Exemplo n.º 1
0
    def create_fixed_float_swap(self, settlement_date, length, fixed_rate,
                                floating_spread, **kwargs):
        """
        Create a fixed-for-float swap given:
        - settlement date
        - length in years
        - additional arguments to modify market default parameters
        """

        _params = self._params._replace(**kwargs)

        index = IborIndex.from_name(self._market,
                                    self._forecast_term_structure, **kwargs)

        swap_type = Payer
        nominal = 100.0
        fixed_convention = \
            BusinessDayConvention.from_name(_params.fixed_leg_convention)
        floating_convention = \
            BusinessDayConvention.from_name(_params.floating_leg_convention)
        fixed_frequency = \
            Period(_params.fixed_leg_period)
        floating_frequency = Period(_params.floating_leg_period)
        fixed_daycount = DayCounter.from_name(_params.fixed_leg_daycount)
        float_daycount = DayCounter.from_name(_params.floating_leg_daycount)
        calendar = calendar_from_name(_params.calendar)

        maturity = calendar.advance(settlement_date,
                                    length,
                                    Years,
                                    convention=floating_convention)

        fixed_schedule = Schedule.from_rule(settlement_date, maturity,
                                            fixed_frequency, calendar,
                                            fixed_convention, fixed_convention,
                                            Rule.Forward, False)

        float_schedule = Schedule.from_rule(settlement_date, maturity,
                                            floating_frequency, calendar,
                                            floating_convention,
                                            floating_convention, Rule.Forward,
                                            False)

        swap = VanillaSwap(swap_type, nominal, fixed_schedule, fixed_rate,
                           fixed_daycount, float_schedule, index,
                           floating_spread, float_daycount, fixed_convention)

        engine = DiscountingSwapEngine(self._discount_term_structure,
                                       False,
                                       settlement_date=settlement_date,
                                       npv_date=settlement_date)

        swap.set_pricing_engine(engine)

        return swap
Exemplo n.º 2
0
    def create_fixed_float_swap(self, settlement_date, length, fixed_rate,
                                floating_spread, **kwargs):
        """
        Create a fixed-for-float swap given:
        - settlement date
        - length in years
        - additional arguments to modify market default parameters
        """

        _params = self._params._replace(**kwargs)

        index = IborIndex.from_name(self._market,
                                    self._forecast_term_structure,
                                    **kwargs)

        swap_type = Payer
        nominal = 100.0
        fixed_convention = \
            BusinessDayConvention.from_name(_params.fixed_leg_convention)
        floating_convention = \
            BusinessDayConvention.from_name(_params.floating_leg_convention)
        fixed_frequency = \
            code_to_frequency(_params.fixed_leg_period)
        floating_frequency = code_to_frequency(_params.floating_leg_period)
        fixed_daycount = DayCounter.from_name(_params.fixed_leg_daycount)
        float_daycount = DayCounter.from_name(_params.floating_leg_daycount)
        calendar = calendar_from_name(_params.calendar)

        maturity = calendar.advance(settlement_date, length, Years,
                                    convention=floating_convention)

        fixed_schedule = Schedule(settlement_date, maturity,
                                  Period(fixed_frequency), calendar,
                                  fixed_convention, fixed_convention,
                                  Forward, False)

        float_schedule = Schedule(settlement_date, maturity,
                                  Period(floating_frequency),
                                  calendar, floating_convention,
                                  floating_convention,
                                  Forward, False)

        swap = VanillaSwap(swap_type, nominal, fixed_schedule, fixed_rate,
                           fixed_daycount, float_schedule, index,
                           floating_spread, float_daycount, fixed_convention)

        engine = DiscountingSwapEngine(self._discount_term_structure,
                                       False,
                                       settlementDate=settlement_date,
                                       npvDate=settlement_date)

        swap.set_pricing_engine(engine)

        return swap
Exemplo n.º 3
0
    def __init__(self, name, market, **kwargs):

        params = SwapData.params(market)
        params = params._replace(**kwargs)
        self._params = params
        self._name = name
        self._market = market

        # floating rate index
        index = IborIndex.from_name(market, **kwargs)
        self._floating_rate_index = index

        self._deposit_daycount = params.floating_leg_daycount
        self._termstructure_daycount = 'ACT/365'

        self._eval_date = None
        self._quotes = None
        self._termstructure = None

        self._discount_term_structure = None
        self._forecast_term_structure = None
Exemplo n.º 4
0
    def __init__(self, name, market, **kwargs):

        params = swap_params(market)
        params = params._replace(**kwargs)
        self._params = params
        self._name = name
        self._market = market

        # floating rate index
        index = IborIndex.from_name(market, **kwargs)
        self._floating_rate_index = index

        self._deposit_daycount = params.floating_leg_daycount
        self._termstructure_daycount = 'ACT/365'

        self._eval_date = None
        self._quotes = None
        self._termstructure = None

        self._discount_term_structure = None
        self._forecast_term_structure = None

        self._rate_helpers = []
        self._quotes = []