def __init__(self, timeseries, *args, **kwargs):
super().__init__(timeseries)
self.base_currency = to_ql_currency(self.ts_attributes[BASE_CURRENCY])
self.counter_currency = to_ql_currency(
self.ts_attributes[COUNTER_CURRENCY])
self.maturity_date = to_ql_date(self.ts_attributes[MATURITY_DATE])
self.quotes = self.timeseries.price.ts_values
self.calendar = to_ql_calendar(self.ts_attributes[CALENDAR])
self.base_rate_day_counter = to_ql_day_counter(
self.ts_attributes[BASE_RATE_DAY_COUNTER])
self.counter_rate_day_counter = to_ql_day_counter(
self.ts_attributes[COUNTER_RATE_DAY_COUNTER])
self.base_rate_compounding = to_ql_compounding(
self.ts_attributes[BASE_RATE_COMPOUNDING])
self.counter_rate_compounding = to_ql_compounding(
self.ts_attributes[COUNTER_RATE_COMPOUNDING])
self.base_rate_frequency = to_ql_frequency(
self.ts_attributes[BASE_RATE_FREQUENCY])
self.counter_rate_frequency = to_ql_frequency(
self.ts_attributes[COUNTER_RATE_FREQUENCY])
self.settlement_days = int(self.ts_attributes[SETTLEMENT_DAYS])
self.base_currency_future = BaseCurrencyFuture(
self.base_currency, self.counter_currency, self.maturity_date,
self.calendar, self.base_rate_day_counter,
self.base_rate_compounding, self.base_rate_frequency,
self.counter_rate_day_counter, self.counter_rate_compounding,
self.counter_rate_frequency, self.settlement_days)
def __init__(self, timeseries):
super().__init__(timeseries)
self._maturity = None
# Swap Database Attributes
self._index_tenor = ql.PeriodParser.parse(
self.ts_attributes[INDEX_TENOR])
self.fixed_business_convention = to_ql_business_convention(
self.ts_attributes[BUSINESS_CONVENTION])
self.settlement_days = int(self.ts_attributes[SETTLEMENT_DAYS])
self.fixed_calendar = to_ql_calendar(self.ts_attributes[CALENDAR])
self.fixed_leg_tenor = ql.PeriodParser.parse(
self.ts_attributes[FIXED_LEG_TENOR])
self.fixed_leg_day_counter = to_ql_day_counter(
self.ts_attributes[DAY_COUNTER])
# QuantLib Objects
self.index = to_ql_rate_index(self.ts_attributes[INDEX],
self._index_tenor, self.term_structure)
# QuantLib Attributes
self.calendar = ql.JointCalendar(self.fixed_calendar,
self.index.fixingCalendar())
self.day_counter = self.index.dayCounter()
self.business_convention = self.index.businessDayConvention()
self.fixing_days = self.index.fixingDays()
self.month_end = self.index.endOfMonth()
# Swap Index
self.swap_index = ql.SwapIndex(self.ts_name, self._tenor,
self.settlement_days, self.currency,
self.calendar, self.fixed_leg_tenor,
self.fixed_business_convention,
self.fixed_leg_day_counter, self.index)
# Rate Helper
self.helper_rate = ql.SimpleQuote(0)
self.helper_convexity = ql.SimpleQuote(0)
def __init__(self, timeseries):
super().__init__(timeseries=timeseries)
self.option_type = self.ts_attributes[OPTION_TYPE]
self.strike = float(self.ts_attributes[STRIKE_PRICE])
self.contract_size = float(self.ts_attributes[CONTRACT_SIZE])
self._maturity = to_ql_date(to_datetime(self.ts_attributes[MATURITY_DATE]))
self.calendar = to_ql_calendar(self.ts_attributes[CALENDAR])
self.day_counter = to_ql_day_counter(self.ts_attributes[DAY_COUNTER])
self.exercise_type = self.ts_attributes[EXERCISE_TYPE]
self.underlying_name = self.ts_attributes[UNDERLYING_INSTRUMENT]
try:
self.earliest_date = to_ql_date(self.ts_attributes[EARLIEST_DATE])
except KeyError:
self.earliest_date = ql.Date.minDate()
self.exercise = to_ql_option_exercise_type(self.exercise_type, self.earliest_date, self._maturity)
self.payoff = to_ql_option_payoff(self.ts_attributes[PAYOFF_TYPE], to_ql_option_type(self.option_type),
self.strike)
self.option = to_ql_one_asset_option(self.payoff, self.exercise)
self.risk_free_yield_curve_ts = None
self.underlying_instrument = None
# engine setup
self.engine_name = 'FINITE_DIFFERENCES'
self.base_equity_process = None
self._implied_volatility = dict()
self._implied_volatility_prices = dict()
def __init__(self, start_date, end_date, tenor, calendar, day_counter):
self.start_date = to_ql_date(start_date)
self.end_date = to_ql_date(end_date)
self.tenor = ql.PeriodParser.parse(tenor)
self.calendar = to_ql_calendar(calendar)
self.day_counter = to_ql_day_counter(day_counter)
self.schedule = ql.Schedule(self.start_date, self.end_date, self.tenor, self.calendar, ql.Unadjusted,
ql.Unadjusted, ql.DateGeneration.Forward, False)
def __init__(self, timeseries, is_deposit_rate=True):
super().__init__(timeseries, is_deposit_rate=is_deposit_rate)
self._tenor = ql.PeriodParser.parse(self.ts_attributes[TENOR_PERIOD])
self.calendar = to_ql_calendar(self.ts_attributes[CALENDAR])
self.day_counter = to_ql_day_counter(self.ts_attributes[DAY_COUNTER])
self.business_convention = to_ql_business_convention(
self.ts_attributes[BUSINESS_CONVENTION])
self.fixing_days = int(self.ts_attributes[FIXING_DAYS])
self.month_end = False
# Rate Helper
self.helper_rate = ql.SimpleQuote(0)
def __init__(self, timeseries, telescopic_value_dates=True):
super().__init__(timeseries, telescopic_value_dates=telescopic_value_dates)
self.calendar = to_ql_calendar(self.ts_attributes[CALENDAR])
self.day_counter = to_ql_day_counter(self.ts_attributes[DAY_COUNTER])
self.business_convention = to_ql_business_convention(self.ts_attributes[BUSINESS_CONVENTION])
self._maturity = to_ql_date(self.ts_attributes[MATURITY_DATE])
self.fixing_days = int(self.ts_attributes[FIXING_DAYS])
self.month_end = False
self.index = to_ql_ibor_index(index=self.ts_attributes[SPREAD_TAG], fixing_days=self.fixing_days,
currency=self.currency, calendar=self.calendar, day_counter=self.day_counter,
overnight_index=True)
# Rate Helper
self.helper_rate = ql.SimpleQuote(0)
def __init__(self, timeseries, ql_process):
super().__init__(timeseries)
self.opt_type = self.ts_attributes[OPTION_TYPE]
self.strike = self.ts_attributes[STRIKE_PRICE]
self.contract_size = self.ts_attributes[OPTION_CONTRACT_SIZE]
self.option_maturity = to_ql_date(to_datetime(self.ts_attributes[MATURITY_DATE]))
self.payoff = ql_option_payoff(to_ql_option_type(self.opt_type), self.strike)
self.calendar = to_ql_calendar(self.ts_attributes[CALENDAR])
self.day_counter = to_ql_day_counter(self.ts_attributes[DAY_COUNTER])
self.exercise_type = self.ts_attributes[EXERCISE_TYPE]
self.underlying_instrument = self.ts_attributes[UNDERLYING_INSTRUMENT]
self.ql_process = ql_process
self.option = None
def __init__(self, timeseries, first_cc):
super().__init__(timeseries)
self.first_cc = first_cc
self.calendar = to_ql_calendar(self.attributes[CALENDAR])
try:
self._tenor = ql.PeriodParser.parse(self.attributes[TENOR_PERIOD])
except KeyError:
# If the deposit rate has no tenor, it must have a maturity.
self._maturity = to_ql_date(to_datetime(self.attributes[MATURITY_DATE]))
self.day_counter = to_ql_day_counter(self.attributes[DAY_COUNTER])
self.compounding = to_ql_compounding(self.attributes[COMPOUNDING])
self.frequency = to_ql_frequency(self.attributes[FREQUENCY])
self.business_convention = to_ql_business_convention(self.attributes[BUSINESS_CONVENTION])
self.fixing_days = int(self.attributes[FIXING_DAYS])
def update_spread_from_timeseries(self, date, last_available=True):
date = to_ql_date(date)
self.spreads[date] = dict()
for ts in self.ts_collection:
spread = ts.get_values(date, last_available=last_available)
calendar = to_ql_calendar(ts.ts_attributes[CALENDAR])
try:
spread_date_or_tenor = calendar.advance(
date,
ql.PeriodParser.parse(ts.ts_attributes[TENOR_PERIOD]))
except AttributeError:
spread_date_or_tenor = calendar.adjust(
to_ql_date(ts.ts_attributes[MATURITY_DATE]))
day_counter = to_ql_day_counter(ts.ts_attributes[DAY_COUNTER])
compounding = to_ql_compounding(ts.ts_attributes[COMPOUNDING])
frequency = to_ql_frequency(ts.ts_attributes[FREQUENCY])
self.spreads[date][spread_date_or_tenor] = ql.InterestRate(
spread, day_counter, compounding, frequency)
def __init__(self, timeseries, currency_ts):
super().__init__(timeseries)
self._maturity = None
# Swap Database Attributes
self.currency_ts = currency_ts
self._tenor = ql.PeriodParser.parse(self.ts_attributes[TENOR_PERIOD])
self.calendar = to_ql_calendar(self.ts_attributes[CALENDAR])
self.day_counter = to_ql_day_counter(self.ts_attributes[DAY_COUNTER])
self.business_convention = to_ql_business_convention(
self.ts_attributes[BUSINESS_CONVENTION])
self.fixing_days = int(self.ts_attributes[FIXING_DAYS])
self.base_currency = self.ts_attributes[BASE_CURRENCY]
self.base_calendar = to_ql_calendar(self.ts_attributes[BASE_CALENDAR])
self.country = self.ts_attributes[COUNTRY]
self.month_end = False
# Rate Helper
self.currency_spot_rate = ql.SimpleQuote(1)
self.currency_spot_handle = ql.RelinkableQuoteHandle(
self.currency_spot_rate)
self.helper_rate = ql.SimpleQuote(0)
self.helper_spread = ql.SimpleQuote(0)
self.helper_convexity = ql.SimpleQuote(0)
def __init__(self, timeseries):
super().__init__(timeseries)
self._tenor = ql.PeriodParser.parse(self.ts_attributes[TENOR_PERIOD])
self.calendar = to_ql_calendar(self.ts_attributes[CALENDAR])
self.day_counter = to_ql_day_counter(self.ts_attributes[DAY_COUNTER])
self.business_convention = to_ql_business_convention(
self.ts_attributes[BUSINESS_CONVENTION])
self.fixing_days = int(self.ts_attributes[FIXING_DAYS])
self.date_generation = to_ql_date_generation(
self.ts_attributes[DATE_GENERATION])
self.coupon_frequency = ql.Period(
to_ql_frequency(self.ts_attributes[FREQUENCY]))
self.recovery_rate = float(self.ts_attributes[RECOVERY_RATE])
self.coupon = float(self.ts_attributes[COUPONS])
self.base_yield = self.ts_attributes[BASE_SPREAD_TAG]
try:
self.first_accrual_date = to_ql_date(
self.ts_attributes[FIRST_ACCRUAL_DATE])
except KeyError:
self.first_accrual_date = None
self.month_end = False
# Rate Helper
self.helper_rate = ql.SimpleQuote(0)