def loadDummyIRCurve(self, pricingDate):
curve = InterestRateCurve()
curve.ccy = 'USD'
curve.index = Enum.Index('LIBOR')
curve.term = 'M'
curve.numTerms = 3
curve.pricingDate = pricingDate
curve.marketId = 'TEST1'
r1 = InterestRate()
r1.type = 'Deposit'
r1.term = 'M'
r1.numTerms = 1
r1.mid = 0.01
r1.curve = curve
r2 = InterestRate()
r2.type = 'Deposit'
r2.term = 'M'
r2.numTerms = 3
r2.mid = 0.01
r2.curve = curve
r3 = InterestRate()
r3.type = 'Swap'
r3.term = 'Y'
r3.numTerms = 1
r3.mid = 0.01
r3.curve = curve
r4 = InterestRate()
r4.type = 'Swap'
r4.term = 'Y'
r4.numTerms = 5
r4.mid = 0.01
r4.curve = curve
r5 = InterestRate()
r5.type = 'Swap'
r5.term = 'Y'
r5.numTerms = 10
r5.mid = 0.01
r5.curve = curve
r6 = InterestRate()
r6.type = 'Swap'
r6.term = 'Y'
r6.numTerms = 30
r6.mid = 0.01
r6.curve = curve
curve.addRate(r1)
curve.addRate(r2)
curve.addRate(r3)
curve.addRate(r4)
curve.addRate(r5)
curve.addRate(r6)
curve.save()
def loadInterestRateFromCSVFile(self, fileName):
'''
Downloads prices from fileName. fileName needs to include full path
'''
file = open(fileName,'r')
lastDate = Date.Date(month=1,day=1,year=1972)
for line in file:
items = line.split(',')
#skip first line which is headers
if items[0] == 'date':
continue
#create new curve if date has changed
curveDate = self.createDateFromString(items[0])
if curveDate <> lastDate:
newCurve = InterestRateCurve()
newCurve.pricingDate = curveDate
newCurve.ccy = items[1]
newCurve.index = items[2]
newCurve.marketId = items[3]
newCurve.term = items[4]
newCurve.numTerms = int(items[5])
newCurve.save()
newCurve.load()
#Delete all rates in case the curve already existed
rates = InterestRate.objects.filter(curve=newCurve)
if rates:
rates.delete()
curve = InterestRateCurve()
curve.pricingDate = curveDate
curve.ccy = items[1]
curve.index = items[2]
curve.marketId = items[3]
curve.term = items[4]
curve.numTerms = int(items[5])
curve.load()
rate = InterestRate()
rate.curve = curve
rate.type = items[6]
rate.term = items[7]
rate.numTerms = int(items[8])
rate.mid = float(items[9])
rate.save()
lastDate = curveDate