def calculate_next_coupon(self, coupon_date, freq, biz_day_conv, iso,
lastDate):
next_coupon_date = None
if freq[-1:] == "M":
months = int(freq[:-2])
next_coupon_date = coupon_date + relativedelta(months=months)
elif freq[-1:] == "D":
days = int(freq[:-2])
next_coupon_date = coupon_date + relativedelta(days=days)
elif freq[-1:] == "W":
weeks = int(freq[:-2])
next_coupon_date = coupon_date + relativedelta(weeks=weeks)
else:
raise RuntimeError('Invalid coupon frequency: %s' % freq)
cal = CalendarFactory().get(iso)
biz_day = next_coupon_date
if not cal.is_working_day(next_coupon_date):
if biz_day_conv == "ADJMBC" or biz_day_conv == "MBC":
biz_day = self.get_next_business_day(next_coupon_date, iso)
if (biz_day.month != next_coupon_date.month):
biz_day = self.get_prev_business_day(next_coupon_date, iso)
elif biz_day_conv == "ADJFWD" or biz_day_conv == "FWD":
biz_day = self.get_next_business_day(next_coupon_date, iso)
elif biz_day_conv == "ADJBACK":
biz_day = self.get_prev_business_day(next_coupon_date, iso)
elif biz_day_conv == "ADJROLL" or biz_day_conv == "ROLL":
biz_day = self.get_next_business_day(next_coupon_date, iso)
else:
#TODO: raise RuntimeError('Invalid business day convention: %s' % biz_day_conv)
biz_day = next_coupon_date
if lastDate == True:
next_coupon_date = self.last_day_of_month(next_coupon_date)
return {
'next_coupon_date': next_coupon_date,
'act_coupon_date': biz_day
}
def calculate_next_coupon(self, coupon_date, freq, biz_day_conv,iso,lastDate):
next_coupon_date = None
if freq[-1:] == "M":
months = int(freq[:-2])
next_coupon_date = coupon_date + relativedelta(months=months)
elif freq[-1:] == "D":
days = int(freq[:-2])
next_coupon_date = coupon_date + relativedelta(days=days)
elif freq[-1:] == "W":
weeks = int(freq[:-2])
next_coupon_date = coupon_date + relativedelta(weeks=weeks)
else:
raise RuntimeError('Invalid coupon frequency: %s' % freq)
cal = CalendarFactory().get(iso)
biz_day = next_coupon_date
if not cal.is_working_day(next_coupon_date):
if biz_day_conv == "ADJMBC" or biz_day_conv == "MBC":
biz_day = self.get_next_business_day(next_coupon_date,iso)
if(biz_day.month != next_coupon_date.month):
biz_day = self.get_prev_business_day(next_coupon_date,iso)
elif biz_day_conv == "ADJFWD" or biz_day_conv == "FWD":
biz_day = self.get_next_business_day(next_coupon_date,iso)
elif biz_day_conv == "ADJBACK":
biz_day = self.get_prev_business_day(next_coupon_date,iso)
elif biz_day_conv == "ADJROLL" or biz_day_conv == "ROLL":
biz_day =self.get_next_business_day(next_coupon_date,iso)
else:
#TODO: raise RuntimeError('Invalid business day convention: %s' % biz_day_conv)
biz_day = next_coupon_date
if lastDate == True:
next_coupon_date = self.last_day_of_month(next_coupon_date)
return {'next_coupon_date': next_coupon_date, 'act_coupon_date': biz_day}
def get_prev_business_day(self, coupon_date, iso):
cal = CalendarFactory().get(iso)
prev_day = coupon_date - relativedelta(days=1)
while (not cal.is_working_day(prev_day)):
prev_day = prev_day - relativedelta(days=1)
return prev_day
def get_next_business_day(self, coupon_date, iso):
cal = CalendarFactory().get(iso)
next_day = coupon_date + relativedelta(days=1)
while (not cal.is_working_day(next_day)):
next_day = next_day + relativedelta(days=1)
return next_day
def get_prev_business_day(self, coupon_date,iso): cal = CalendarFactory().get(iso) prev_day = coupon_date - relativedelta(days=1) while(not cal.is_working_day(prev_day)): prev_day = prev_day - relativedelta(days=1) return prev_day
def get_next_business_day(self, coupon_date,iso): cal = CalendarFactory().get(iso) next_day = coupon_date + relativedelta(days=1) while(not cal.is_working_day(next_day)): next_day = next_day + relativedelta(days=1) return next_day