def leg_from_proto_v2(
leg_proto: ir_swap.SwapLeg
) -> Union[coupon_specs.FixedCouponSpecs, coupon_specs.FloatCouponSpecs]:
"""Initialized coupon specifications from a proto instance."""
if leg_proto.HasField("fixed_leg"):
leg = leg_proto.fixed_leg
coupon_freq = leg.coupon_frequency.type
coupon_freq, coupon_freq_multiplier = _frequency_and_multiplier(
coupon_freq)
return coupon_specs.FixedCouponSpecs(
currency=[currencies.from_proto_value(leg.currency)],
coupon_frequency=(coupon_freq, [
coupon_freq_multiplier * leg.coupon_frequency.amount
]),
notional_amount=[
instrument_utils.decimal_to_double(leg.notional_amount)
],
fixed_rate=[instrument_utils.decimal_to_double(leg.fixed_rate)],
settlement_days=[leg.settlement_days],
businessday_rule=business_days.convention_from_proto_value(
leg.business_day_convention),
daycount_convention=daycount_conventions.from_proto_value(
leg.daycount_convention),
calendar=business_days.holiday_from_proto_value(leg.bank_holidays))
else:
leg = leg_proto.floating_leg
# Get the index rate object
rate_index = leg.floating_rate_type
rate_index = rate_indices.RateIndex.from_proto(rate_index)
rate_index.name = [rate_index.name]
rate_index.source = [rate_index.source]
coupon_freq = leg.coupon_frequency.type
coupon_freq, coupon_freq_multiplier = _frequency_and_multiplier(
coupon_freq)
reset_freq = leg.reset_frequency.type
reset_freq, reset_freq_multiplier = _frequency_and_multiplier(
reset_freq)
return coupon_specs.FloatCouponSpecs(
currency=[currencies.from_proto_value(leg.currency)],
coupon_frequency=(coupon_freq, [
coupon_freq_multiplier * leg.coupon_frequency.amount
]),
reset_frequency=(reset_freq, [
reset_freq_multiplier * leg.reset_frequency.amount
]),
notional_amount=[
instrument_utils.decimal_to_double(leg.notional_amount)
],
floating_rate_type=[rate_index],
settlement_days=[leg.settlement_days],
businessday_rule=business_days.convention_from_proto_value(
leg.business_day_convention),
daycount_convention=daycount_conventions.from_proto_value(
leg.daycount_convention),
spread=[instrument_utils.decimal_to_double(leg.spread)],
calendar=business_days.holiday_from_proto_value(leg.bank_holidays))
def _get_keys(leg: ir_swap.SwapLeg) -> Tuple[List[Any], List[Any]]:
"""Computes key values for a function that partitions swaps into batches."""
if leg.HasField("fixed_leg"):
fixed_leg = leg.fixed_leg
key_1 = _fixed_leg_key(fixed_leg)
key_2 = 7 * [None]
else:
floating_leg = leg.floating_leg
key_1 = 4 * [None]
key_2 = _floating_leg_key(floating_leg)
# len(key_1) + len(key_2) = 11 - this is the number of features involved into
# the batching procedure
return key_1, key_2
def leg_from_proto(
leg_proto: ir_swap.SwapLeg) -> Union[coupon_specs.FixedCouponSpecs,
coupon_specs.FloatCouponSpecs]:
"""Initialized coupon specifications from a proto instance."""
if leg_proto.HasField("fixed_leg"):
leg = leg_proto.fixed_leg
return coupon_specs.FixedCouponSpecs(
currency=currencies.from_proto_value(leg.currency),
coupon_frequency=leg.coupon_frequency,
notional_amount=[instrument_utils.decimal_to_double(
leg.notional_amount)],
fixed_rate=[instrument_utils.decimal_to_double(
leg.fixed_rate)],
settlement_days=[leg.settlement_days],
businessday_rule=business_days.convention_from_proto_value(
leg.business_day_convention),
daycount_convention=daycount_conventions.from_proto_value(
leg.daycount_convention),
calendar=business_days.holiday_from_proto_value(leg.bank_holidays))
else:
leg = leg_proto.floating_leg
return coupon_specs.FloatCouponSpecs(
currency=currencies.from_proto_value(leg.currency),
coupon_frequency=leg.coupon_frequency,
reset_frequency=leg.reset_frequency,
notional_amount=[instrument_utils.decimal_to_double(
leg.notional_amount)],
floating_rate_type=[rate_indices.from_proto_value(
leg.floating_rate_type)],
settlement_days=[leg.settlement_days],
businessday_rule=business_days.convention_from_proto_value(
leg.business_day_convention),
daycount_convention=daycount_conventions.from_proto_value(
leg.daycount_convention),
spread=[instrument_utils.decimal_to_double(leg.spread)],
calendar=business_days.holiday_from_proto_value(leg.bank_holidays))