def __init__(self,
pv=None,
description="No description given",
price=None):
self.logger = myLogger.TLogger(__name__)
self.pv = pv
self.price = price
self.description = description
self.id = uuid.uuid1()
def __init__(self, cf_times, cf_amounts, time_type = "Excel"):
self.logger = myLogger.TLogger(__name__)
self.logger.warning("Generating cashflow")
self.cf = pd.Series( data=cf_amounts, index = cf_times)
self.logger.info(self.cf)
self.time_type = time_type
self.cf_times = cf_times
self.cf_amounts = cf_amounts
self.daily_payment_schedule = self.getCouponPaymentSchedule()
self._IRR = None
self._mcAuleyDuration = None
def __init__(self, n=1, **kwds):
self.logger = myLogger.TLogger(__name__)
super(BusinessDayWithHolidays, self).__init__(n, **kwds)
self.holidays = kwds.get('holidays', "NYSE")
#if string is passed instead of a HolidayProfile create the HolidayProfile from the string
if isinstance(self.holidays, str):
try:
a = self.holidays
self.holidays = eval(a)() # create a holiday profile from string
except TypeError:
print "Could not create a Holiday Profil e for" + self.holidays + ". Does it exist?"
def __init__(self,
maturitydate,
couponrate,
frequency_per_anno,
price=100.0,
startdate=dt.datetime.utcnow(),
businessdayconvention,
calendar,
daycounter):
self.logger = myLogger.TLogger(__name__)
super(Bond, self).__init__()
self.description = str(
maturitydate.strftime("%d/%m/%y")) + "_" + str(couponrate)
self.logger.info("Generating bond {}".format(self.description))
self.price = price
self.startdate = startdate
self.maturitydate = maturitydate
self.couponrate = couponrate
self.frequency = frequency_per_anno
self.cf = self._generateCashflow()
self.businessdayconvention = businessdayconvention
self.calendar = calendar
self.daycounter = daycounter
# -*- coding: utf-8 -*-
import datetime as dt
import pandas as pd
from asset import Asset
import pandas.core.datetools as pdt
from cashflow import Cashflow
import myLogger
# create logger
module_logger = myLogger.TLogger(__name__)
class Bond(Asset):
"""
This class generates a bond from some basic economic information
and generates the corresponding cashflow.
If no price is given the bond is assumed to be 100.
Offset and coupon dates are a bit rudimentary and need to be improved.
e.g. Daycount conventions, rolling, etc.
Example:
>>> startdate = dt.datetime(2012, 1, 1)
>>> maturitydate = dt.datetime(2015, 1, 1)
>>> bd = Bond(startdate = startdate, maturitydate = maturitydate, couponrate = 0.05, frequency_per_anno = 2, businessdayconvention, calendar)
>>> bd.price
100.0
>>> bd.couponrate
0.05
>>> bd.frequency
2
def __init__(self, cf_amount, r, no_periods, growth=0.0):
self.logger = myLogger.TLogger(__name__)
def __init__(self):
self.logger = myLogger.TLogger(self.__class__.__name__)
self.logger.debug("Creating holiday profile: {}".format(self.__class__.__name__))