def setUp(self): self._pricingDate = Date(month=9,day=12,year=2011) self._marketId = 'TEST1' QuantLib.Settings.instance().evaluationDate = self._pricingDate.ql() self._tcSwap = TCSwap(name='Dummy', ccy = Currency('USD'), startDate = date(month=9,day=14,year=2011), endDate = date(month=9,day=14,year=2016), fixedCoupon = 0.01, fixedBasis = Basis.createBasis('30360'), fixedPaymentFrequency = Frequency('S'), fixedPaymentRollRule = Roll('MF'), fixedPaymentCalendar = Calendar.createCalendar('US'), floatingIndex = Index('LIBOR'), floatingIndexTerm = TimePeriod('M'), floatingIndexNumTerms = 3, floatingSpread = 0.0, floatingBasis = Basis.createBasis('30360'), floatingPaymentFrequency = Frequency('Q'), floatingPaymentRollRule = Roll('MF'), floatingPaymentCalendar = Calendar.createCalendar('US'), floatingResetFrequency = Frequency('Q'), floatingResetRollRule = Roll('MF'), floatingResetCalendar = Calendar.createCalendar('US')) self._pos = SwapPosition(amount=1000000, tcSwap=self._tcSwap)
def to_python(self, value): if isinstance(value, Basis.Basis): return value if value is None or value == '': return value #TODO: catch exception and raise ValidationError for forms return Basis.createBasis(value)