def test_excel_example_with_zero_coupon_bond(self):
todays_date = Date(25, August, 2011)
settlement_days = 3
face_amount = 100
calendar = TARGET()
maturity_date = Date(26, February, 2024)
bond = ZeroCouponBond(settlement_days, calendar, face_amount,
maturity_date, Following, 100.0, todays_date)
discounting_term_structure = YieldTermStructure(relinkable=True)
flat_term_structure = FlatForward(settlement_days=1,
forward=0.044,
calendar=NullCalendar(),
daycounter=Actual365Fixed(),
compounding=Continuous,
frequency=Annual)
discounting_term_structure.link_to(flat_term_structure)
engine = DiscountingBondEngine(discounting_term_structure)
bond.set_pricing_engine(engine)
self.assertEquals(calendar.advance(todays_date, 3, Days),
bond.settlement_date())
self.assertEquals(0., bond.accrued_amount(bond.settlement_date()))
self.assertAlmostEquals(57.6915, bond.clean_price, 4)
def test_christmas_is_holiday(self):
calendar = TARGET()
date = Date(24, 12, 2011)
self.assertTrue(calendar.is_holiday(date))
def setUp(self):
self.calendar = TARGET()
self.settlement_days = 2
self.adjusted_today = self.calendar.adjust(today())
Settings().evaluation_date = self.adjusted_today
self.settlement_date = self.calendar.advance(
today(), self.settlement_days, Days
)
def _cfamounts(coupon_rate, pricing_date, maturity_date,
period, basis):
"""
cash flow schedule
"""
_period = str_to_frequency(period)
evaluation_date = pydate_to_qldate(pricing_date)
settings = Settings()
settings.evaluation_date = evaluation_date
calendar = TARGET()
termination_date = pydate_to_qldate(maturity_date)
# effective date must be before settlement date, but do not
# care about exact issuance date of bond
effective_date = Date(termination_date.day, termination_date.month,
evaluation_date.year)
effective_date = calendar.advance(
effective_date, -1, Years, convention=Unadjusted)
face_amount = 100.0
redemption = 100.0
fixed_bond_schedule = Schedule(
effective_date,
termination_date,
Period(_period),
calendar,
ModifiedFollowing,
ModifiedFollowing,
Backward
)
issue_date = effective_date
cnt = DayCounter.from_name(basis)
settlement_days = 2
bond = FixedRateBond(
settlement_days,
face_amount,
fixed_bond_schedule,
[coupon_rate],
cnt,
Following,
redemption,
issue_date)
res = zip(*bond.cashflows)
return(res)
def test_excel_example_with_fixed_rate_bond(self):
'''Port the QuantLib Excel adding bond example to Python. '''
todays_date = Date(25, August, 2011)
settings = Settings()
settings.evaluation_date = todays_date
calendar = TARGET()
effective_date = Date(10, Jul, 2006)
termination_date = calendar.advance(effective_date,
10,
Years,
convention=Unadjusted)
settlement_days = 3
face_amount = 100.0
coupon_rate = 0.05
redemption = 100.0
fixed_bond_schedule = Schedule(effective_date, termination_date,
Period(Annual), calendar,
ModifiedFollowing, ModifiedFollowing,
Backward)
issue_date = effective_date
bond = FixedRateBond(settlement_days, face_amount,
fixed_bond_schedule, [coupon_rate],
ActualActual(ISMA), Following, redemption,
issue_date)
discounting_term_structure = YieldTermStructure(relinkable=True)
flat_term_structure = FlatForward(settlement_days=1,
forward=0.044,
calendar=NullCalendar(),
daycounter=Actual365Fixed(),
compounding=Continuous,
frequency=Annual)
discounting_term_structure.link_to(flat_term_structure)
engine = DiscountingBondEngine(discounting_term_structure)
bond.set_pricing_engine(engine)
self.assertEquals(Date(10, Jul, 2016), termination_date)
self.assertEquals(calendar.advance(todays_date, 3, Days),
bond.settlement_date())
self.assertEquals(Date(11, Jul, 2016), bond.maturity_date)
self.assertAlmostEqual(0.6849,
bond.accrued_amount(bond.settlement_date()), 4)
self.assertAlmostEqual(102.1154, bond.clean_price, 4)
def test_calendar_creation(self):
calendar = TARGET()
self.assertEquals('TARGET', calendar.name)
ukcalendar = UnitedKingdom()
self.assertEquals('UK settlement', ukcalendar.name)
lse_cal = UnitedKingdom(market=EXCHANGE)
self.assertEquals('London stock exchange', lse_cal.name)
null_calendar = NullCalendar()
self.assertEquals('Null', null_calendar.name)
def test_bucket_analysis_option(self):
settings = Settings()
calendar = TARGET()
todays_date = Date(15, May, 1998)
settlement_date = Date(17, May, 1998)
settings.evaluation_date = todays_date
option_type = Put
underlying = 40
strike = 40
dividend_yield = 0.00
risk_free_rate = 0.001
volatility = 0.20
maturity = Date(17, May, 1999)
daycounter = Actual365Fixed()
underlyingH = SimpleQuote(underlying)
payoff = PlainVanillaPayoff(option_type, strike)
flat_term_structure = FlatForward(reference_date=settlement_date,
forward=risk_free_rate,
daycounter=daycounter)
flat_dividend_ts = FlatForward(reference_date=settlement_date,
forward=dividend_yield,
daycounter=daycounter)
flat_vol_ts = BlackConstantVol(settlement_date, calendar, volatility,
daycounter)
black_scholes_merton_process = BlackScholesMertonProcess(
underlyingH, flat_dividend_ts, flat_term_structure, flat_vol_ts)
european_exercise = EuropeanExercise(maturity)
european_option = VanillaOption(payoff, european_exercise)
analytic_european_engine = AnalyticEuropeanEngine(
black_scholes_merton_process)
european_option.set_pricing_engine(analytic_european_engine)
ba_eo = bucket_analysis([[underlyingH]], [european_option], [1], 0.50,
1)
self.assertTrue(2, ba_eo)
self.assertTrue(type(tuple), ba_eo)
self.assertEquals(1, len(ba_eo[0][0]))
self.assertEquals(-0.4582666150152517, ba_eo[0][0][0])
def test_iteration_on_date_list(self):
date_iterator = holiday_list(TARGET(), Date(1, Jan, 2000),
Date(1, Jan, 2001))
holidays = [
Date(21, Apr, 2000),
Date(24, Apr, 2000),
Date(1, May, 2000),
Date(25, Dec, 2000),
Date(26, Dec, 2000),
Date(1, Jan, 2001)
]
for date in date_iterator:
self.assertIn(date, holidays)
class CalendarFactory:
_lookup = dict([(cal.name(), cal) for cal in [
TARGET(),
NullCalendar(),
Germany(),
Germany(EUREX),
Germany(FrankfurtStockExchange),
Germany(GER_SETTLEMENT),
Germany(EUWAX),
Germany(XETRA),
UnitedKingdom(),
UnitedKingdom(EXCHANGE),
UnitedKingdom(METALS),
UnitedKingdom(UK_SETTLEMENT),
UnitedStates(),
UnitedStates(GOVERNMENTBOND),
UnitedStates(NYSE),
UnitedStates(NERC),
UnitedStates(US_SETTLEMENT)
]])
def test_excel_example_with_floating_rate_bond(self):
todays_date = Date(25, August, 2011)
settings = Settings()
settings.evaluation_date = todays_date
calendar = TARGET()
effective_date = Date(10, Jul, 2006)
termination_date = calendar.advance(effective_date,
10,
Years,
convention=Unadjusted)
settlement_date = calendar.adjust(Date(28, January, 2011))
settlement_days = 3 #1
face_amount = 13749769.27 #2
coupon_rate = 0.05
redemption = 100.0
float_bond_schedule = Schedule(effective_date, termination_date,
Period(Annual), calendar,
ModifiedFollowing, ModifiedFollowing,
Backward) #3
flat_discounting_term_structure = YieldTermStructure(relinkable=True)
forecastTermStructure = YieldTermStructure(relinkable=True)
dc = Actual360()
ibor_index = Euribor6M(forecastTermStructure) #5
fixing_days = 2 #6
gearings = [1, 0.0] #7
spreads = [1, 0.05] #8
caps = [] #9
floors = [] #10
pmt_conv = ModifiedFollowing #11
issue_date = effective_date
float_bond = FloatingRateBond(settlement_days, face_amount,
float_bond_schedule, ibor_index, dc,
fixing_days, gearings, spreads, caps,
floors, pmt_conv, redemption, issue_date)
flat_term_structure = FlatForward(settlement_days=1,
forward=0.055,
calendar=NullCalendar(),
daycounter=Actual365Fixed(),
compounding=Continuous,
frequency=Annual)
flat_discounting_term_structure.link_to(flat_term_structure)
forecastTermStructure.link_to(flat_term_structure)
engine = DiscountingBondEngine(flat_discounting_term_structure)
float_bond.set_pricing_engine(engine)
cons_option_vol = ConstantOptionletVolatility(settlement_days,
UnitedStates(SETTLEMENT),
pmt_conv, 0.95,
Actual365Fixed())
coupon_pricer = BlackIborCouponPricer(cons_option_vol)
set_coupon_pricer(float_bond, coupon_pricer)
self.assertEquals(Date(10, Jul, 2016), termination_date)
self.assertEquals(calendar.advance(todays_date, 3, Days),
float_bond.settlement_date())
self.assertEquals(Date(11, Jul, 2016), float_bond.maturity_date)
self.assertAlmostEqual(
0.6944, float_bond.accrued_amount(float_bond.settlement_date()), 4)
self.assertAlmostEqual(98.2485, float_bond.dirty_price, 4)
self.assertAlmostEqual(13500805.2469, float_bond.npv, 4)
def test_bucketanalysis_bond(self):
settings = Settings()
calendar = TARGET()
settlement_date = calendar.adjust(Date(28, January, 2011))
simple_quotes = []
fixing_days = 1
settlement_days = 1
todays_date = calendar.advance(settlement_date, -fixing_days, Days)
settings.evaluation_date = todays_date
face_amount = 100.0
redemption = 100.0
issue_date = Date(27, January, 2011)
maturity_date = Date(1, January, 2021)
coupon_rate = 0.055
bond_yield = 0.034921
flat_discounting_term_structure = YieldTermStructure(relinkable=True)
flat_term_structure = FlatForward(reference_date=settlement_date,
forward=bond_yield,
daycounter=Actual365Fixed(),
compounding=Compounded,
frequency=Semiannual)
flat_discounting_term_structure.link_to(flat_term_structure)
fixed_bond_schedule = Schedule(issue_date, maturity_date,
Period(Semiannual),
UnitedStates(market=GOVERNMENTBOND),
Unadjusted, Unadjusted, Backward, False)
bond = FixedRateBond(settlement_days, face_amount,
fixed_bond_schedule, [coupon_rate],
ActualActual(Bond), Unadjusted, redemption,
issue_date)
zspd = bf.zSpread(bond, 100.0, flat_term_structure, Actual365Fixed(),
Compounded, Semiannual, settlement_date, 1e-6, 100,
0.5)
depositData = [[1, Months, 4.581], [2, Months, 4.573],
[3, Months, 4.557], [6, Months, 4.496],
[9, Months, 4.490]]
swapData = [[1, Years, 4.54], [5, Years, 4.99], [10, Years, 5.47],
[20, Years, 5.89], [30, Years, 5.96]]
rate_helpers = []
end_of_month = True
for m, period, rate in depositData:
tenor = Period(m, Months)
sq_rate = SimpleQuote(rate / 100)
helper = DepositRateHelper(sq_rate, tenor, settlement_days,
calendar, ModifiedFollowing,
end_of_month, Actual360())
simple_quotes.append(sq_rate)
rate_helpers.append(helper)
liborIndex = Libor('USD Libor', Period(6, Months), settlement_days,
USDCurrency(), calendar, Actual360(),
YieldTermStructure(relinkable=False))
spread = SimpleQuote(0)
fwdStart = Period(0, Days)
for m, period, rate in swapData:
sq_rate = SimpleQuote(rate / 100)
helper = SwapRateHelper.from_tenor(sq_rate, Period(m, Years),
calendar, Annual, Unadjusted,
Thirty360(), liborIndex, spread,
fwdStart)
simple_quotes.append(sq_rate)
rate_helpers.append(helper)
ts_day_counter = ActualActual(ISDA)
tolerance = 1.0e-15
ts = PiecewiseYieldCurve('discount', 'loglinear', settlement_date,
rate_helpers, ts_day_counter, tolerance)
discounting_term_structure = YieldTermStructure(relinkable=True)
discounting_term_structure.link_to(ts)
pricing_engine = DiscountingBondEngine(discounting_term_structure)
bond.set_pricing_engine(pricing_engine)
self.assertAlmostEquals(bond.npv, 100.83702940160767)
ba = bucket_analysis([simple_quotes], [bond], [1], 0.0001, 1)
self.assertTrue(2, ba)
self.assertTrue(type(tuple), ba)
self.assertEquals(len(simple_quotes), len(ba[0][0]))
self.assertEquals(0, ba[0][0][8])
def test_display(self):
settings = Settings()
# Date setup
calendar = TARGET()
# Settlement date
settlement_date = calendar.adjust(Date(28, January, 2011))
# Evaluation date
fixing_days = 1
settlement_days = 1
todays_date = calendar.advance(
settlement_date, -fixing_days, Days
)
settings.evaluation_date = todays_date
# Bound attributes
face_amount = 100.0
redemption = 100.0
issue_date = Date(27, January, 2011)
maturity_date = Date(31, August, 2020)
coupon_rate = 0.03625
bond_yield = 0.034921
flat_discounting_term_structure = YieldTermStructure(relinkable=True)
flat_term_structure = FlatForward(
reference_date = settlement_date,
forward = bond_yield,
daycounter = Actual365Fixed(), #actual_actual.ActualActual(actual_actual.Bond),
compounding = Compounded,
frequency = Semiannual)
# have a look at the FixedRateBondHelper to simplify this
# construction
flat_discounting_term_structure.link_to(flat_term_structure)
#Rate
fixed_bond_schedule = Schedule(
issue_date,
maturity_date,
Period(Semiannual),
UnitedStates(market=GOVERNMENTBOND),
Unadjusted,
Unadjusted,
Backward,
False);
bond = FixedRateBond(
settlement_days,
face_amount,
fixed_bond_schedule,
[coupon_rate],
ActualActual(Bond),
Unadjusted,
redemption,
issue_date
)
d=bf.startDate(bond)
zspd=bf.zSpread(bond, 100.0, flat_term_structure, Actual365Fixed(),
Compounded, Semiannual, settlement_date, 1e-6, 100, 0.5)
#Also need a test case for a PiecewiseTermStructure...
depositData = [[ 1, Months, 4.581 ],
[ 2, Months, 4.573 ],
[ 3, Months, 4.557 ],
[ 6, Months, 4.496 ],
[ 9, Months, 4.490 ]]
swapData = [[ 1, Years, 4.54 ],
[ 5, Years, 4.99 ],
[ 10, Years, 5.47 ],
[ 20, Years, 5.89 ],
[ 30, Years, 5.96 ]]
rate_helpers = []
end_of_month = True
for m, period, rate in depositData:
tenor = Period(m, Months)
helper = DepositRateHelper(SimpleQuote(rate/100), tenor, settlement_days,
calendar, ModifiedFollowing, end_of_month,
Actual360())
rate_helpers.append(helper)
liborIndex = Libor('USD Libor', Period(6, Months), settlement_days,
USDCurrency(), calendar, Actual360(),
YieldTermStructure(relinkable=False))
spread = SimpleQuote(0)
fwdStart = Period(0, Days)
for m, period, rate in swapData:
helper = SwapRateHelper.from_tenor(
SimpleQuote(rate/100), Period(m, Years), calendar, Annual, Unadjusted, Thirty360(), liborIndex,
spread, fwdStart
)
rate_helpers.append(helper)
ts_day_counter = ActualActual(ISDA)
tolerance = 1.0e-15
ts = PiecewiseYieldCurve(
'discount', 'loglinear', settlement_date, rate_helpers,
ts_day_counter, tolerance)
pyc_zspd=bf.zSpread(bond, 102.0, ts, ActualActual(ISDA),
Compounded, Semiannual, Date(1, April, 2015), 1e-6, 100, 0.5)
pyc_zspd_disco=bf.zSpread(bond, 95.0, ts, ActualActual(ISDA),
Compounded, Semiannual, settlement_date, 1e-6, 100, 0.5)
yld = bf.yld(bond, 102.0, ActualActual(ISDA), Compounded, Semiannual, settlement_date, 1e-6, 100, 0.5)
dur = bf.duration(bond, yld, ActualActual(ISDA), Compounded, Semiannual, 2, settlement_date)
yld_disco = bf.yld(bond, 95.0, ActualActual(ISDA), Compounded, Semiannual, settlement_date, 1e-6, 100, 0.5)
dur_disco = bf.duration(bond, yld_disco, ActualActual(ISDA), Compounded, Semiannual, 2, settlement_date)
self.assertEqual(round(zspd, 6), 0.001281)
self.assertEqual(round(pyc_zspd, 4), -0.0264)
self.assertEqual(round(pyc_zspd_disco, 4), -0.0114)
self.assertEqual(round(yld, 4), 0.0338)
self.assertEqual(round(yld_disco, 4), 0.0426)
self.assertEqual(round(dur, 4), 8.0655)
self.assertEqual(round(dur_disco, 4), 7.9702)
from quantlib.compounding import Continuous
from quantlib.pricingengines.bond import DiscountingBondEngine
from quantlib.time.date import Date, August, Period, Jul, Annual, Years
from quantlib.time.daycounter import Actual365Fixed
from quantlib.time.daycounters.actual_actual import ActualActual, ISMA
from quantlib.time.schedule import Schedule, Backward
from quantlib.settings import Settings
from quantlib.termstructures.yields.api import (FlatForward,
YieldTermStructure)
todays_date = Date(25, August, 2011)
settings = Settings.instance()
settings.evaluation_date = todays_date
calendar = TARGET()
effective_date = Date(10, Jul, 2006)
termination_date = calendar.advance(effective_date,
10,
Years,
convention=Unadjusted)
settlement_days = 3
face_amount = 100.0
coupon_rate = 0.05
redemption = 100.0
fixed_bond_schedule = Schedule(effective_date, termination_date,
Period(Annual), calendar, ModifiedFollowing,
ModifiedFollowing, Backward)
def _bndprice(bond_yield, coupon_rate, pricing_date, maturity_date,
period, basis, compounding_frequency):
"""
Clean price and accrued interest of a bond
"""
_period = str_to_frequency(period)
evaluation_date = pydate_to_qldate(pricing_date)
settings = Settings()
settings.evaluation_date = evaluation_date
calendar = TARGET()
termination_date = pydate_to_qldate(maturity_date)
# effective date must be before settlement date, but do not
# care about exact issuance date of bond
effective_date = Date(termination_date.day, termination_date.month,
evaluation_date.year)
effective_date = calendar.advance(
effective_date, -1, Years, convention=Unadjusted)
settlement_date = calendar.advance(
evaluation_date, 2, Days, convention=ModifiedFollowing)
face_amount = 100.0
redemption = 100.0
fixed_bond_schedule = Schedule(
effective_date,
termination_date,
Period(_period),
calendar,
ModifiedFollowing,
ModifiedFollowing,
Backward
)
issue_date = effective_date
cnt = DayCounter.from_name(basis)
settlement_days = 2
bond = FixedRateBond(
settlement_days,
face_amount,
fixed_bond_schedule,
[coupon_rate],
cnt,
Following,
redemption,
issue_date
)
discounting_term_structure = YieldTermStructure(relinkable=True)
cnt_yield = DayCounter.from_name('Actual/Actual (Historical)')
flat_term_structure = FlatForward(
settlement_days=2,
forward=bond_yield,
calendar=NullCalendar(),
daycounter=cnt_yield,
compounding=Compounded,
frequency=_period)
discounting_term_structure.link_to(flat_term_structure)
engine = DiscountingBondEngine(discounting_term_structure)
bond.set_pricing_engine(engine)
price = bond.clean_price
ac = bond.accrued_amount(pydate_to_qldate(settlement_date))
return (price, ac)
def test_pricing_bond(self):
'''Inspired by the C++ code from http://quantcorner.wordpress.com/.'''
settings = Settings()
# Date setup
calendar = TARGET()
# Settlement date
settlement_date = calendar.adjust(Date(28, January, 2011))
# Evaluation date
fixing_days = 1
settlement_days = 1
todays_date = calendar.advance(settlement_date, -fixing_days, Days)
settings.evaluation_date = todays_date
# Bound attributes
face_amount = 100.0
redemption = 100.0
issue_date = Date(27, January, 2011)
maturity_date = Date(31, August, 2020)
coupon_rate = 0.03625
bond_yield = 0.034921
discounting_term_structure = YieldTermStructure(relinkable=True)
flat_term_structure = FlatForward(
reference_date=settlement_date,
forward=bond_yield,
daycounter=Actual365Fixed(
), #actual_actual.ActualActual(actual_actual.Bond),
compounding=Compounded,
frequency=Semiannual)
# have a look at the FixedRateBondHelper to simplify this
# construction
discounting_term_structure.link_to(flat_term_structure)
#Rate
fixed_bond_schedule = Schedule(issue_date, maturity_date,
Period(Semiannual),
UnitedStates(market=GOVERNMENTBOND),
Unadjusted, Unadjusted, Backward, False)
bond = FixedRateBond(settlement_days, face_amount,
fixed_bond_schedule, [coupon_rate],
ActualActual(Bond), Unadjusted, redemption,
issue_date)
bond.set_pricing_engine(discounting_term_structure)
# tests
self.assertTrue(Date(27, January, 2011), bond.issue_date)
self.assertTrue(Date(31, August, 2020), bond.maturity_date)
self.assertTrue(settings.evaluation_date, bond.valuation_date)
# the following assertion fails but must be verified
self.assertAlmostEqual(101.1, bond.clean_price, 1)
self.assertAlmostEqual(101.1, bond.net_present_value, 1)
self.assertAlmostEqual(101.1, bond.dirty_price)
self.assertAlmostEqual(0.009851, bond.accrued_amount())
print(settings.evaluation_date)
print('Principal: {}'.format(face_amount))
print('Issuing date: {} '.format(bond.issue_date))
print('Maturity: {}'.format(bond.maturity_date))
print('Coupon rate: {:.4%}'.format(coupon_rate))
print('Yield: {:.4%}'.format(bond_yield))
print('Net present value: {:.4f}'.format(bond.net_present_value))
print('Clean price: {:.4f}'.format(bond.clean_price))
print('Dirty price: {:.4f}'.format(bond.dirty_price))
print('Accrued coupon: {:.6f}'.format(bond.accrued_amount()))
print('Accrued coupon: {:.6f}'.format(
bond.accrued_amount(Date(1, March, 2011))))
from quantlib.time.calendars.null_calendar import NullCalendar
import quantlib.time.calendars.germany as ger
import quantlib.time.calendars.united_states as us
import quantlib.time.calendars.united_kingdom as uk
import quantlib.time.calendars.japan as jp
import quantlib.time.calendars.switzerland as sw
from quantlib.time.calendar import TARGET
from quantlib.util.object_registry import ObjectRegistry
#ISO-3166 country codes (http://en.wikipedia.org/wiki/ISO_3166-1)
ISO_3166_CALENDARS = {
'TARGET': TARGET(),
'NULL': NullCalendar(),
'DEU': ger.Germany(),
'EUREX': ger.Germany(ger.EUREX),
'FSE': ger.Germany(ger.FRANKFURT_STOCK_EXCHANGE),
'EUWAX': ger.Germany(ger.EUWAX),
'XETRA': ger.Germany(ger.XETRA),
'GBR': uk.UnitedKingdom(),
'LSE': uk.UnitedKingdom(uk.EXCHANGE),
'LME': uk.UnitedKingdom(uk.METALS),
'USA': us.UnitedStates(),
'USA-GVT-BONDS': us.UnitedStates(us.GOVERNMENTBOND),
'NYSE': us.UnitedStates(us.NYSE),
'NERC': us.UnitedStates(us.NERC),
'JPN': jp.Japan(),
'CHE': sw.Switzerland()
}
def initialize_code_registry():
class Calendars(dict):
'''
Wrapper for quantlib Calendar objects and methods.
Accepts python.datetime objects and strings
instead of pyql.quantlib dates.
:adjust: Adjust date to business day
:advance: Advance date by specified period
:is_business_day: Checks date
can be used as a dict using name property of pyql.quantlib.calendar objects
for example:
Calendars()['TARGET'] returns TARGET calendar
'''
from quantlib.time.calendar import TARGET
from quantlib.time.calendars.null_calendar import NullCalendar
from quantlib.time.calendars.germany import (
Germany, EUREX, FrankfurtStockExchange, SETTLEMENT as GER_SETTLEMENT,
EUWAX, XETRA
)
from quantlib.time.calendars.united_kingdom import (
EXCHANGE, METALS, SETTLEMENT as UK_SETTLEMENT,
UnitedKingdom
)
from quantlib.time.calendars.united_states import (
UnitedStates, GOVERNMENTBOND, NYSE, NERC, SETTLEMENT as US_SETTLEMENT
)
_lookup = dict([(cal.name(), cal) for cal in
[TARGET(), NullCalendar(),
Germany(), Germany(EUREX), Germany(
FrankfurtStockExchange),
Germany(GER_SETTLEMENT), Germany(
EUWAX), Germany(XETRA),
UnitedKingdom(),
UnitedKingdom(EXCHANGE), UnitedKingdom(METALS),
UnitedKingdom(UK_SETTLEMENT),
UnitedStates(),
UnitedStates(GOVERNMENTBOND), UnitedStates(
NYSE), UnitedStates(NERC),
UnitedStates(US_SETTLEMENT)]
]
)
def __init__(self, *args):
dict.__init__(self, self._lookup)
self.update(*args)
@classmethod
def adjust(cls, date, calendar=None, convention=None):
if not calendar:
calendar = cls.TARGET()
elif not hasattr(calendar, "adjust"):
return None
if not convention:
convention = BusinessDayConventions.Following
qldate = qldate_from_pydate(pydate(date))
try:
return pydate_from_qldate(calendar.adjust(qldate, convention))
except:
try:
return pydate_from_qldate(calendar().adjust(qldate,
convention))
except:
return None
@classmethod
def advance(cls, date, n, timeunit=None, calendar=None, convention=None):
"""
Advance pydate according the specified calendar and convention
:pydate: e.g. 19600809, date(1964, 9, 29), '5-23-1993'
:n: integer
:timeunit: e.g., enums.TimeUnits.Days
usage
-----
Note 9/6/1980 is a weekend
>>> Calendars.advance(19800906, 1)
datetime.date(1980, 9, 8)
"""
if not calendar:
calendar = cls.TARGET()
elif not hasattr(calendar, "advance"):
return None
if not convention:
convention = BusinessDayConventions.Following
if not timeunit:
timeunit = TimeUnits.Days
qldate = qldate_from_pydate(pydate(date))
try:
return pydate_from_qldate(calendar.advance(qldate, n, timeunit))
except:
try:
return pydate_from_qldate(
calendar().advance(qldate, n, timeunit)
)
except:
print("failure {}".format(qldate))
return None
@classmethod
def is_business_day(cls, date, calendar=None):
if not calendar:
calendar = cls.TARGET()
elif not hasattr(calendar, "advance"):
return None
qldate = qldate_from_pydate(pydate(date))
try:
return calendar.is_business_day(qldate)
except:
try:
return calendar().is_business_day(qldate)
except:
return None
