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 createSwap(swapId, startDate, term, fixRate, notional=100000000.0):
'''Create a contract so that it has a payment endDate
'''
att = {'endDateTenor': term, 'notional': notional, 'fixedRate': fixRate}
rc = p.py_CreateIRSwap(swapId, {'PredefinedConvention': 'CNY_REPO_7D'},
startDate, **att)
return rc
def _getIndexInfo(self, convention='CNY_REPO_7D'):
# create a dummy contract, just to get the index object
att = {
'endDateTenor': '1Y',
'notional': 50000000.0,
'fixedRate': 0.035
}
dummyId = '_dummy'
startDate = datetime.date(2017, 12, 1)
p.py_CreateIRSwap(dummyId, {'PredefinedConvention': convention},
startDate, **att)
info = p.py_SwapInfo([dummyId], 0, startDate)
indexId = info['']['IndexObjectID']
indexInfo = info[indexId + '_Info']
print '\n\nIndex Info: %s' % indexInfo
return indexInfo
def _addFR007IndexFixings(self):
# create a dummy contract, just to get the index object
att = {
'endDateTenor': '1Y',
'notional': 50000000.0,
'fixedRate': 0.035
}
dummyId = '_dummy'
startDate = datetime.date(2017, 12, 1)
p.py_CreateIRSwap(dummyId, {'PredefinedConvention': 'CNY_REPO_7D'},
startDate, **att)
info = p.py_SwapInfo([dummyId], 0, startDate)
indexId = info['']['IndexObjectID']
# print '\n\nIndex object Id: %s' % indexId
self.indexId = indexId
fixings = self.readPeakIndexFixings("../../data/fr007_fixing.csv")
# print '\n\n%s fixings loaded' % len(fixings)
rc = p.py_IndexAddFixings(indexId, fixings.keys(), fixings.values())
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