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 _setup_leg(start_date, end_date, discount_curve_type, leg, schedule_fn,
schedule, past_fixing):
"""Setup swap legs."""
if isinstance(leg, coupon_specs.FixedCouponSpecs):
return cashflow_streams.FixedCashflowStream(
start_date=start_date,
end_date=end_date,
coupon_spec=leg,
schedule_fn=schedule_fn,
schedule=schedule,
discount_curve_type=discount_curve_type,
dtype=tf.float64)
elif isinstance(leg, coupon_specs.FloatCouponSpecs):
return cashflow_streams.FloatingCashflowStream(
start_date=start_date,
end_date=end_date,
coupon_spec=leg,
schedule_fn=schedule_fn,
schedule=schedule,
discount_curve_type=discount_curve_type,
past_fixing=past_fixing,
dtype=tf.float64)
elif isinstance(leg, dict):
coupon_spec = leg["coupon_spec"]
if "fixed_rate" in coupon_spec:
coupon_spec = coupon_specs.FixedCouponSpecs(**coupon_spec)
return cashflow_streams.FixedCashflowStream(
start_date=start_date,
end_date=end_date,
schedule_fn=schedule_fn,
schedule=schedule,
coupon_spec=coupon_spec,
discount_curve_type=leg["discount_curve_type"],
discount_curve_mask=leg["discount_curve_mask"],
dtype=tf.float64)
else:
coupon_spec = coupon_specs.FloatCouponSpecs(**coupon_spec)
return cashflow_streams.FloatingCashflowStream(
start_date=start_date,
end_date=end_date,
schedule_fn=schedule_fn,
schedule=schedule,
coupon_spec=coupon_spec,
discount_curve_type=leg["discount_curve_type"],
discount_curve_mask=leg["discount_curve_mask"],
reference_mask=leg["reference_mask"],
rate_index_curves=leg["rate_index_curves"],
past_fixing=past_fixing,
dtype=tf.float64)
else:
raise ValueError(f"Unknown leg type {type(leg)}")
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))