def calc_fixing_date(currency, value_date):
'''
This method returns the NDF fixing date for a given settlement date. Caller should make sure the input currency is a NDF pair
'''
if get_ndf_fixing_delivery_convention(currency) is None:
raise ValueError(
"Currency: %s not found in supported NDF currency pairs" %
currency)
if value_date.isoweekday() not in range(1, 6):
raise ValueError(
"Invalid value date: %s. Please make sure the date is NOT a weekend"
% value_date)
assetcurrencycountry = currency_to_countrycode(currency[:3])
pricingcurrencycountry = currency_to_countrycode(currency[3:])
fixing_date = value_date
while get_fxspot_valuedate(
price_date=fixing_date,
assetcurrencycountry=assetcurrencycountry,
pricingcurrencycountry=pricingcurrencycountry) > value_date:
fixing_date -= timedelta(days=1) if fixing_date.isoweekday() in range(
2, 6) else timedelta(days=3)
return fixing_date
def calc_fixing_date(currency, value_date):
'''
This method returns the NDF fixing date for a given settlement date. Caller should make sure the input currency is a NDF pair
'''
if len(currency) != 6:
raise ValueError(
"Invalid currency: %s, please enter a currency pair in the format like: EURUSD"
% currency)
if value_date.isoweekday() not in range(1, 6):
raise ValueError(
"Invalid value date: %s. Please make sure the date is a weekend" %
value_date)
assetcurrencycountry = currency_to_countrycode(currency[:3])
pricingcurrencycountry = currency_to_countrycode(currency[3:])
fixing_date = value_date
while get_fxspot_valuedate(
price_date=fixing_date,
assetcurrencycountry=assetcurrencycountry,
pricingcurrencycountry=pricingcurrencycountry) != value_date:
fixing_date -= timedelta(days=1) if fixing_date.isoweekday() in range(
2, 6) else timedelta(days=3)
return fixing_date
def calc_tenor_value_date(price_date, currency, tenor):
"""
this method returns the settlement date corresponds to a fx forward tenor and pricing date and currency pair passed in.
e.g. passing in "1W", USDSGD, 2017-4-28 will return 2017-5-11
:return:
"""
if not price_date:
raise BadRequestError('Must specify price_date in querystring')
if not tenor:
raise BadRequestError('Must specify a tenor in querystring')
tenor = str(tenor).upper()
tenors = [
'ON', 'TN', 'SP', 'SN', '1W', '2W', '3W', '1M', '2M', '3M', '4M', '5M',
'6M', '7M', '8M', '9M', '10M', '12M', '15M', '18M', '21M', '2Y'
]
if tenor not in tenors:
raise BadRequestError(
'Requested tenor is not supported for value date calculation')
currencypair = currency
if not currencypair:
raise BadRequestError('Must specify a currency pair in querystring')
currencypair = str(currencypair).upper()
if len(currencypair) != 6:
raise BadRequestError(
'Currency pair format error, currency pair length is not 6 characters.'
)
assetcurrencycountry = currency_to_countrycode(currencypair[:3])
pricingcurrencycountry = currency_to_countrycode(currencypair[3:])
if not assetcurrencycountry:
raise BadRequestError("%s is currently not supported currency." %
(assetcurrency))
if not pricingcurrencycountry:
raise BadRequestError("%s is currently not supported currency." %
(pricingcurrency))
value_date = get_fxforward_valuedate(price_date, tenor,
assetcurrencycountry,
pricingcurrencycountry)
return value_date
def calc_tenor_value_date(price_date, currency, tenor):
"""
this method returns the settlement date corresponds to a fx forward tenor and pricing date and currency pair passed in.
e.g. passing in "1W", USDSGD, 2017-4-28 will return 2017-5-11
:return:
"""
if not price_date:
raise ValueError('Must specify price_date in querystring')
if not tenor:
raise ValueError('Must specify a tenor in querystring')
tenor = str(tenor).upper()
valid_tenor = tenor_validity(tenor)
if not valid_tenor:
raise ValueError(
'Requested tenor: %s is not supported for value date calculation' %
tenor)
currencypair = currency
if not currencypair:
raise ValueError('Must specify a currency pair in querystring')
currencypair = str(currencypair).upper()
if len(currencypair) != 6:
raise ValueError(
'Currency pair format error, currency pair length is not 6 characters.'
)
assetcurrencycountry = currency_to_countrycode(currencypair[:3])
pricingcurrencycountry = currency_to_countrycode(currencypair[3:])
if not assetcurrencycountry:
raise ValueError("%s is currently not supported currency." %
(assetcurrency))
if not pricingcurrencycountry:
raise ValueError("%s is currently not supported currency." %
(pricingcurrency))
value_date = get_fxforward_valuedate(price_date, tenor,
assetcurrencycountry,
pricingcurrencycountry)
return value_date