def leg_from_proto_v2(
leg_proto: ir_swap.SwapLeg
) -> Union[coupon_specs.FixedCouponSpecs, coupon_specs.FloatCouponSpecs]:
"""Initialized coupon specifications from a proto instance."""
if leg_proto.HasField("fixed_leg"):
leg = leg_proto.fixed_leg
coupon_freq = leg.coupon_frequency.type
coupon_freq, coupon_freq_multiplier = _frequency_and_multiplier(
coupon_freq)
return coupon_specs.FixedCouponSpecs(
currency=[currencies.from_proto_value(leg.currency)],
coupon_frequency=(coupon_freq, [
coupon_freq_multiplier * leg.coupon_frequency.amount
]),
notional_amount=[
instrument_utils.decimal_to_double(leg.notional_amount)
],
fixed_rate=[instrument_utils.decimal_to_double(leg.fixed_rate)],
settlement_days=[leg.settlement_days],
businessday_rule=business_days.convention_from_proto_value(
leg.business_day_convention),
daycount_convention=daycount_conventions.from_proto_value(
leg.daycount_convention),
calendar=business_days.holiday_from_proto_value(leg.bank_holidays))
else:
leg = leg_proto.floating_leg
# Get the index rate object
rate_index = leg.floating_rate_type
rate_index = rate_indices.RateIndex.from_proto(rate_index)
rate_index.name = [rate_index.name]
rate_index.source = [rate_index.source]
coupon_freq = leg.coupon_frequency.type
coupon_freq, coupon_freq_multiplier = _frequency_and_multiplier(
coupon_freq)
reset_freq = leg.reset_frequency.type
reset_freq, reset_freq_multiplier = _frequency_and_multiplier(
reset_freq)
return coupon_specs.FloatCouponSpecs(
currency=[currencies.from_proto_value(leg.currency)],
coupon_frequency=(coupon_freq, [
coupon_freq_multiplier * leg.coupon_frequency.amount
]),
reset_frequency=(reset_freq, [
reset_freq_multiplier * leg.reset_frequency.amount
]),
notional_amount=[
instrument_utils.decimal_to_double(leg.notional_amount)
],
floating_rate_type=[rate_index],
settlement_days=[leg.settlement_days],
businessday_rule=business_days.convention_from_proto_value(
leg.business_day_convention),
daycount_convention=daycount_conventions.from_proto_value(
leg.daycount_convention),
spread=[instrument_utils.decimal_to_double(leg.spread)],
calendar=business_days.holiday_from_proto_value(leg.bank_holidays))
def from_protos_v2(
proto_list: List[fra.ForwardRateAgreement],
config: "ForwardRateAgreementConfig" = None) -> Dict[str, Any]:
"""Creates a dictionary of preprocessed swap data."""
prepare_fras = {}
for fra_proto in proto_list:
short_position = fra_proto.short_position
h, currency, rate_term, rate_index = _get_hash_v2(fra_proto)
fixing_date = fra_proto.fixing_date
fixing_date = [fixing_date.year, fixing_date.month, fixing_date.day]
notional_amount = instrument_utils.decimal_to_double(
fra_proto.notional_amount)
daycount_convention = daycount_conventions.from_proto_value(
fra_proto.daycount_convention)
business_day_convention = business_days.convention_from_proto_value(
fra_proto.business_day_convention)
fixed_rate = instrument_utils.decimal_to_double(fra_proto.fixed_rate)
calendar = business_days.holiday_from_proto_value(
fra_proto.bank_holidays)
settlement_days = fra_proto.settlement_days
name = fra_proto.metadata.id
instrument_type = fra_proto.metadata.instrument_type
if h not in prepare_fras:
prepare_fras[h] = {
"short_position": [short_position],
"currency": [currency],
"fixing_date": [fixing_date],
"fixed_rate": [fixed_rate],
"notional_amount": [notional_amount],
"daycount_convention": daycount_convention,
"business_day_convention": business_day_convention,
"calendar": calendar,
"rate_term": rate_term,
"rate_index": [rate_index],
"settlement_days": [settlement_days],
"config": config,
"batch_names": [[name, instrument_type]]
}
else:
prepare_fras[h]["currency"].append(currency)
prepare_fras[h]["fixing_date"].append(fixing_date)
prepare_fras[h]["short_position"].append(short_position)
prepare_fras[h]["fixed_rate"].append(fixed_rate)
prepare_fras[h]["rate_index"].append(rate_index)
current_rate_term = prepare_fras[h]["rate_term"]
rate_term_type = current_rate_term[0]
rate_term_amount = current_rate_term[1]
prepare_fras[h]["rate_term"] = (rate_term_type,
rate_term_amount + rate_term[1])
prepare_fras[h]["notional_amount"].append(notional_amount)
prepare_fras[h]["settlement_days"].append(settlement_days)
prepare_fras[h]["batch_names"].append([name, instrument_type])
return prepare_fras
def leg_from_proto(
leg_proto: ir_swap.SwapLeg) -> Union[coupon_specs.FixedCouponSpecs,
coupon_specs.FloatCouponSpecs]:
"""Initialized coupon specifications from a proto instance."""
if leg_proto.HasField("fixed_leg"):
leg = leg_proto.fixed_leg
return coupon_specs.FixedCouponSpecs(
currency=currencies.from_proto_value(leg.currency),
coupon_frequency=leg.coupon_frequency,
notional_amount=[instrument_utils.decimal_to_double(
leg.notional_amount)],
fixed_rate=[instrument_utils.decimal_to_double(
leg.fixed_rate)],
settlement_days=[leg.settlement_days],
businessday_rule=business_days.convention_from_proto_value(
leg.business_day_convention),
daycount_convention=daycount_conventions.from_proto_value(
leg.daycount_convention),
calendar=business_days.holiday_from_proto_value(leg.bank_holidays))
else:
leg = leg_proto.floating_leg
return coupon_specs.FloatCouponSpecs(
currency=currencies.from_proto_value(leg.currency),
coupon_frequency=leg.coupon_frequency,
reset_frequency=leg.reset_frequency,
notional_amount=[instrument_utils.decimal_to_double(
leg.notional_amount)],
floating_rate_type=[rate_indices.from_proto_value(
leg.floating_rate_type)],
settlement_days=[leg.settlement_days],
businessday_rule=business_days.convention_from_proto_value(
leg.business_day_convention),
daycount_convention=daycount_conventions.from_proto_value(
leg.daycount_convention),
spread=[instrument_utils.decimal_to_double(leg.spread)],
calendar=business_days.holiday_from_proto_value(leg.bank_holidays))
def from_protos(
cls,
proto_list: List[fra.ForwardRateAgreement],
fra_config: ForwardRateAgreementConfig = None
) -> List["ForwardRateAgreement"]:
prepare_swaps = {}
for fra_instance in proto_list:
short_position = fra_instance.short_position
currency = currencies.from_proto_value(fra_instance.currency)
bank_holidays = fra_instance.bank_holidays
daycount_convention = fra_instance.daycount_convention
business_day_convention = fra_instance.business_day_convention
rate_index = fra_instance.floating_rate_term.floating_rate_type
rate_index = rate_indices.from_proto_value(rate_index)
rate_term = fra_instance.floating_rate_term.term
h = hash(
tuple([currency] + [bank_holidays] + [rate_term.type] +
[rate_term.amount] + [rate_index] +
[daycount_convention] + [business_day_convention]))
fixing_date = fra_instance.fixing_date
fixing_date = [
fixing_date.year, fixing_date.month, fixing_date.day
]
notional_amount = instrument_utils.decimal_to_double(
fra_instance.notional_amount)
daycount_convention = daycount_conventions.from_proto_value(
fra_instance.daycount_convention)
business_day_convention = business_days.convention_from_proto_value(
fra_instance.business_day_convention)
fixed_rate = instrument_utils.decimal_to_double(
fra_instance.fixed_rate)
calendar = business_days.holiday_from_proto_value(
fra_instance.bank_holidays)
settlement_days = fra_instance.settlement_days
name = fra_instance.metadata.id
instrument_type = fra_instance.metadata.instrument_type
if h not in prepare_swaps:
prepare_swaps[h] = {
"short_position": short_position,
"currency": currency,
"fixing_date": [fixing_date],
"fixed_rate": [fixed_rate],
"notional_amount": [notional_amount],
"daycount_convention": daycount_convention,
"business_day_convention": business_day_convention,
"calendar": calendar,
"rate_term": rate_term,
"rate_index": [rate_index],
"settlement_days": [settlement_days],
"fra_config": fra_config,
"batch_names": [[name, instrument_type]]
}
else:
prepare_swaps[h]["fixing_date"].append(fixing_date)
prepare_swaps[h]["fixed_rate"].append(fixed_rate)
prepare_swaps[h]["notional_amount"].append(notional_amount)
prepare_swaps[h]["rate_index"].append(rate_index)
prepare_swaps[h]["settlement_days"].append(settlement_days)
prepare_swaps[h]["batch_names"].append([name, instrument_type])
intruments = []
for kwargs in prepare_swaps.values():
intruments.append(cls(**kwargs))
return intruments
