def addFixings():
print '\n\n'
curve = p.py_BuildCfetsCurve(curveName,
anchorDate,
indexName,
tenors,
rates,
method,
discCurveName=discCurveName)
print 'Curve created: %s' % curve
# Create a swap to get the index object
att = {
'endDateTenor': '5Y',
'notional': 50000000.0,
'fixedRate': 0.035,
'discCurveId': curveName,
'fwdCurveId': curveName
}
p.py_CreateIRSwap(swapId, {'PredefinedConvention': 'CNY_REPO_7D'},
anchorDate, **att)
fixings = readPilotScopeIndexFixings("../../data/fr007_fixing.csv")
print '%s fixings loaded' % len(fixings)
rc = p.py_IndexAddFixings(indexId, fixings.keys(), fixings.values())
print 'Fixings added to %s' % rc
rc = p.py_IndexFixings(indexId, [datetime.date(2017, 12, 18)],
fwdCurveId=curveName)
print rc
def runBondFuncs():
scheduleId = 'bond_schedule'
startDate = datetime.date(2017, 8, 8)
endDate = datetime.date(2023, 8, 8)
tenor = '6M'
calendar = 'China.IB'
rc = p.py_Schedule(scheduleId, startDate, endDate, tenor, calendar)
print rc
bondId = 'Test_Bond'
bondType = 'IB'
notional = [100000000.0]
coupons = [3.7]
issueDate = startDate
rc = p.py_FixedRateBond(bondId, 'Test bond', bondType, notional, coupons,
scheduleId, issueDate, calendar)
print 'Created Bond %s' % rc
rc = p.py_BondNextCashflowDate(bondId)
print 'Next payment date: %s' % rc
rc = p.py_BondNextCashflowAmount(bondId)
print 'Next coupon amount %.2d' % rc
curve = p.py_BuildCfetsCurve(curveName,
anchorDate,
indexName,
tenors,
rates,
method,
discCurveName=discCurveName)
print 'Curve created: %s' % curve
rc = p.py_BondPV(bondId, curveName)
print 'Bond PV is ', '{:,.2f}'.format(rc)
rc = p.py_BondFlowAnalysis(bondId, datetime.date(2018, 1, 2))
print rc
def _createCFETSCurve(self, curveName, asofDate, mktdata):
tenors, rates = mktdata
curve = p.py_BuildCfetsCurve(curveName, asofDate, self.indexName,
tenors, rates, 'LinearZero')
# print 'Curve created: %s' % curve
# double check index fixings
# rc = p.py_IndexFixings(self.indexId, [asofDate], fwdCurveId=curveName)
# print 'Fixing on %s is %f' % (asofDate, rc[0])
return curve
def _createCfetsCurve(self):
curve = p.py_BuildCfetsCurve(self.cfetsCurveName, self.anchorDate,
self.indexName, self.curveTenors,
self.curveRates, self.curveMethod)
print '\n\nCurve created: %s' % curve
return curve
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