def loadAndSaveMarketData(self, pricingDate, marketId):
''' assumes that 'EOD' marketId exists '''
eodCurve = InterestRateCurve()
eodCurve.ccy = self.tCBond.ccy
eodCurve.index = Enum.Index('LIBOR')
eodCurve.term = 'M'
eodCurve.numTerms = 3
eodCurve.pricingDate = pricingDate
eodCurve.marketId = 'EOD'
eodCurve.load()
irCurve = InterestRateCurve()
irCurve.ccy = self.tCBond.ccy
irCurve.index = Enum.Index('LIBOR')
irCurve.term = 'M'
irCurve.numTerms = 3
irCurve.pricingDate = pricingDate
irCurve.marketId = marketId
eodRates = eodCurve.getRates()
for rate in eodRates:
irCurve.addRate(rate)
irCurve.save()
eodBondOAS = BondOAS.objects.get(tCBond=self.tCBond, pricingDate=pricingDate,
marketId='EOD')
bondOAS = BondOAS(tCBond=self.tCBond, pricingDate=pricingDate,
marketId=marketId,mid=eodBondOAS.mid)
bondOAS.save()
def loadAndSaveMarketData(self, pricingDate, marketId):
''' assumes that 'EOD' marketId exists
algorithm is to load the EOD curve and save it with marketId
'''
eodCurve = InterestRateCurve()
eodCurve.ccy = self._tcSwap.ccy
eodCurve.index = Index('LIBOR')
eodCurve.term = 'M'
eodCurve.numTerms = 3
eodCurve.pricingDate = pricingDate
eodCurve.marketId = 'EOD'
eodCurve.load()
irCurve = InterestRateCurve()
irCurve.ccy = self._tcSwap.ccy
irCurve.index = Index('LIBOR')
irCurve.term = 'M'
irCurve.numTerms = 3
irCurve.pricingDate = pricingDate
irCurve.marketId = marketId
eodRates = eodCurve.getRates()
for rate in eodRates:
irCurve.addRate(rate)
irCurve.save()
