def make_rate_helper(market, quote, reference_date=None):
"""
Wrapper for deposit and swaps rate helpers makers
TODO: class method of RateHelper?
"""
rate_type, tenor, quote_value = quote
if rate_type == 'SWAP':
libor_index = market._floating_rate_index
spread = SimpleQuote(0)
fwdStart = Period(0, Days)
helper = SwapRateHelper.from_tenor(
quote_value, Period(tenor),
market._floating_rate_index.fixing_calendar,
Period(market._params.fixed_leg_period).frequency,
BusinessDayConvention.from_name(
market._params.fixed_leg_convention),
DayCounter.from_name(market._params.fixed_leg_daycount),
libor_index, spread, fwdStart)
elif rate_type == 'DEP':
end_of_month = True
helper = DepositRateHelper(
quote_value, Period(tenor), market._params.settlement_days,
market._floating_rate_index.fixing_calendar,
market._floating_rate_index.business_day_convention, end_of_month,
DayCounter.from_name(market._deposit_daycount))
elif rate_type == 'ED':
if reference_date is None:
raise Exception("Reference date needed with ED Futures data")
forward_date = next_imm_date(reference_date, tenor)
helper = FuturesRateHelper(
price=SimpleQuote(quote_value),
imm_date=qldate_from_pydate(forward_date),
length_in_months=3,
calendar=market._floating_rate_index.fixing_calendar,
convention=market._floating_rate_index.business_day_convention,
end_of_month=True,
day_counter=DayCounter.from_name(
market._params.floating_leg_daycount))
elif rate_type.startswith('ER'):
# TODO For Euribor futures, we found it useful to supply the `imm_date`
# parameter directly, instead of as a number of periods from the
# evaluation date, as for ED futures. To achieve this, we pass the
# `imm_date` in the `tenor` field of the quote.
helper = FuturesRateHelper(
price=SimpleQuote(quote_value),
imm_date=tenor,
length_in_months=3,
calendar=market._floating_rate_index.fixing_calendar,
convention=market._floating_rate_index.business_day_convention,
end_of_month=True,
day_counter=DayCounter.from_name(
market._params.floating_leg_daycount))
else:
raise Exception("Rate type %s not supported" % rate_type)
return helper
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
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
def make_eurobond_helper(market, clean_price, coupons, tenor, issue_date,
maturity):
""" Wrapper for bond helpers.
FIXME: This convenience method has some conventions specifically
hardcoded for Eurobonds. These should be moved to the market.
"""
# Create schedule based on market and bond parameters.
index = market._floating_rate_index
schedule = Schedule.from_rule(
issue_date,
maturity,
Period(tenor),
index.fixing_calendar,
index.business_day_convention,
index.business_day_convention,
Rule.Backward, # Date generation rule
index.end_of_month,
)
daycounter = DayCounter.from_name("Actual/Actual (Bond)")
helper = FixedRateBondHelper(
SimpleQuote(clean_price),
market._params.settlement_days,
100.0,
schedule,
coupons,
daycounter,
Following, # Payment convention
100.0,
issue_date)
return helper
def test_create_fixed_rate_bond_helper(self):
issue_date = Date(20, 3, 2014)
maturity = Date(20, 3, 2019)
schedule = Schedule(
issue_date,
maturity,
Period(Annual),
TARGET(),
ModifiedFollowing,
ModifiedFollowing,
Rule.Backward,
False
)
clean_price = 71.23
settlement_days = 3
rates = [0.035]
daycounter = DayCounter.from_name("Actual/Actual (Bond)")
helper = FixedRateBondHelper(
SimpleQuote(clean_price),
settlement_days,
100.0,
schedule,
rates,
daycounter,
Following,
100.0,
issue_date)
self.assertEqual(helper.quote.value, clean_price)
def test_create_fixed_rate_bond_helper(self):
issue_date = Date(20, 3, 2014)
maturity = Date(20, 3, 2019)
schedule = Schedule(
issue_date,
maturity,
Period(Annual),
TARGET(),
ModifiedFollowing,
ModifiedFollowing,
Backward,
False
)
clean_price = 71.23
settlement_days = 3
rates = [0.035]
daycounter = DayCounter.from_name("Actual/Actual (Bond)")
helper = FixedRateBondHelper(
SimpleQuote(clean_price),
settlement_days,
100.0,
schedule,
rates,
daycounter,
Following,
100.0,
issue_date)
self.assertEqual(helper.quote, clean_price)
def bootstrap_term_structure(self, interpolator=LogLinear):
tolerance = 1.0e-15
settings = Settings()
calendar = JointCalendar(UnitedStates(), UnitedKingdom())
# must be a business day
eval_date = self._eval_date
settings.evaluation_date = eval_date
settlement_days = self._params.settlement_days
settlement_date = calendar.advance(eval_date, settlement_days, Days)
# must be a business day
settlement_date = calendar.adjust(settlement_date)
ts = PiecewiseYieldCurve[BootstrapTrait.Discount,
interpolator].from_reference_date(
settlement_date,
self._rate_helpers,
DayCounter.from_name(
self._termstructure_daycount),
accuracy=tolerance)
self._term_structure = ts
self._discount_term_structure = YieldTermStructure()
self._discount_term_structure.link_to(ts)
self._forecast_term_structure = YieldTermStructure()
self._forecast_term_structure.link_to(ts)
return ts
def bootstrap_term_structure(self, interpolator=Interpolator.LogLinear):
tolerance = 1.0e-15
settings = Settings()
calendar = JointCalendar(UnitedStates(), UnitedKingdom())
# must be a business day
eval_date = self._eval_date
settings.evaluation_date = eval_date
settlement_days = self._params.settlement_days
settlement_date = calendar.advance(eval_date, settlement_days, Days)
# must be a business day
settlement_date = calendar.adjust(settlement_date)
ts = PiecewiseYieldCurve.from_reference_date(
BootstrapTrait.Discount,
interpolator,
settlement_date,
self._rate_helpers,
DayCounter.from_name(self._termstructure_daycount),
tolerance,
)
self._term_structure = ts
self._discount_term_structure = YieldTermStructure()
self._discount_term_structure.link_to(ts)
self._forecast_term_structure = YieldTermStructure()
self._forecast_term_structure.link_to(ts)
return ts
def bootstrap_term_structure(self, interpolator='loglinear'):
tolerance = 1.0e-15
settings = Settings()
calendar = JointCalendar(UnitedStates(), UnitedKingdom())
# must be a business day
eval_date = self._eval_date
settings.evaluation_date = eval_date
settlement_days = self._params.settlement_days
settlement_date = calendar.advance(eval_date, settlement_days, Days)
# must be a business day
settlement_date = calendar.adjust(settlement_date)
ts = PiecewiseYieldCurve(
'discount', interpolator, settlement_date, self._rate_helpers,
DayCounter.from_name(self._termstructure_daycount), tolerance)
self._term_structure = ts
self._discount_term_structure = YieldTermStructure(relinkable=True)
self._discount_term_structure.link_to(ts)
self._forecast_term_structure = YieldTermStructure(relinkable=True)
self._forecast_term_structure.link_to(ts)
return ts
def make_eurobond_helper(
market, clean_price, coupons, tenor, issue_date, maturity):
""" Wrapper for bond helpers.
FIXME: This convenience method has some conventions specifically
hardcoded for Eurobonds. These should be moved to the market.
"""
# Create schedule based on market and bond parameters.
index = market._floating_rate_index
schedule = Schedule(
issue_date,
maturity,
Period(tenor),
index.fixing_calendar,
index.business_day_convention,
index.business_day_convention,
Backward, # Date generation rule
index.end_of_month,
)
daycounter = DayCounter.from_name("Actual/Actual (Bond)")
helper = FixedRateBondHelper(
SimpleQuote(clean_price),
market._params.settlement_days,
100.0,
schedule,
coupons,
daycounter,
Following, # Payment convention
100.0,
issue_date)
return helper
def make_rate_helper(market, quote, reference_date=None):
"""
Wrapper for deposit and swaps rate helpers makers
TODO: class method of RateHelper?
"""
rate_type, tenor, quote_value = quote
if rate_type == 'SWAP':
libor_index = market._floating_rate_index
spread = SimpleQuote(0)
fwdStart = Period(0, Days)
helper = SwapRateHelper.from_tenor(
quote_value,
Period(tenor),
market._floating_rate_index.fixing_calendar,
code_to_frequency(market._params.fixed_leg_period),
BusinessDayConvention.from_name(
market._params.fixed_leg_convention),
DayCounter.from_name(market._params.fixed_leg_daycount),
libor_index, spread, fwdStart)
elif rate_type == 'DEP':
end_of_month = True
helper = DepositRateHelper(
quote_value,
Period(tenor),
market._params.settlement_days,
market._floating_rate_index.fixing_calendar,
market._floating_rate_index.business_day_convention,
end_of_month,
DayCounter.from_name(market._deposit_daycount))
elif rate_type == 'ED':
if reference_date is None:
raise Exception("Reference date needed with ED Futures data")
forward_date = next_imm_date(reference_date, tenor)
helper = FuturesRateHelper(
rate =SimpleQuote(quote_value),
imm_date = qldate_from_pydate(forward_date),
length_in_months = 3,
calendar = market._floating_rate_index.fixing_calendar,
convention = market._floating_rate_index.business_day_convention,
end_of_month = True,
day_counter = DayCounter.from_name(
market._params.floating_leg_daycount))
elif rate_type.startswith('ER'):
# TODO For Euribor futures, we found it useful to supply the `imm_date`
# parameter directly, instead of as a number of periods from the
# evaluation date, as for ED futures. To achieve this, we pass the
# `imm_date` in the `tenor` field of the quote.
helper = FuturesRateHelper(
rate=SimpleQuote(quote_value),
imm_date=tenor,
length_in_months=3,
calendar=market._floating_rate_index.fixing_calendar,
convention=market._floating_rate_index.business_day_convention,
end_of_month=True,
day_counter=DayCounter.from_name(
market._params.floating_leg_daycount))
else:
raise Exception("Rate type %s not supported" % rate_type)
return helper
