def __init__(self,
nominal,
initial,
knockIn,
knockOut,
highRate,
lowRate,
strike,
startDate,
endDate,
frequency,
currency,
dayCount="Act/365",
adjMethod="Mod. Following",
isStub=True):
self.nominal = nominal
self.startDate = startDate
self.endDate = endDate
self.frequency = frequency
self.dayCount = dayCount
self.adjMethod = adjMethod
self.currency = currency
self.isStub = isStub
self.initial = initial
self.knockInLevel = knockIn * initial
self.knockOutLevel = knockOut * initial
self.highRate = highRate
self.lowRate = lowRate
self.strikeLevel = strike * initial
#""" Additional structure to store prices for different dates: Makes it faster and easier to run bootstrap """
self.prices = {}
if self.currency == "USD":
self.holidayArray = holidays.UnitedStates()
elif self.currency == "SEK":
self.holidayArray = holidays.Sweden()
elif self.currency == "JPY":
self.holidayArray = holidays.Japan()
self.cfDates = DateUtils.GenerateCashFlowDates(startDate, endDate,
None, frequency,
adjMethod, isStub,
self.holidayArray)
self.pv = 0.0
self.cfs = []
self.cfPVs = []
self.cfDays = []
self.dfs = []
self.pvTotal = 0.0
def __init__(
self,
nominal,
startDate,
endDate,
spread,
frequency,
currency,
# koProb,
dayCount="Act/365",
adjMethod="Mod. Following",
isStub=True):
self.nominal = nominal
self.startDate = startDate
self.endDate = endDate
self.spread = spread
self.frequency = frequency
self.dayCount = dayCount
self.adjMethod = adjMethod
self.currency = currency
# self.koProb = koProb
self.isStub = isStub
#""" Additional structure to store prices for different dates: Makes it faster and easier to run bootstrap """
self.prices = {}
if self.currency == "USD":
self.holidayArray = holidays.UnitedStates()
elif self.currency == "SEK":
self.holidayArray = holidays.Sweden()
elif self.currency == "JPY":
self.holidayArray = holidays.Japan()
self.cfDates = DateUtils.GenerateCashFlowDates(startDate, endDate,
None, frequency,
adjMethod, isStub,
self.holidayArray)
self.pv = 0.0
self.cfs = []
self.cfPVs = []
self.cfDays = []
self.dfs = []
self.pvTotal = 0.0
def get_holidays(self):
"""
Holiday handling. Sets holiday effect to the interval of plus one
day minus the days before that in the week. And adds a specific
effect to the fellesferie mondays
"""
if self.country == "NO":
hdays = holidays.Norway(years = range(2015,2021), include_sundays=False)
if self.country == "SE":
hdays = holidays.Sweden(years = range(2015,2021), include_sundays=False)
hdays_array = []
for dates, name in hdays.items():
hdays_array.append([dates, name])
hdays_df = pd.DataFrame(hdays_array, columns=['ds', 'holiday'])
hdays_df['lower_window'] = - hdays_df['ds'].apply(lambda x: x.weekday())
hdays_df['upper_window'] = 2
# Get fellesferie
fellesferie_mondays = pd.DataFrame(columns=['ds', 'holiday'])
i = 1
for year in hdays.years:
print(date(year, 7, 1))
all_days = pd.date_range(start=date(year, 7, 1), end=date(year, 7, 31), freq='W-MON')[-3:]
print(all_days)
all_days_df = pd.DataFrame({'ds': all_days})
all_days_df['holiday'] = 'felles_'+(all_days_df.index+1).astype(str)
fellesferie_mondays = pd.concat([fellesferie_mondays, all_days_df])
fellesferie_mondays['lower_window'] = 0
fellesferie_mondays['upper_window'] = 6
hdays_df = pd.concat([hdays_df, fellesferie_mondays])
return hdays_df
'NL': 16.570,
'PL': 38.53,
'SE': 9.341
}
holiday_op = [
('AT', holidays.Austria()), # holidays for each country
('BE', holidays.Belgium()), # implented this way because of bug in library
('CH', holidays.Switzerland()),
('CZ', holidays.Czech()),
('DE', holidays.Germany()),
('DK', holidays.Denmark()),
('FR', holidays.France()),
('LU', holidays.Luxembourg()),
('NL', holidays.Netherlands()),
('PL', holidays.Poland()),
('SE', holidays.Sweden())
]
def timedata(dt):
# create time data extra information for influxDB (makes sorting easier)
timestamp = datetime.fromtimestamp(dt)
year = timestamp.year
month = timestamp.month
hour = timestamp.hour
minute = timestamp.minute
weekday = timestamp.weekday()
# determine the holiday export weight
# for DE only holiday, holiday = 1.0
# for DE+ others holidays, holiday > 1.0
def _get_fridays(self, N, start_date=None):
"""
Get a list of the Fika Fridays.
If a start date is not supplied, the current date
is assumed
Holidays are also defined here for now, due to a bug in
the holidays package.
:param N: the number of Fridays that you need
:param start_date: the starting date
"""
if not start_date:
# get current date
start_date = date.today()
self.fikaholidays = holidays.Sweden()
# DEFINE HOLIDAYS
month = start_date.month
if month <= 9:
summer_year = start_date.year
winter_year = start_date.year
else:
summer_year = start_date.year + 1
winter_year = start_date.year
# add summer for the coming midsummer and August
day = date(summer_year, 6, 20)
while day.month < 9:
if day not in holidays.Sweden():
self.fikaholidays.append(day)
day = day + timedelta(days=1)
# add winter for the coming Christmas period
day = date(winter_year, 12, 20)
weeks_off = 3
end_day = day + timedelta(weeks=3)
while day < end_day:
if day not in holidays.Sweden():
self.fikaholidays.append(day)
day = day + timedelta(days=1)
# GET FRIDAYS
# index of week
friday_index = 4
# Find the next Friday after the start date
while start_date.weekday() != friday_index:
start_date = start_date + timedelta(days=1)
friday = start_date
while len(self.fikafridays) < N:
# check for holidays (also on the thursday before)
thursday = friday - timedelta(days=1)
if (friday not in self.fikaholidays
and thursday not in self.fikaholidays):
#if friday not in holidays.Sweden() and thursday not in holidays.Sweden():
self.fikafridays.append(friday)
# go to the next week
friday = friday + timedelta(days=7)
import datetime as dt
import holidays
import random
from time import sleep
from configparser import ConfigParser
import psycopg2
from psycopg2 import extras
import logging
swe_holidays = holidays.Sweden()
# first define how to read config
# read config files
def read_config(filename='database.ini', section='postgresql'):
# create a parser
parser = ConfigParser()
# read config file
parser.read(filename)
# get section, default to postgresql
db = {}
if parser.has_section(section):
params = parser.items(section)
for param in params:
db[param[0]] = param[1]
else:
raise Exception('Section {0} not found in the {1} file'.format(
section, filename))
def setUp(self):
self.holidays_without_sundays = holidays.Sweden(include_sundays=False)
self.holidays_with_sundays = holidays.Sweden()