def set_market_data(self, market_data):
super(CMQNormalCSO, self).set_market_data(market_data)
if len(market_data) == 0:
self.fwd_avg = 1.0
self.df = 1.0
return
fwd_quotes = market_data['COMFwd'][self.fwd_index]
for quote in fwd_quotes:
if quote[0] == self.leg_a:
self.fwd_a = quote[2]
continue
elif quote[0] == self.leg_b:
self.fwd_b = quote[2]
break
volmark = cmq_crv_defn.lookup_vol_mark(self.fwd_index, market_data, self.end, \
vol_fields=['COMDV'+str(self.leg_diff)])
self.ivol = volmark['COMDV' + str(self.leg_diff)]
if self.need_disc and (self.end >= self.value_date):
rate_quotes = market_data['IRCurve'][self.ccy.lower() + '_disc']
tenors = [(quote[1] - self.value_date).days
for quote in rate_quotes]
irates = [quote[2] for quote in rate_quotes]
mode = cmq_curve.ForwardCurve.InterpMode.Linear
rate_curve = cmq_curve.ForwardCurve.from_array(tenors,
irates,
interp_mode=mode)
t_exp = (self.end - self.value_date).days
self.df = np.exp(-rate_curve(t_exp) * t_exp / 365.0)
else:
self.df = 1.0
def set_market_data(self, market_data):
super(CMQCommodEuOpt, self).set_market_data(market_data)
if len(market_data) == 0:
self.volmark = None
else:
self.volmark = cmq_crv_defn.lookup_vol_mark(self.fwd_index, market_data, self.end, \
vol_fields=cmq_crv_defn.COMVOL_fields)
def set_market_data(self, market_data):
super(CMQMthlyAsian, self).set_market_data(market_data)
if len(market_data) == 0:
self.volmark = None
return
self.volmark = cmq_crv_defn.lookup_vol_mark(self.fwd_index, market_data, self.end, \
vol_fields = cmq_crv_defn.COMVOL_fields)
def set_market_data(self, market_data):
super(CMQCommodEuOpt, self).set_market_data(market_data)
if len(market_data) == 0:
self.fwd_avg = 1.0
self.df = 1.0
return
fwd_quotes = market_data['COMFwd'][self.fwd_index]
for quote in fwd_quotes:
if quote[0] == self.contract:
self.fwd_avg = quote[2]
break
self.volmark = cmq_crv_defn.lookup_vol_mark(self.fwd_index, market_data, self.end, \
vol_fields=cmq_crv_defn.COMVOL_fields)
if self.need_disc and (self.end >= self.value_date):
rate_quotes = market_data['IRCurve'][self.ccy.lower() + '_disc']
tenors = [(quote[1] - self.value_date).days
for quote in rate_quotes]
irates = [quote[2] for quote in rate_quotes]
mode = cmq_curve.ForwardCurve.InterpMode.Linear
rate_curve = cmq_curve.ForwardCurve.from_array(tenors,
irates,
interp_mode=mode)
t_exp = (self.end - self.value_date).days
self.df = np.exp(-rate_curve(t_exp) * t_exp / 365.0)
else:
self.df = 1.0
def set_market_data(self, market_data):
super(CMQCommodEuOpt, self).set_market_data(market_data)
if len(market_data) == 0:
self.volmark = None
else:
self.volmark = cmq_crv_defn.lookup_vol_mark(self.fwd_index, market_data, self.end, \
vol_fields=cmq_crv_defn.COMVOL_fields)
def set_market_data(self, market_data):
super(CMQMthlyAsian, self).set_market_data(market_data)
if len(market_data) == 0:
self.volmark = None
return
self.volmark = cmq_crv_defn.lookup_vol_mark(self.fwd_index, market_data, self.end, \
vol_fields = cmq_crv_defn.COMVOL_fields)
def set_market_data(self, market_data):
super(CMQNormalCSO, self).set_market_data(market_data)
if len(market_data) == 0:
self.fwd_avg = 1.0
self.df = 1.0
return
fwd_quotes = market_data['COMFwd'][self.fwd_index]
for quote in fwd_quotes:
if quote[0] == self.leg_a:
self.fwd_a = quote[2]
continue
elif quote[0] == self.leg_b:
self.fwd_b = quote[2]
break
volmark = cmq_crv_defn.lookup_vol_mark(self.fwd_index, market_data, self.end, \
vol_fields=['COMDV'+str(self.leg_diff)])
self.ivol = volmark['COMDV'+str(self.leg_diff)]
if self.need_disc:
self.df = disc_factor(self.value_date, self.end, market_data['IRCurve'][self.ccy.lower() + '_disc'])
else:
self.df = 1.0