def __init__(self, object_name_str=''):
super(FxCurve, self).__init__(object_name_str)
self._calendar_ = TAR()
self._b_days_to_settle_ = 2 # fixme do better
self._spot_ = FxSpot(1.0)
self._dom_curr_curve_ = YieldCurveInterface()
self._for_curr_curve_ = YieldCurveInterface()
class FxCurve(FxCurveInterface):
""" _fx_curve_ object """
def __init__(self, object_name_str=''):
super(FxCurve, self).__init__(object_name_str)
self._calendar_ = TAR()
self._b_days_to_settle_ = 2 # fixme do better
self._spot_ = FxSpot(1.0)
self._dom_curr_curve_ = YieldCurveInterface()
self._for_curr_curve_ = YieldCurveInterface()
def get_value(self, reset_date):
"""
:param reset_date:
:param base_date:
:return float:
"""
settle_date = self._origin_.add_business_days(self._b_days_to_settle_,
self._calendar_)
reset_modified = reset_date.add_business_days(self._b_days_to_settle_,
self._calendar_)
df_foreign = self._for_curr_curve_.get_discount_factor(
settle_date, reset_modified)
df_domestic = self._dom_curr_curve_.get_discount_factor(
settle_date, reset_modified)
ret = self._spot_ * df_foreign / df_domestic
return ret
class ScenarioYieldCurve(ScenarioFactor, YieldCurveInterface):
""" scenarios for YieldCurveInterface """
def __init__(self, object_name_str=''):
super(ScenarioYieldCurve, self).__init__(object_name_str)
self._inner_factor_ = YieldCurveInterface()
self._driving_factor_ = YieldCurveInterface()
def _rebuild_object(self):
super(ScenarioYieldCurve, self)._rebuild_object()
self._spread = self._inner_factor_.curve
self._spread -= self._driving_factor_.curve.curve
def get_zero_rate(self, start_date, end_date):
"""
calculates zero rate
:param BusinessDate end_date:
:param BusinessDate start_date:
:return float:
"""
start_date, end_date = self._cast_to_dates(start_date, end_date)
zero_rate = self._driving_factor_.get_zero_rate(start_date, end_date)
zero_rate += self._spread.get_zero_rate(start_date, end_date)
return zero_rate
def get_discount_factor(self, start_date, end_date):
"""
calculates discount factor
:param BusinessDate start_date: date to discount to
:param BusinessDate end_date: date to discount from
:return float: discount factor
"""
start_date, end_date = self._cast_to_dates(start_date, end_date)
discount_factor = self._driving_factor_.get_discount_factor(start_date, end_date)
discount_factor *= self._spread.get_discount_factor(start_date, end_date)
return discount_factor
class HullWhiteCurve(RiskFactor, YieldCurveInterface):
""" HullWhiteCurve """
@property
def curve(self):
""" inner curve """
return self._curve_
@property
def domain(self):
""" list of grid date of curve """
return list(self.curve.domain)
def __init__(self, object_name_str=''):
super(HullWhiteCurve, self).__init__(object_name_str)
self._curve_ = YieldCurveInterface()
self._mean_reversion_ = 0.01
self._volatility_ = 0.02
self._hull_white_curve = _HullWhiteCurve([0.0], [0.0])
def _rebuild_object(self):
super(HullWhiteCurve, self)._rebuild_object()
hw = _HullWhiteCurve.cast(self._curve_.curve, self._mean_reversion_,
self._volatility_)
self._hull_white_curve = hw
def _day_count(self, start_date, end_date):
return self._curve_._day_count(start_date, end_date)
def set_risk_factor(self, factor_date, factor_value):
""" set risk factor
:param factor_date:
:param factor_value:
"""
self._risk_factor_state = factor_value
self._risk_factor_date = factor_date
self._hull_white_curve.set_risk_factor(factor_date, factor_value)
def get_discount_factor(self, start_date, end_date):
""" get discount factor
:param start_date:
:param end_date:
:return:
"""
return self._hull_white_curve.get_discount_factor(start_date, end_date)
def __init__(self, object_name_str=''):
super(DependentYieldCurve, self).__init__(object_name_str)
self._inner_factor_ = YieldCurveInterface()
self._driving_factor_ = YieldCurveInterface()
self._domain = list()
self._spread = DateCurve([20151231, 20660101], [0, 0])
class DependentYieldCurve(DependentFactor, YieldCurveInterface):
""" Yieldcurves that depend on a driving force"""
@property
def domain(self):
return self._domain
def _day_count(self, start_date, end_date):
return self._inner_factor_._day_count(start_date, end_date)
def __init__(self, object_name_str=''):
super(DependentYieldCurve, self).__init__(object_name_str)
self._inner_factor_ = YieldCurveInterface()
self._driving_factor_ = YieldCurveInterface()
self._domain = list()
self._spread = DateCurve([20151231, 20660101], [0, 0])
def _rebuild_object(self):
super(DependentYieldCurve, self)._rebuild_object()
self._domain = sorted(
list(
set(self._inner_factor_.domain).union(
set(self._driving_factor_.domain))))
self._origin_ = self._driving_factor_.origin
spread_values_on_domain = [
self._inner_factor_.get_zero_rate(self._inner_factor_.origin, d) -
self._driving_factor_.get_zero_rate(self._driving_factor_.origin,
d) for d in self.domain
]
self._spread = DateCurve(self.domain,
spread_values_on_domain,
day_count=self._day_count)
def get_zero_rate(self, start_date, end_date):
"""
calculates zero rate
:param BusinessDate end_date:
:param BusinessDate start_date:
:return float:
"""
start_date, end_date = self._inner_factor_._cast_to_dates(
start_date, end_date)
origin = self._inner_factor_.origin
daycount = self._day_count(start_date, end_date)
'tZ = daycount(0,t)*(driving_Zerorate(t)+Zero_spread(t))'
eZ = self._day_count(origin, end_date)*\
(self._driving_factor_.get_zero_rate(origin, end_date)+self._spread(end_date))
if start_date != origin:
sZ = self._day_count(origin, start_date)*\
(self._driving_factor_.get_zero_rate(origin, start_date)+ self._spread(start_date))
else:
sZ = 0
return 1 / daycount * (eZ - sZ) if daycount != 0 else 0
def get_discount_factor(self, start_date, end_date):
"""
calculates discount factor
:param BusinessDate start_date: date to discount to
:param BusinessDate end_date: date to discount from
:return float: discount factor
"""
start_date, end_date = self._inner_factor_._cast_to_dates(
start_date, end_date)
return exp(-1 * self._day_count(start_date, end_date) *
self.get_zero_rate(start_date, end_date))
def __init__(self, object_name_str=''):
super(InterestRateIndexModel, self).__init__(object_name_str)
self._curve_ = YieldCurveInterface()
self._option_pricer = OptionValuatorN()
def __init__(self, object_name_str=''):
super(HullWhiteCurve, self).__init__(object_name_str)
self._curve_ = YieldCurveInterface()
self._mean_reversion_ = 0.01
self._volatility_ = 0.02
self._hull_white_curve = _HullWhiteCurve([0.0], [0.0])
def __init__(self, object_name_str=''):
super(ScenarioYieldCurve, self).__init__(object_name_str)
self._inner_factor_ = YieldCurveInterface()
self._driving_factor_ = YieldCurveInterface()