def daycount(cls, date1, date2, daycounter=None):
pydate1, pydate2 = map(parse_date, (date1, date2))
if not daycounter:
daycounter = cls.ActualActual()
qldate1 = qldate_from_pydate(pydate1)
qldate2 = qldate_from_pydate(pydate2)
return daycounter.day_count(qldate1, qldate2)
def daycount(cls, date1, date2, daycounter=None):
pydate1, pydate2 = map(parse_date, (date1, date2))
if not daycounter:
daycounter = cls.ActualActual()
qldate1 = qldate_from_pydate(pydate1)
qldate2 = qldate_from_pydate(pydate2)
return daycounter.day_count(qldate1, qldate2)
def fromdates(cls, settle, maturity, daycount=ActualActual()):
'''
Returns the tenor associated with settlement and maturity.
'''
settle = qldate_from_pydate(settle)
maturity = qldate_from_pydate(maturity)
years_ = daycount.year_fraction(settle, maturity)
if years_ >= 1.0:
t = "".join((str(int(round(years_))), "Y"))
else:
t = "".join((str(int(round(years_ * 12.))), "M"))
return cls(t)
def fromdates(cls, settle, maturity, daycount=ActualActual()):
'''
Returns the tenor associated with settlement and maturity.
'''
settle = qldate_from_pydate(settle)
maturity = qldate_from_pydate(maturity)
years_ = daycount.year_fraction(settle, maturity)
if years_ >= 1.0:
t = "".join((str(int(round(years_))),"Y"))
else:
t = "".join((str(int(round(years_*12.))),"M"))
return cls(t)
def year_fraction(cls, date1, date2, daycounter=None):
'''
Calculate the fraction of a year between two date1 and date2,
based on the daycount specified.
dates may be ccyymmdd or python datetime.dates
'''
pydate1, pydate2 = map(parse_date, (date1, date2))
if not daycounter:
daycounter = cls.ActualActual()
qldate1 = qldate_from_pydate(pydate1)
qldate2 = qldate_from_pydate(pydate2)
return daycounter.year_fraction(qldate1, qldate2)
def year_fraction(cls, date1, date2, daycounter=None):
'''
Calculate the fraction of a year between two date1 and date2,
based on the daycount specified.
dates may be ccyymmdd or python datetime.dates
'''
pydate1, pydate2 = map(parse_date, (date1, date2))
if not daycounter:
daycounter = cls.ActualActual()
qldate1 = qldate_from_pydate(pydate1)
qldate2 = qldate_from_pydate(pydate2)
return daycounter.year_fraction(qldate1, qldate2)
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 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 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 test_create_libor_index(self):
settings = Settings(calendar = TARGET()).instance()
calendar = settings.calendar
eval_date = qldate_from_pydate(settings.today())
settlement_days = 2
settlement_date = calendar.advance(eval_date, settlement_days, Days)
# must be a business day
settlement_date = calendar.adjust(settlement_date);
index = Libor('USD Libor', Period(6, Months), settlement_days,
USDCurrency(), calendar, Actual360())
self.assertEquals('USD Libor6M Actual/360', index.name)
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 is_business_day(cls, pydate, calendar=None):
if not calendar:
calendar = cls.TARGET()
elif not hasattr(calendar, "advance"):
return None
qldate = qldate_from_pydate(parse_date(pydate))
try:
return calendar.is_business_day(qldate)
except:
try:
return calendar().is_business_day(qldate)
except:
return None
def is_business_day(cls, pydate, calendar=None):
if not calendar:
calendar = cls.TARGET()
elif not hasattr(calendar, "advance"):
return None
qldate = qldate_from_pydate(parse_date(pydate))
try:
return calendar.is_business_day(qldate)
except:
try:
return calendar().is_business_day(qldate)
except:
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 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_deposit_swap(self):
# Market information
settings = Settings(calendar=TARGET())
calendar = settings.calendar
# must be a business day
eval_date = qldate_from_pydate(settings.today())
settlement_days = 2
settlement_date = calendar.advance(eval_date, settlement_days, Days)
# must be a business day
settlement_date = calendar.adjust(settlement_date)
depositData = [[1, Months, 4.581], [2, Months, 4.573],
[3, Months, 4.557], [6, Months, 4.496],
[9, Months, 4.490]]
swapData = [[1, Years, 4.54], [5, Years, 4.99], [10, Years, 5.47],
[20, Years, 5.89], [30, Years, 5.96]]
rate_helpers = []
end_of_month = True
for m, period, rate in depositData:
tenor = Period(m, Months)
helper = DepositRateHelper(rate / 100, tenor, settlement_days,
calendar, ModifiedFollowing,
end_of_month, Actual360())
rate_helpers.append(helper)
liborIndex = Libor('USD Libor', Period(6, Months), settlement_days,
USDCurrency(), calendar, Actual360())
spread = SimpleQuote(0)
fwdStart = Period(0, Days)
for m, period, rate in swapData:
rate = SimpleQuote(rate / 100)
helper = SwapRateHelper(rate, Period(m, Years), calendar, Annual,
Unadjusted, Thirty360(), liborIndex,
spread, fwdStart)
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)
# this is not a real test ...
self.assertAlmostEquals(
0.9103, ts.discount(calendar.advance(today(), 2, Years)), 3)
self.assertAlmostEquals(
0.7836, ts.discount(calendar.advance(today(), 5, Years)), 3)
self.assertAlmostEquals(
0.5827, ts.discount(calendar.advance(today(), 10, Years)), 3)
self.assertAlmostEquals(
0.4223, ts.discount(calendar.advance(today(), 15, Years)), 3)
def test_deposit_swap(self):
# Market information
settings = Settings(calendar = TARGET())
calendar = settings.calendar
# must be a business day
eval_date = qldate_from_pydate(settings.today())
settlement_days = 2
settlement_date = calendar.advance(eval_date, settlement_days, Days)
# must be a business day
settlement_date = calendar.adjust(settlement_date);
depositData = [[ 1, Months, 4.581 ],
[ 2, Months, 4.573 ],
[ 3, Months, 4.557 ],
[ 6, Months, 4.496 ],
[ 9, Months, 4.490 ]]
swapData = [[ 1, Years, 4.54 ],
[ 5, Years, 4.99 ],
[ 10, Years, 5.47 ],
[ 20, Years, 5.89 ],
[ 30, Years, 5.96 ]]
rate_helpers = []
end_of_month = True
for m, period, rate in depositData:
tenor = Period(m, Months)
helper = DepositRateHelper(rate/100, tenor, settlement_days,
calendar, ModifiedFollowing, end_of_month,
Actual360())
rate_helpers.append(helper)
liborIndex = Libor('USD Libor', Period(6, Months), settlement_days,
USDCurrency(), calendar, Actual360())
spread = SimpleQuote(0)
fwdStart = Period(0, Days)
for m, period, rate in swapData:
rate = SimpleQuote(rate/100)
helper = SwapRateHelper(rate, Period(m, Years),
calendar, Annual,
Unadjusted, Thirty360(),
liborIndex, spread, fwdStart)
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)
# this is not a real test ...
self.assertAlmostEquals(0.9103,
ts.discount(calendar.advance(today(), 2, Years)),3)
self.assertAlmostEquals(0.7836,
ts.discount(calendar.advance(today(), 5, Years)),3)
self.assertAlmostEquals(0.5827,
ts.discount(calendar.advance(today(), 10, Years)),3)
self.assertAlmostEquals(0.4223,
ts.discount(calendar.advance(today(), 15, Years)),3)