def get_contract_list_4year_range(**kwargs):
now = datetime.datetime.utcnow()
start_year = kwargs['start_year']
end_year = kwargs['end_year']
if 'tickerhead_list' in kwargs.keys():
tickerhead_list = kwargs['tickerhead_list']
else:
tickerhead_list = cmi.cme_futures_tickerhead_list
futures_contract_months = cmi.futures_contract_months
contract_name_dict = cmi.contract_name
ticker_class_dict = cmi.ticker_class
year_list = range(start_year,end_year)
ticker_list = []
for i in tickerhead_list:
contract_months = futures_contract_months[i]
for j in contract_months:
for k in year_list:
ticker = i+j+str(k)
ticker_list.append((ticker,i,k,cmi.letter_month_string.find(j)+1,exp.get_futures_expiration(ticker),
'futures',contract_name_dict[i],ticker_class_dict[i],'USD',now,now))
return ticker_list
def get_contract_list_4year_range(**kwargs):
now = datetime.datetime.utcnow()
start_year = kwargs["start_year"]
end_year = kwargs["end_year"]
if "tickerhead_list" in kwargs.keys():
tickerhead_list = kwargs["tickerhead_list"]
else:
tickerhead_list = cmi.cme_futures_tickerhead_list
futures_contract_months = cmi.futures_contract_months
contract_name_dict = cmi.contract_name
ticker_class_dict = cmi.ticker_class
year_list = range(start_year, end_year)
ticker_list = []
for i in tickerhead_list:
contract_months = futures_contract_months[i]
for j in contract_months:
for k in year_list:
ticker = i + j + str(k)
ticker_list.append(
(
ticker,
i,
k,
cmi.letter_month_string.find(j) + 1,
exp.get_futures_expiration(ticker),
"futures",
contract_name_dict[i],
ticker_class_dict[i],
"USD",
now,
now,
)
)
return ticker_list
def get_simple_rate(**kwargs):
as_of_date = kwargs['as_of_date']
date_to = kwargs['date_to']
if 'date_from' in kwargs.keys():
date_from = kwargs['date_from']
else:
date_from = as_of_date
if 'ticker_head' in kwargs.keys():
ticker_head = kwargs['ticker_head']
else:
ticker_head = 'ED'
ta_output_dir = dn.get_dated_directory_extension(folder_date=as_of_date,
ext='ta')
file_name = ta_output_dir + '/' + ticker_head + '_interest_curve.pkl'
#print('as_of_date: ' + str(as_of_date) + ', date_to: ' + str(date_to))
if os.path.isfile(file_name):
price_frame = pd.read_pickle(file_name)
if (not os.path.isfile(file_name)) or price_frame.empty:
price_frame = gfp.get_futures_price_preloaded(ticker_head=ticker_head,
settle_date=as_of_date)
price_frame = price_frame[price_frame['close_price'].notnull()]
price_frame.sort_values('tr_dte', ascending=True, inplace=True)
price_frame['exp_date'] = [
exp.get_futures_expiration(x) for x in price_frame['ticker']
]
price_frame['implied_rate'] = 100 - price_frame['close_price']
price_frame.to_pickle(file_name)
if price_frame.empty:
return {
'rate_output':
np.NaN,
'price_frame':
pd.DataFrame(
columns=['ticker', 'cal_dte', 'exp_date', 'implied_rate'])
}
datetime_to = cu.convert_doubledate_2datetime(date_to)
datetime_from = cu.convert_doubledate_2datetime(date_from)
price_frame_first = price_frame[price_frame['exp_date'] <= datetime_from]
price_frame_middle = price_frame[(price_frame['exp_date'] > datetime_from)
& (price_frame['exp_date'] < datetime_to)]
if price_frame_middle.empty:
if not price_frame_first.empty:
rate_output = price_frame_first['implied_rate'].iloc[-1] / 100
else:
rate_output = price_frame['implied_rate'].iloc[0] / 100
return {
'rate_output':
rate_output,
'price_frame':
price_frame[['ticker', 'cal_dte', 'exp_date', 'implied_rate']]
}
if price_frame_first.empty:
first_rate = price_frame_middle['implied_rate'].iloc[0]
first_period = (
price_frame_middle['exp_date'].iloc[0].to_pydatetime() -
datetime_from).days
else:
first_rate = price_frame_first['implied_rate'].iloc[-1]
first_period = (
price_frame_middle['exp_date'].iloc[0].to_pydatetime() -
datetime_from).days
last_rate = price_frame_middle['implied_rate'].iloc[-1]
last_period = (
datetime_to -
price_frame_middle['exp_date'].iloc[-1].to_pydatetime()).days
middle_discount = [
1 + (price_frame_middle['implied_rate'].iloc[x] *
(price_frame_middle['cal_dte'].iloc[x + 1] -
price_frame_middle['cal_dte'].iloc[x]) / 36500)
for x in range(len(price_frame_middle.index) - 1)
]
total_discount = np.prod(
np.array(middle_discount)) * (1 +
(first_rate * first_period / 36500)) * (
1 +
(last_rate * last_period / 36500))
total_period = (
price_frame_middle['cal_dte'].iloc[-1] -
price_frame_middle['cal_dte'].iloc[0]) + first_period + last_period
rate_output = (total_discount - 1) * 365 / total_period
return {
'rate_output':
rate_output,
'price_frame':
price_frame[['ticker', 'cal_dte', 'exp_date', 'implied_rate']]
}
def get_simple_rate(**kwargs):
as_of_date = kwargs["as_of_date"]
date_to = kwargs["date_to"]
if "date_from" in kwargs.keys():
date_from = kwargs["date_from"]
else:
date_from = as_of_date
if "ticker_head" in kwargs.keys():
ticker_head = kwargs["ticker_head"]
else:
ticker_head = "ED"
ta_output_dir = dn.get_dated_directory_extension(folder_date=as_of_date, ext="ta")
file_name = ta_output_dir + "/" + ticker_head + "_interest_curve.pkl"
# print('as_of_date: ' + str(as_of_date) + ', date_to: ' + str(date_to))
if os.path.isfile(file_name):
price_frame = pd.read_pickle(file_name)
if (not os.path.isfile(file_name)) or price_frame.empty:
price_frame = gfp.get_futures_price_preloaded(ticker_head=ticker_head, settle_date=as_of_date)
price_frame = price_frame[price_frame["close_price"].notnull()]
price_frame.sort("tr_dte", ascending=True, inplace=True)
price_frame["exp_date"] = [exp.get_futures_expiration(x) for x in price_frame["ticker"]]
price_frame["implied_rate"] = 100 - price_frame["close_price"]
price_frame.to_pickle(file_name)
if price_frame.empty:
return {
"rate_output": np.NaN,
"price_frame": pd.DataFrame(columns=["ticker", "cal_dte", "exp_date", "implied_rate"]),
}
datetime_to = cu.convert_doubledate_2datetime(date_to)
datetime_from = cu.convert_doubledate_2datetime(date_from)
price_frame_first = price_frame[price_frame["exp_date"] <= datetime_from]
price_frame_middle = price_frame[
(price_frame["exp_date"] > datetime_from) & (price_frame["exp_date"] < datetime_to)
]
if price_frame_middle.empty:
if not price_frame_first.empty:
rate_output = price_frame_first["implied_rate"].iloc[-1] / 100
else:
rate_output = price_frame["implied_rate"].iloc[0] / 100
return {
"rate_output": rate_output,
"price_frame": price_frame[["ticker", "cal_dte", "exp_date", "implied_rate"]],
}
if price_frame_first.empty:
first_rate = price_frame_middle["implied_rate"].iloc[0]
first_period = (price_frame_middle["exp_date"].iloc[0].to_datetime() - datetime_from).days
else:
first_rate = price_frame_first["implied_rate"].iloc[-1]
first_period = (price_frame_middle["exp_date"].iloc[0].to_datetime() - datetime_from).days
last_rate = price_frame_middle["implied_rate"].iloc[-1]
last_period = (datetime_to - price_frame_middle["exp_date"].iloc[-1].to_datetime()).days
middle_discount = [
1
+ (
price_frame_middle["implied_rate"].iloc[x]
* (price_frame_middle["cal_dte"].iloc[x + 1] - price_frame_middle["cal_dte"].iloc[x])
/ 36500
)
for x in range(len(price_frame_middle.index) - 1)
]
total_discount = (
np.prod(np.array(middle_discount))
* (1 + (first_rate * first_period / 36500))
* (1 + (last_rate * last_period / 36500))
)
total_period = (
(price_frame_middle["cal_dte"].iloc[-1] - price_frame_middle["cal_dte"].iloc[0]) + first_period + last_period
)
rate_output = (total_discount - 1) * 365 / total_period
return {"rate_output": rate_output, "price_frame": price_frame[["ticker", "cal_dte", "exp_date", "implied_rate"]]}
('SIJ2016', pd.datetime(2016, 3, 28)),
('SIK2016', pd.datetime(2016, 4, 26)),
('SIM2016', pd.datetime(2016, 5, 25)),
('SIN2016', pd.datetime(2016, 6, 27)),
('SIQ2016', pd.datetime(2016, 7, 26)),
('SIU2016', pd.datetime(2016, 8, 25)),
('SIZ2016', pd.datetime(2016, 11, 22)),
('SIN2017', pd.datetime(2017, 6, 27)),
('SIZ2017', pd.datetime(2017, 11, 27)),
('SIN2018', pd.datetime(2018, 6, 26)),
('SIZ2018', pd.datetime(2018, 11, 27)),
('SIN2019', pd.datetime(2019, 6, 25)),
('SIZ2019', pd.datetime(2019, 11, 25)),
('SIN2020', pd.datetime(2020, 6, 25)),
('SIZ2020', pd.datetime(2020, 11, 24)))
success_indx = [exp.get_futures_expiration(expiration_test[i][0]) == expiration_test[i][1] for i in range(len(expiration_test))]
#success_indx = [exp.get_options_expiration(option_expiration_test[i][0]) == option_expiration_test[i][1] for i in range(len(option_expiration_test))]
failed = [expiration_test[i] for i in range(len(expiration_test)) if not success_indx[i]]
#failed = [option_expiration_test[i] for i in range(len(option_expiration_test)) if not success_indx[i]]
if not failed:
print('TEST PASSED!')
else:
print('TEST FAILED:')
for i in failed:
print(i)