Python set_eval_dateの例

コード例 #1

ファイル: quicktest2.py プロジェクト: jasonmnemonic/algo-trading

    )

from pybg import get_eval_date, set_eval_date

import pybg.ql as ql

from datetime import date

import pybg

fn = pybg.__file__
print("File: %s " % fn)

evaldate = date(2004, 9, 20)

set_eval_date(evaldate)
print("date: {}".format(get_eval_date()))

futtenors, futspots = (
    ("ED1", "ED2", "ED3", "ED4", "ED5", "ED6", "ED7", "ED8"),
    (96.2875, 96.7875, 96.9875, 96.6875, 96.4875, 96.3875, 96.2875, 96.0875)
)
depotenors, depospots = (
    ("1W", "1M", "3M", "6M", "9M", "1y"),   
    (.0382, 0.0372, 0.0363, 0.0353, 0.0348, 0.0345)
)
swaptenors, swapspots = (
    ("2y", "3y", "5y", "10Y", "15Y"),
    (0.037125, 0.0398, 0.0443, 0.05165, 0.055175)
)

コード例 #2

ファイル: quicktest.py プロジェクト: bondgeek/pybg

from datetime import date

import pybg.curves as curves

from pybg import get_eval_date, set_eval_date
from pybg.enums import Frequencies, DayCounters, Calendars
from pybg.curvetypes import USDLiborCurve, EURiborCurve
from pybg.instruments.fixedfloatswap import USDLiborSwap, FixedPayer, FixedReceiver, EuriborSwap

import pybg.instruments.bulletbond as B
import pybg.instruments.callbond as C

evaldate = date(2004, 9, 20)

set_eval_date(evaldate)

futtenors, futspots = (
    ("ED1", "ED2", "ED3", "ED4", "ED5", "ED6", "ED7", "ED8"),
    (96.2875, 96.7875, 96.9875, 96.6875, 96.4875, 96.3875, 96.2875, 96.0875)
)
depotenors, depospots = (
    ("1W", "1M", "3M", "6M", "9M", "1y"),   
    (.0382, 0.0372, 0.0363, 0.0353, 0.0348, 0.0345)
)
swaptenors, swapspots = (
    ("2y", "3y", "5y", "10Y", "15Y"),
    (0.037125, 0.0398, 0.0443, 0.05165, 0.055175)
)

futures = dict(zip(futtenors, futspots))

コード例 #3

 '20Y': 0.022276,
 '25Y': 0.023115,
  '2Y': 0.005003,
 '30Y': 0.02366,
  '3Y': 0.00568,
 '40Y': 0.023895,
  '4Y': 0.007007,
  '5Y': 0.008685,
  '6Y': 0.010549,
  '7Y': 0.012316,
  '8Y': 0.01387,
  '9Y': 0.015218}


print("\nSetting eval date: %s" % dt0)
set_eval_date(dt0)
print("eval date used: {}".format(get_eval_date()))

rh = curves.RateHelperCurve(USDLiborCurve("3M"))

rh.update(depos, {}, swaps, get_eval_date())

govbondcurve = curves.CurveBase(pybg.enums.Calendars.UnitedStates(pybg.enums.Calendars.GOVERNMENTBOND),
1,
pybg.enums.DayCounters.Actual360(),
pybg.enums.Frequencies.Semiannual,
pybg.enums.BusinessDayConventions.ModifiedFollowing,
pybg.enums.DayCounters.ActualActual(pybg.enums.DayCounters.Bond),
pybg.enums.DayCounters.ActualActual(pybg.enums.DayCounters.ISDA)
)

コード例 #4

from datetime import date

import pybg.curves as curves

from pybg import get_eval_date, set_eval_date
from pybg.enums import Frequencies, DayCounters, Calendars
from pybg.curvetypes import USDLiborCurve, EURiborCurve
from pybg.instruments.fixedfloatswap import USDLiborSwap, FixedPayer, FixedReceiver, EuriborSwap

import pybg.instruments.bulletbond as B
import pybg.instruments.callbond as C

evaldate = date(2004, 9, 20)

set_eval_date(evaldate)

futtenors, futspots = (("ED1", "ED2", "ED3", "ED4", "ED5", "ED6", "ED7",
                        "ED8"), (96.2875, 96.7875, 96.9875, 96.6875, 96.4875,
                                 96.3875, 96.2875, 96.0875))
depotenors, depospots = (("1W", "1M", "3M", "6M", "9M", "1y"),
                         (.0382, 0.0372, 0.0363, 0.0353, 0.0348, 0.0345))
swaptenors, swapspots = (("2y", "3y", "5y", "10Y", "15Y"),
                         (0.037125, 0.0398, 0.0443, 0.05165, 0.055175))

futures = dict(zip(futtenors, futspots))
depos = dict(zip(depotenors, depospots))
swaps = dict(zip(swaptenors, swapspots))

rh = curves.RateHelperCurve(EURiborCurve("6M", Frequencies.Annual))

rh.update(depos, {}, swaps, evaldate)