def __init__(self):
self.zcrv = ql.ZCurve()
self.bma = ql.RatioCurve(datadivisor=100.0)
self.govt = GovtCurve()
self.bcrv = self.govt.termstructure
self.ussv = VolCurve(datadivisor=100.0)
self.mmascale = Scale(call=("10Y", 100.0), datadivisor=100.0,
coupon="par")
self.mmdscale = Scale(call=("10Y", 100.0), datadivisor=100.0,
coupon=.05)
self.curvenames_ = ('zcrv', 'bma', 'govt', 'bcrv', 'ussv',
'mmascale', 'mmdscale')
class marketcurves(object):
def __init__(self):
self.zcrv = ql.ZCurve()
self.bma = ql.RatioCurve(datadivisor=100.0)
self.govt = GovtCurve()
self.bcrv = self.govt.termstructure
self.ussv = VolCurve(datadivisor=100.0)
self.mmascale = Scale(call=("10Y", 100.0), datadivisor=100.0,
coupon="par")
self.mmdscale = Scale(call=("10Y", 100.0), datadivisor=100.0,
coupon=.05)
self.curvenames_ = ('zcrv', 'bma', 'govt', 'bcrv', 'ussv',
'mmascale', 'mmdscale')
@property
def curves_(self):
return dict(zip(self.curvenames_,
tuple([getattr(self, crv, None)
for crv in self.curvenames_])))
def update(self, curvedate, _swapsettle, _marketdata):
"""
Update from MarketFile structure.
"""
print("updating")
self.curvedate = curvedate
self.swapsettle = _swapsettle
self.zcrv.from_pfile(_swapsettle, _marketdata['pfile'])
self.bma.update(self.zcrv, _marketdata['bmaswaps'])
self.govt.update(_marketdata['ustotr'], curvedate)
self.ussv.update(_marketdata['ussv'])
self.mmascale.update(_marketdata['mma'], curvedate)
self.tenorlevels_ = {'zcrv': self.zcrv.tenorpar,
'bma': self.bma.parRatio,
'bcrv': self.bcrv.tenorpar,
'ussv': self.ussv,
'mma': lambda tnr: marketdata['mma'].get(tnr, " ")/100.,
'govt': lambda tnr: self.govt.tenor(tnr)['yield']
}
def updateMMD(self, tenors, curve):
'''
TODO: need to be able to create bonds without curve
'''
if hasattr(self, "curvedate"):
tenors = tuple(rowIfColumn(tenors))
curve = tuple(rowIfColumn(curve))
_marketdata = dict(zip(tenors, curve))
self.mmdscale.update(_marketdata, self.curvedate)
def tenorlevels(self, tenor):
tnr = tenor.upper()
return dict([(crv, self.tenorlevels_[crv](tenor))
for crv in self.tenorlevels_])
def __getitem__(self, key):
return getattr(self, key, None)
def get(self, key, defvalue=None):
return getattr(self, key, defvalue)
def modelCurve(self, spreaddata):
self.modelcurve = ModelScale(self.zcrv,
spreaddata,
self.mmascale.curvedate)
self.model = self.modelcurve.termstructure
# add to directory
self.curvenames_ += ('model',)
self.tenorlevels_['model'] = self.model.tenorpar