def py_ObjectLoadFromBinary(length, data, times=[], users=[], files=[], prefix='', mode=0, suffix=''):
resultVec = Str_Vec()
errVec = Str_Vec()
rc = pk_ObjectLoadFromBinary(length, data, _listToPkVec(times), _listToPkVec(users), _listToPkVec(files), resultVec, errVec, prefix, mode, suffix)
_checkAndRaiseErr(errVec)
result = tuple(resultVec)
return result
def py_BuildCurvePack(curvePackName, curveEngineName, baseTargets=[], baseInstrumentNames=[], scenarioInstrumentNames=[], scenarioNames=[], scenarioTargets=[], scenariosAreRelative=False, deltaBumpSize=1.e-4, centralDifference=False, gammaMode='', targetChangeTolerance=0.0, mispriceTolerance=1.e-6, impliedFromTargetTolerance=0.0):
errVec = Str_Vec()
result = Param_VecVec()
rc = pk_BuildCurvePack(curvePackName, curveEngineName, _listToPkVec(baseTargets, Double_Vec), _listToPkVec(baseInstrumentNames),
_listToPkVec(scenarioInstrumentNames), _listToPkVec(scenarioNames), _matrixToDoubleVecVec(scenarioTargets), scenariosAreRelative,
deltaBumpSize, centralDifference, gammaMode, targetChangeTolerance, mispriceTolerance, impliedFromTargetTolerance, result, errVec)
_checkAndRaiseErr(errVec)
return _unpackVecVecResult(result)
def py_YieldTSForwardRate(curveId, beginDates, endDates, dayCounter, compounding='Simple', frequency='Annual', allowExtrapolation=True):
"""
Returns the forward rate from the given YieldTermStructure
"""
result = Double_Vec()
errVec = Str_Vec()
rc = pk_YieldTSForwardRate(curveId, _listToPkVec(beginDates, vecType=int), _listToPkVec(endDates, vecType=int), dayCounter, compounding, frequency, allowExtrapolation, result, errVec)
_checkAndRaiseErr(errVec)
return tuple(result)
def py_ObjectSave(objectList, filename, user='', compress=True, overwrite=True, includeGroups=True, recurisve=False):
resultVec = Str_Vec()
errVec = Str_Vec()
rc = pk_ObjectSave(_listToPkVec(objectList), filename, user, compress, overwrite, includeGroups, recurisve, resultVec, errVec)
_checkAndRaiseErr(errVec)
result = _unpackVecResult(resultVec)
return result
def py_ObjectLoad(directory, pattern='.*\.bin', recursive=False, overwrite=True, times=[], users=[], files=[]):
resultVec = Str_Vec()
errVec = Str_Vec()
rc = pk_ObjectLoad(directory, pattern, recursive, overwrite, _listToPkVec(times), _listToPkVec(users), _listToPkVec(files), resultVec, errVec)
_checkAndRaiseErr(errVec)
result = tuple(resultVec)
return result
def py_SwapLegNPV(swapId, forwardCurveId, discountCurveId, cfAfterDate=None, legNumber=PkMissingInt, cfAfterDateInclusive=False, forecastTodaysFixing=False, debugLevel=0):
errVec = Str_Vec()
result = Param_VecVec()
cfAfterDate = dateToPkDate(cfAfterDate) if cfAfterDate else PkMissingDate
rc = pk_SwapLegNPV(_listToPkVec(swapId), legNumber, forwardCurveId, discountCurveId, cfAfterDate, cfAfterDateInclusive, forecastTodaysFixing, debugLevel, result, errVec)
_checkAndRaiseErr(errVec)
return _unpackVecVecResult(result)
def py_IMMSymbolToDate(immCodes, refDate, rule='CFFEX'):
'''Optional rule is one of 'CFFEX, 'CFFEXLT', 'INTERNATIONAL'
'''
errVec = Str_Vec()
result = Param_Vec()
if isinstance(immCodes, str):
immCodes = [immCodes]
immCodes = _listToPkVec(immCodes)
if isinstance(refDate, datetime.date):
refDate = [dateToPkDate(refDate)]
if len(refDate) < immCodes.size():
refDate += [refDate[-1]] * (immCodes.size() - len(refDate))
refDate = _listToPkVec(refDate)
pk_IMMSymbolToDate(immCodes, refDate, rule, result, errVec)
_checkAndRaiseErr(errVec)
result = _unpackVecResult(result)
return tuple((pkDateToDate(i) for i in result))
def py_YieldTSDiscount(curveId, dates, allowExtrapolation=True):
"""
Returns the discount factor from the given YieldTermStructure
"""
result = Double_Vec()
errVec = Str_Vec()
rc = pk_YieldTSDiscount(curveId, _listToPkVec(dates, vecType=int), allowExtrapolation, result, errVec)
_checkAndRaiseErr(errVec)
return tuple(result)
def py_SwapLegAnalysis(swapId, legNumber, afterDate, forwardCurveId, discountCurveId, afterDateInclusive=True, forecastTodaysFixing=True, useSqlFriendlyColHeaders=True, selectedColumns='All', toDate=None):
errVec = Str_Vec()
result = Param_VecVec()
if isinstance(selectedColumns, str):
selectedColumns = [selectedColumns]
selectedColumns = _listToPkVec(selectedColumns)
rc = pk_SwapLegAnalysis(swapId, legNumber, dateToPkDate(afterDate), forwardCurveId, discountCurveId, afterDateInclusive, forecastTodaysFixing, useSqlFriendlyColHeaders, selectedColumns, dateToPkDate(toDate), result, errVec)
_checkAndRaiseErr(errVec)
return _unpackVecVecResult(result)
def py_BuildSwapCurve(curveName, anchorDate, indexName, tenors, rates, extFwdCurve, extDiscCurve='', startTenors=[], useExtCurveAsBase=True, template=''):
'''returns forwardCurveId, discountCurveId, curveEngineId
'''
result = Param_VecVec()
errVec = Str_Vec()
rc = pk_BuildSwapCurve(curveName, dateToPkDate(anchorDate), indexName, _listToPkVec(startTenors), _listToPkVec(tenors), _listToPkVec(rates, Double_Vec),
extFwdCurve, extDiscCurve, result, errVec, useExtCurveAsBase, template)
_checkAndRaiseErr(errVec)
names = tuple(rc)
return names, _unpackVecVecResult(result)
def py_SwapInfo(objId, legNumber, asOfDate, resultFormat=''):
resultMap = Matrix_Map()
errVec = Str_Vec()
rc = pk_SwapInfo(_listToPkVec(objId), legNumber, dateToPkDate(asOfDate), resultFormat, resultMap, errVec)
_checkAndRaiseErr(errVec)
result = _unpackMatrix_Map(resultMap)
for k, v in result.iteritems():
if len(v[0]) == 2:
if v[0][0] == 'Key':
result[k] = dict(v[1:])
elif len(v) == 2:
result[k] = dict(zip(v[0], v[1]))
return result
def py_BondPV(bondIds, discontCurveId, spreadBps=[], indexCurveId='', toCleanPrice=False, settlementDate=None, scaleTo100=False):
errVec = Str_Vec()
settlementDate = settlementDate or PkMissingDate
rc = pk_BondPV(bondIds, discontCurveId, _listToPkVec(spreadBps, vecType=float), indexCurveId, toCleanPrice, settlementDate, scaleTo100, errVec)
_checkAndRaiseErr(errVec)
return rc
def py_IMMDateToSymbol(date, twoDigitYear=True):
errVec = Str_Vec()
result = Str_Vec()
rc = pk_IMMDateToSymbol(_listToPkVec(date), twoDigitYear, result, errVec)
_checkAndRaiseErr(errVec)
return tuple(result)
def py_IndexAddFixings(indexId, fixingDates, fixingValues):
errVec = Str_Vec()
rc = pk_IndexAddFixings(indexId, _listToPkVec(fixingDates), _listToPkVec(fixingValues), errVec)
_checkAndRaiseErr(errVec)
return rc
def py_CalendarAdjust(calendar, dates, BusinessDayConvention):
errVec = Str_Vec()
result = PkInt_Vec()
rc = pk_CalendarAdjust(calendar, _listToPkVec(dates, vecType=int), BusinessDayConvention, result, errVec)
_checkAndRaiseErr(errVec)
return tuple(pkDateToDate(d) for d in result)
def py_DaysBetween(days1, days2, calendar):
errVec = Str_Vec()
result = PkInt_Vec()
rc = pk_DaysBetween(_listToPkVec(days1, vecType=int), _listToPkVec(days2, vecType=int), calendar, result, errVec)
_checkAndRaiseErr(errVec)
return tuple(result)
def py_CalendarIsBusinessDay(calendar, days):
errVec = Str_Vec()
result = PkInt_Vec()
rc = pk_CalendarIsBusinessDay(calendar, _listToPkVec(days, vecType=int), result, errVec)
_checkAndRaiseErr(errVec)
return tuple(bool(d) for d in result)
def py_DeleteObjects(objectIds):
errVec = Str_Vec()
rc = pk_DeleteObjects(_listToPkVec(objectIds), errVec)
_checkAndRaiseErr(errVec)
return rc
def py_FrequencyFromPeriod(periods):
errVec = Str_Vec()
result = Str_Vec()
rc = pk_FrequencyFromPeriod(_listToPkVec(periods), result, errVec)
_checkAndRaiseErr(errVec)
return _pkVecToList(result)
def py_IndexFixings(indexId, fixingDates, forecastToday=False, fwdCurveId=''):
errVec = Str_Vec()
result = Double_Vec()
rc = pk_IndexFixings(indexId, _listToPkVec(fixingDates), forecastToday, fwdCurveId, result, errVec)
_checkAndRaiseErr(errVec)
return tuple(i for i in result)
def py_CurvePackRisk(curvePackName, instrumentNames, curveMap, discountCurveName, centralDifference=False, gammaMode='', riskMode='All', outputFormat='bt', forecastTodaysFixing=False, showBasePv=False):
errVec = Str_Vec()
result = Param_VecVec()
rc = pk_CurvePackRisk(curvePackName, _listToPkVec(instrumentNames), _matrixToStrVecVec(curveMap), discountCurveName, centralDifference, gammaMode, riskMode, outputFormat, forecastTodaysFixing, showBasePv, result, errVec)
_checkAndRaiseErr(errVec)
return _unpackVecVecResult(result)
def py_BuildRPCurvePack(curvePackName, curveNames, bucketDates, deltaBumpSize=0.0001, centralDifference=False, gammaMode=''):
errVec = Str_Vec()
result = Param_VecVec()
rc = pk_BuildRPCurvePack(curvePackName, _listToPkVec(curveNames), _listToPkVec(bucketDates), deltaBumpSize, centralDifference, gammaMode, result, errVec)
_checkAndRaiseErr(errVec)
return _unpackVecVecResult(result)[0][0]
def py_CalendarAdvance(calendar, startDates, periods, BusinessDayConvention, endOfMonth):
errVec = Str_Vec()
result = PkInt_Vec()
rc = pk_CalendarAdvance(calendar, _listToPkVec(startDates, vecType=int), _listToPkVec(periods), BusinessDayConvention, endOfMonth, result, errVec)
_checkAndRaiseErr(errVec)
return tuple(pkDateToDate(d) for d in result)
def py_FixedRateBond(objId, description, bondType, faceAmount, coupons, scheduleID, issueDate, paymentCalendar, currency='CNY', settlementDays=1, dayCounter='', paymentBDC='', redemption=PkMissingDouble, compounding=PkMissingString, exerDate=PkMissingDate):
errVec = Str_Vec()
type = ['IB', 'SSE', 'Custom'].index(bondType) + 1
rc = pk_FixedRateBond(objId, description, currency, settlementDays, _listToPkVec(faceAmount, vecType=float), scheduleID, _listToPkVec(coupons, vecType=float), dayCounter, paymentBDC, redemption, dateToPkDate(issueDate), paymentCalendar, compounding, type, errVec, exerDate)
_checkAndRaiseErr(errVec)
return rc
