar:
calendar = cls.TARGET()
elif not hasattr(calendar, "adjust"):
return None
if not convention:
convention = BusinessDayConventions.Following
qldate = qldate_from_pydate(parse_date(pydate))
try:
return pydate_from_qldate(calendar.adjust(qldate, convention))
except:
try:
return pydate_from_qldate(calendar().adjust(qldate, convention))
except:
return None
def advance(cls, pydate, n, timeunit=None, calendar=None, convention=None):
"""
Advance pydate according the specified calendar and convention
:pydate: e.g. 19600809, date(1964, 9, 29), '5-23-1993'
:n: integer
:timeunit: e.g., enums.TimeUnits.Days
usage
-----
Note 9/6/1980 is a weekend
>>> Calendars.advance(19800906, 1)
datetime.date(1980, 9, 8)
"""
if not calendar:
calendar = cls.TARGET()
elif not hasattr(calendar, "advance"):
return None
if not convention:
convention = BusinessDayConventions.Following
if not timeunit:
timeunit = TimeUnits.Days
qldate = qldate_from_pydate(parse_date(pydate))
try:
return pydate_from_qldate(calendar.advance(qldate, n, timeunit))
except:
try:
return pydate_from_qldate(
calendar().advance(qldate, n, timeunit)
)
except:
print("failure {}".format(qldate))
return None
def adjust(cls, pydate, calendar=None, convention=None):
if not calendar:
calendar = cls.TARGET()
elif not hasattr(calendar, "adjust"):
return None
if not convention:
convention = BusinessDayConventions.Following
qldate = qldate_from_pydate(parse_date(pydate))
try:
return pydate_from_qldate(calendar.adjust(qldate, convention))
except:
try:
return pydate_from_qldate(calendar().adjust(
qldate, convention))
except:
return None
def advance(cls, pydate, n, timeunit=None, calendar=None, convention=None):
"""
Advance pydate according the specified calendar and convention
:pydate: e.g. 19600809, date(1964, 9, 29), '5-23-1993'
:n: integer
:timeunit: e.g., enums.TimeUnits.Days
usage
-----
Note 9/6/1980 is a weekend
>>> Calendars.advance(19800906, 1)
datetime.date(1980, 9, 8)
"""
if not calendar:
calendar = cls.TARGET()
elif not hasattr(calendar, "advance"):
return None
if not convention:
convention = BusinessDayConventions.Following
if not timeunit:
timeunit = TimeUnits.Days
qldate = qldate_from_pydate(parse_date(pydate))
try:
return pydate_from_qldate(calendar.advance(qldate, n, timeunit))
except:
try:
return pydate_from_qldate(calendar().advance(
qldate, n, timeunit))
except:
print("failure {}".format(qldate))
return None
def test_creation(self):
# Market information
settings = Settings(calendar = TARGET())
calendar = settings.calendar
settlement_date = Date(18, September, 2008)
# must be a business day
settlement_date = calendar.adjust(settlement_date);
# must be a business day
settings.evaluation_date = pydate_from_qldate(
calendar.advance(settlement_date, -2, Days)
)
quotes = [0.0096, 0.0145, 0.0194]
tenors = [3, 6, 12]
rate_helpers = []
deposit_day_counter = Actual365Fixed()
convention = ModifiedFollowing
end_of_month = True
for quote, month in zip(quotes, tenors):
tenor = Period(month, Months)
fixing_days = 3
helper = DepositRateHelper(
quote, tenor, fixing_days, calendar, convention, end_of_month,
deposit_day_counter
)
rate_helpers.append(helper)
ts_day_counter = ActualActual(ISDA)
tolerance = 1.0e-15
ts = term_structure_factory(
'discount', 'loglinear', settlement_date, rate_helpers,
ts_day_counter, tolerance
)
self.assertIsNotNone(ts)
self.assertEquals( Date(18, September, 2008), ts.reference_date)
# this is not a real test ...
self.assertAlmostEquals(0.9975, ts.discount(Date(21, 12, 2008)), 4)
def advance(self,
date_,
convention=Unadjusted,
calendar=TARGET(),
reverse=False,
aspy=True):
date_ = qldate_from_pydate(date_)
length_ = self.length if not reverse else -self.length
date_ = calendar.advance(date_, length_, self.timeunit,
convention=convention)
return date_ if not aspy else pydate_from_qldate(date_)
def advance(self,
date_,
convention=Unadjusted,
calendar=TARGET(),
reverse=False,
aspy=True):
date_ = qldate_from_pydate(date_)
length_ = self.length if not reverse else -self.length
date_ = calendar.advance(date_,
length_,
self.timeunit,
convention=convention)
return date_ if not aspy else pydate_from_qldate(date_)
def test_creation(self):
# Market information
settings = Settings(calendar=TARGET())
calendar = settings.calendar
settlement_date = Date(18, September, 2008)
# must be a business day
settlement_date = calendar.adjust(settlement_date)
# must be a business day
settings.evaluation_date = pydate_from_qldate(
calendar.advance(settlement_date, -2, Days))
quotes = [0.0096, 0.0145, 0.0194]
tenors = [3, 6, 12]
rate_helpers = []
deposit_day_counter = Actual365Fixed()
convention = ModifiedFollowing
end_of_month = True
for quote, month in zip(quotes, tenors):
tenor = Period(month, Months)
fixing_days = 3
helper = DepositRateHelper(quote, tenor, fixing_days, calendar,
convention, end_of_month,
deposit_day_counter)
rate_helpers.append(helper)
ts_day_counter = ActualActual(ISDA)
tolerance = 1.0e-15
ts = term_structure_factory('discount', 'loglinear', settlement_date,
rate_helpers, ts_day_counter, tolerance)
self.assertIsNotNone(ts)
self.assertEquals(Date(18, September, 2008), ts.reference_date)
# this is not a real test ...
self.assertAlmostEquals(0.9975, ts.discount(Date(21, 12, 2008)), 4)
def test_using_settings(self):
settings = Settings()
ql_date_today = Date(12, January, 2012)
evaluation_date = pydate_from_qldate(ql_date_today)
# have to set the evaluation date before the test as it is a global
# attribute for the whole library ... meaning that previous test_cases
# might have set this to another date
settings.evaluation_date = evaluation_date
self.assertTrue(
evaluation_date == settings.evaluation_date
)
self.assertTrue(settings.version.startswith('1'))
def schedule(self,
settle_,
maturity_,
convention=Unadjusted,
calendar=TARGET(),
aspy=True):
'''
tenor('3m').schedule(settleDate, maturityDate) or
tenor('3m').schedule(settleDate, '10Y')
gives a schedule of dates from settleDate to maturity with a
short front stub.
'''
settle_ = qldate_from_pydate(settle_)
mty_ = qldate_from_pydate(maturity_)
sched = []
if type(maturity_) == str and not mty_:
maturity_ = Tenor(maturity_).advance(settle_,
convention=convention,
calendar=calendar)
else:
maturity_ = mty_
dt = maturity_
while dt.serial > settle_.serial:
sched.append(calendar.adjust(dt, convention))
dt = self.advance(dt, reverse=True)
else:
sched.append(settle_)
sched.sort(key=lambda dt: dt.serial)
if aspy:
sched = [pydate_from_qldate(dt) for dt in sched]
return sched
def schedule(self, settle_, maturity_, convention=Unadjusted,
calendar=TARGET(),
aspy=True):
'''
tenor('3m').schedule(settleDate, maturityDate) or
tenor('3m').schedule(settleDate, '10Y')
gives a schedule of dates from settleDate to maturity with a
short front stub.
'''
settle_ = qldate_from_pydate(settle_)
mty_ = qldate_from_pydate(maturity_)
sched = []
if type(maturity_) == str and not mty_:
maturity_ = Tenor(maturity_).advance(settle_,
convention=convention,
calendar=calendar
)
else:
maturity_ = mty_
dt = maturity_
while dt.serial > settle_.serial:
sched.append(calendar.adjust(dt, convention))
dt = self.advance(dt, reverse=True)
else:
sched.append(settle_)
sched.sort(key=lambda dt: dt.serial)
if aspy:
sched = [pydate_from_qldate(dt) for dt in sched]
return sched