def _priceContract(self, curve, forecastTodaysFixing=False, **kwargs):
npv = p.py_SwapLegNPV([self.contract],
curve,
curve,
forecastTodaysFixing=forecastTodaysFixing,
**kwargs)
print 'Swap NPV = %s' % npv
return npv
def _priceContract(self,
contract,
curve,
discCurve=None,
forecastTodaysFixing=False,
**kwargs):
discCurve = discCurve or curve
npv = p.py_SwapLegNPV([contract],
curve,
discCurve,
forecastTodaysFixing=forecastTodaysFixing,
**kwargs)
print 'Swap NPV = %s' % npv
return npv
def calculateSmoothPV(self,
contract,
curve,
discCurve=None,
forecastTodaysFixing=False,
**kwargs):
"""
calculate the PV using the smooth curve used by risk calculation.
this should be the same as the base pv output from the risk calculation
"""
riskCurveId = '__smoothPV_'
discCurve = discCurve or curve
rc = self._buildSwapCurve(riskCurveId, self.endDate, self.indexName,
curve, discCurve, self.riskTenors,
self.startTenors)
fwdCurveName, discCurveName, curveEngineName = rc[0]
rc = p.py_SwapLegNPV([contract],
fwdCurveName,
discCurveName,
forecastTodaysFixing=forecastTodaysFixing,
**kwargs)
p.py_DeleteObjects([riskCurveId])
return rc[0][0]
def runSwapInfo():
# create a dummy swap, just to get the index object
att = {'endDateTenor': '5Y', 'notional': 50000000.0, 'fixedRate': 0.035}
dummyId = '_dummy'
p.py_CreateIRSwap(dummyId, {'PredefinedConvention': 'CNY_REPO_7D'},
startDate, **att)
rc = p.py_SwapInfo([dummyId], 0, startDate)
print '\n\nSwap Info:'
pprint.pprint(rc, width=1000)
indexId = rc['']['IndexObjectID']
print '\n\nIndex object Id: %s' % indexId
fixings = readPeakIndexFixings("../../data/fr007_fixing.csv")
print '\n\n%s fixings loaded' % len(fixings)
rc = p.py_IndexAddFixings(indexId, fixings.keys(), fixings.values())
print '\nFixings added to %s' % rc
d = datetime.date(2017, 12, 18)
rc = p.py_IndexFixings(indexId, [d])
print '\nFixings without curve for %s is %s' % (d, rc)
rc = p.py_CreateIRSwap(swapId, {'PredefinedConvention': 'CNY_REPO_7D'},
startDate, **att)
rc = p.py_SwapInfo([swapId], 0, anchorDate)
print '\n\nSwapInfo:'
pprint.pprint(rc, width=1000)
curve = p.py_BuildCfetsCurve(curveName,
anchorDate,
indexName,
tenors,
rates,
method,
discCurveName=discCurveName)
print '\n\nCurve created: %s' % curve
d1 = startDate + datetime.timedelta(days=7)
df = p.py_YieldTSDiscount(curveName, [startDate, d1],
allowExtrapolation=True)
print 'Discount factor for %s is %s' % ([startDate, d1], df)
rc = p.py_IndexFixings(indexId, [d], fwdCurveId=curveName)
print '\nFixings with curve for %s is %s' % (d, rc)
npv = p.py_SwapLegNPV([swapId],
curveName,
discCurveName,
anchorDate,
True,
debugLevel=2)
print '\nSwap NPV = %s' % npv
rc = p.py_SwapLegAnalysis(swapId,
0,
afterDate=datetime.date(2018, 1, 25),
forwardCurveId=curveName,
discountCurveId='',
afterDateInclusive=False,
forecastTodaysFixing=True,
useSqlFriendlyColHeaders=True,
selectedColumns='All',
toDate=datetime.date(2100, 12, 31))
print '\nSwapLegAnalysis:'
pprint.pprint(rc, width=1000)
rc = p.py_IndexName(indexId)
print '\nIndex Name "%s"' % rc