def leg_from_proto_v2(
leg_proto: ir_swap.SwapLeg
) -> Union[coupon_specs.FixedCouponSpecs, coupon_specs.FloatCouponSpecs]:
"""Initialized coupon specifications from a proto instance."""
if leg_proto.HasField("fixed_leg"):
leg = leg_proto.fixed_leg
coupon_freq = leg.coupon_frequency.type
coupon_freq, coupon_freq_multiplier = _frequency_and_multiplier(
coupon_freq)
return coupon_specs.FixedCouponSpecs(
currency=[currencies.from_proto_value(leg.currency)],
coupon_frequency=(coupon_freq, [
coupon_freq_multiplier * leg.coupon_frequency.amount
]),
notional_amount=[
instrument_utils.decimal_to_double(leg.notional_amount)
],
fixed_rate=[instrument_utils.decimal_to_double(leg.fixed_rate)],
settlement_days=[leg.settlement_days],
businessday_rule=business_days.convention_from_proto_value(
leg.business_day_convention),
daycount_convention=daycount_conventions.from_proto_value(
leg.daycount_convention),
calendar=business_days.holiday_from_proto_value(leg.bank_holidays))
else:
leg = leg_proto.floating_leg
# Get the index rate object
rate_index = leg.floating_rate_type
rate_index = rate_indices.RateIndex.from_proto(rate_index)
rate_index.name = [rate_index.name]
rate_index.source = [rate_index.source]
coupon_freq = leg.coupon_frequency.type
coupon_freq, coupon_freq_multiplier = _frequency_and_multiplier(
coupon_freq)
reset_freq = leg.reset_frequency.type
reset_freq, reset_freq_multiplier = _frequency_and_multiplier(
reset_freq)
return coupon_specs.FloatCouponSpecs(
currency=[currencies.from_proto_value(leg.currency)],
coupon_frequency=(coupon_freq, [
coupon_freq_multiplier * leg.coupon_frequency.amount
]),
reset_frequency=(reset_freq, [
reset_freq_multiplier * leg.reset_frequency.amount
]),
notional_amount=[
instrument_utils.decimal_to_double(leg.notional_amount)
],
floating_rate_type=[rate_index],
settlement_days=[leg.settlement_days],
businessday_rule=business_days.convention_from_proto_value(
leg.business_day_convention),
daycount_convention=daycount_conventions.from_proto_value(
leg.daycount_convention),
spread=[instrument_utils.decimal_to_double(leg.spread)],
calendar=business_days.holiday_from_proto_value(leg.bank_holidays))
def _get_hash(
american_option_proto: american_option_pb2.AmericanEquityOption
) -> Tuple[int, types.CurrencyProtoType]:
"""Computes hash key for the batching strategy."""
currency = currencies.from_proto_value(american_option_proto.currency)
bank_holidays = american_option_proto.bank_holidays
business_day_convention = american_option_proto.business_day_convention
h = utils.hasher([bank_holidays, business_day_convention])
return h, currency
def leg_from_proto(
leg_proto: ir_swap.SwapLeg) -> Union[coupon_specs.FixedCouponSpecs,
coupon_specs.FloatCouponSpecs]:
"""Initialized coupon specifications from a proto instance."""
if leg_proto.HasField("fixed_leg"):
leg = leg_proto.fixed_leg
return coupon_specs.FixedCouponSpecs(
currency=currencies.from_proto_value(leg.currency),
coupon_frequency=leg.coupon_frequency,
notional_amount=[instrument_utils.decimal_to_double(
leg.notional_amount)],
fixed_rate=[instrument_utils.decimal_to_double(
leg.fixed_rate)],
settlement_days=[leg.settlement_days],
businessday_rule=business_days.convention_from_proto_value(
leg.business_day_convention),
daycount_convention=daycount_conventions.from_proto_value(
leg.daycount_convention),
calendar=business_days.holiday_from_proto_value(leg.bank_holidays))
else:
leg = leg_proto.floating_leg
return coupon_specs.FloatCouponSpecs(
currency=currencies.from_proto_value(leg.currency),
coupon_frequency=leg.coupon_frequency,
reset_frequency=leg.reset_frequency,
notional_amount=[instrument_utils.decimal_to_double(
leg.notional_amount)],
floating_rate_type=[rate_indices.from_proto_value(
leg.floating_rate_type)],
settlement_days=[leg.settlement_days],
businessday_rule=business_days.convention_from_proto_value(
leg.business_day_convention),
daycount_convention=daycount_conventions.from_proto_value(
leg.daycount_convention),
spread=[instrument_utils.decimal_to_double(leg.spread)],
calendar=business_days.holiday_from_proto_value(leg.bank_holidays))
def _get_hash_v2(
fra_proto: fra.ForwardRateAgreement
) -> Tuple[int, types.CurrencyProtoType, period_pb2.Period,
rate_indices.RateIndex]:
"""Computes hash key for the batching strategy."""
currency = currencies.from_proto_value(fra_proto.currency)
bank_holidays = fra_proto.bank_holidays
daycount_convention = fra_proto.daycount_convention
business_day_convention = fra_proto.business_day_convention
# Get rate index
rate_index = fra_proto.floating_rate_term.floating_rate_type
rate_index = rate_indices.RateIndex.from_proto(rate_index)
rate_term = fra_proto.floating_rate_term.term
rate_type, multiplier = _frequency_and_multiplier(rate_term.type)
h = _hasher(
tuple([bank_holidays] + [daycount_convention] +
[business_day_convention] + [rate_type]))
return h, currency, (rate_type, [multiplier * rate_term.amount
]), rate_index
def _get_hash(
fra_proto: fra.ForwardRateAgreement
) -> Tuple[int, types.CurrencyProtoType, period_pb2.Period,
rate_indices.RateIndex]:
"""Computes hash key for the batching strategy."""
currency = currencies.from_proto_value(fra_proto.currency)
bank_holidays = fra_proto.bank_holidays
daycount_convention = fra_proto.daycount_convention
business_day_convention = fra_proto.business_day_convention
# Get rate index
rate_index = fra_proto.floating_rate_term.floating_rate_type
rate_index = rate_indices.RateIndex.from_proto(rate_index)
rate_index.name = [rate_index.name]
rate_index.source = [rate_index.source]
rate_term = fra_proto.floating_rate_term.term
h = _hasher(
tuple([currency.value] + [bank_holidays] + [rate_term.type] +
[rate_term.amount] + [rate_index.type.value] +
[daycount_convention] + [business_day_convention]))
return h, currency, rate_term, rate_index
def from_protos(
cls,
proto_list: List[fra.ForwardRateAgreement],
fra_config: ForwardRateAgreementConfig = None
) -> List["ForwardRateAgreement"]:
prepare_swaps = {}
for fra_instance in proto_list:
short_position = fra_instance.short_position
currency = currencies.from_proto_value(fra_instance.currency)
bank_holidays = fra_instance.bank_holidays
daycount_convention = fra_instance.daycount_convention
business_day_convention = fra_instance.business_day_convention
rate_index = fra_instance.floating_rate_term.floating_rate_type
rate_index = rate_indices.from_proto_value(rate_index)
rate_term = fra_instance.floating_rate_term.term
h = hash(
tuple([currency] + [bank_holidays] + [rate_term.type] +
[rate_term.amount] + [rate_index] +
[daycount_convention] + [business_day_convention]))
fixing_date = fra_instance.fixing_date
fixing_date = [
fixing_date.year, fixing_date.month, fixing_date.day
]
notional_amount = instrument_utils.decimal_to_double(
fra_instance.notional_amount)
daycount_convention = daycount_conventions.from_proto_value(
fra_instance.daycount_convention)
business_day_convention = business_days.convention_from_proto_value(
fra_instance.business_day_convention)
fixed_rate = instrument_utils.decimal_to_double(
fra_instance.fixed_rate)
calendar = business_days.holiday_from_proto_value(
fra_instance.bank_holidays)
settlement_days = fra_instance.settlement_days
name = fra_instance.metadata.id
instrument_type = fra_instance.metadata.instrument_type
if h not in prepare_swaps:
prepare_swaps[h] = {
"short_position": short_position,
"currency": currency,
"fixing_date": [fixing_date],
"fixed_rate": [fixed_rate],
"notional_amount": [notional_amount],
"daycount_convention": daycount_convention,
"business_day_convention": business_day_convention,
"calendar": calendar,
"rate_term": rate_term,
"rate_index": [rate_index],
"settlement_days": [settlement_days],
"fra_config": fra_config,
"batch_names": [[name, instrument_type]]
}
else:
prepare_swaps[h]["fixing_date"].append(fixing_date)
prepare_swaps[h]["fixed_rate"].append(fixed_rate)
prepare_swaps[h]["notional_amount"].append(notional_amount)
prepare_swaps[h]["rate_index"].append(rate_index)
prepare_swaps[h]["settlement_days"].append(settlement_days)
prepare_swaps[h]["batch_names"].append([name, instrument_type])
intruments = []
for kwargs in prepare_swaps.values():
intruments.append(cls(**kwargs))
return intruments
