def addFixings():
print '\n\n'
curve = p.py_BuildCfetsCurve(curveName,
anchorDate,
indexName,
tenors,
rates,
method,
discCurveName=discCurveName)
print 'Curve created: %s' % curve
# Create a swap to get the index object
att = {
'endDateTenor': '5Y',
'notional': 50000000.0,
'fixedRate': 0.035,
'discCurveId': curveName,
'fwdCurveId': curveName
}
p.py_CreateIRSwap(swapId, {'PredefinedConvention': 'CNY_REPO_7D'},
anchorDate, **att)
fixings = readPilotScopeIndexFixings("../../data/fr007_fixing.csv")
print '%s fixings loaded' % len(fixings)
rc = p.py_IndexAddFixings(indexId, fixings.keys(), fixings.values())
print 'Fixings added to %s' % rc
rc = p.py_IndexFixings(indexId, [datetime.date(2017, 12, 18)],
fwdCurveId=curveName)
print rc
def _addFR007IndexFixings(self,
indexId,
fixingfileName="../../data/fr007_fixing.csv"):
fixings = self.readPeakIndexFixings(fixingfileName)
# print '\n\n%s fixings loaded' % len(fixings)
rc = p.py_IndexAddFixings(indexId, fixings.keys(), fixings.values())
def _addShiborFixings(self,
indexId,
fixingfileName="../../data/shb3m_fixing.csv"):
# p.py_CreateIRSwap(dummyId, {'PredefinedConvention':'CNY_SHIBOR_3M'}, startDate, **att)
fixings = self.readPeakIndexFixings(fixingfileName)
# print '\n\n%s fixings loaded' % len(fixings)
rc = p.py_IndexAddFixings(indexId, fixings.keys(), fixings.values())
def runIMMDates():
rc = p.py_IMMSymbolToDate(['F18', 'Z23'],
datetime.date(2017, 1, 25),
rule='CFFEXLT')
print 'F18, Z23 IMM date: ', rc
rc = p.py_IMMNextDates(startDate=datetime.date(2018, 1, 5),
numOfDates=20,
datePref='1m',
endDate=None) #numOfDates has no effect
print '\n1M IMM dates: ', rc
p.py_IndexAddFixings(
'_FR007', [datetime.date(2018, 1, 22),
datetime.date(2018, 1, 23)], [0.033, 0.034])
print '\nIndex fixings added'
dates = (datetime.date(2017, 12,
22), datetime.date(2018, 1,
23), datetime.date(2018, 12, 24))
fixings = p.py_IndexFixings('_CNY_REPO_7D', dates, fwdCurveId=curveName)
print '\nFixings for ', dates, ': ', fixings
def _addFR007IndexFixings(self):
# create a dummy contract, just to get the index object
att = {
'endDateTenor': '1Y',
'notional': 50000000.0,
'fixedRate': 0.035
}
dummyId = '_dummy'
startDate = datetime.date(2017, 12, 1)
p.py_CreateIRSwap(dummyId, {'PredefinedConvention': 'CNY_REPO_7D'},
startDate, **att)
info = p.py_SwapInfo([dummyId], 0, startDate)
indexId = info['']['IndexObjectID']
# print '\n\nIndex object Id: %s' % indexId
self.indexId = indexId
fixings = self.readPeakIndexFixings("../../data/fr007_fixing.csv")
# print '\n\n%s fixings loaded' % len(fixings)
rc = p.py_IndexAddFixings(indexId, fixings.keys(), fixings.values())
def runSwapInfo():
# create a dummy swap, just to get the index object
att = {'endDateTenor': '5Y', 'notional': 50000000.0, 'fixedRate': 0.035}
dummyId = '_dummy'
p.py_CreateIRSwap(dummyId, {'PredefinedConvention': 'CNY_REPO_7D'},
startDate, **att)
rc = p.py_SwapInfo([dummyId], 0, startDate)
print '\n\nSwap Info:'
pprint.pprint(rc, width=1000)
indexId = rc['']['IndexObjectID']
print '\n\nIndex object Id: %s' % indexId
fixings = readPeakIndexFixings("../../data/fr007_fixing.csv")
print '\n\n%s fixings loaded' % len(fixings)
rc = p.py_IndexAddFixings(indexId, fixings.keys(), fixings.values())
print '\nFixings added to %s' % rc
d = datetime.date(2017, 12, 18)
rc = p.py_IndexFixings(indexId, [d])
print '\nFixings without curve for %s is %s' % (d, rc)
rc = p.py_CreateIRSwap(swapId, {'PredefinedConvention': 'CNY_REPO_7D'},
startDate, **att)
rc = p.py_SwapInfo([swapId], 0, anchorDate)
print '\n\nSwapInfo:'
pprint.pprint(rc, width=1000)
curve = p.py_BuildCfetsCurve(curveName,
anchorDate,
indexName,
tenors,
rates,
method,
discCurveName=discCurveName)
print '\n\nCurve created: %s' % curve
d1 = startDate + datetime.timedelta(days=7)
df = p.py_YieldTSDiscount(curveName, [startDate, d1],
allowExtrapolation=True)
print 'Discount factor for %s is %s' % ([startDate, d1], df)
rc = p.py_IndexFixings(indexId, [d], fwdCurveId=curveName)
print '\nFixings with curve for %s is %s' % (d, rc)
npv = p.py_SwapLegNPV([swapId],
curveName,
discCurveName,
anchorDate,
True,
debugLevel=2)
print '\nSwap NPV = %s' % npv
rc = p.py_SwapLegAnalysis(swapId,
0,
afterDate=datetime.date(2018, 1, 25),
forwardCurveId=curveName,
discountCurveId='',
afterDateInclusive=False,
forecastTodaysFixing=True,
useSqlFriendlyColHeaders=True,
selectedColumns='All',
toDate=datetime.date(2100, 12, 31))
print '\nSwapLegAnalysis:'
pprint.pprint(rc, width=1000)
rc = p.py_IndexName(indexId)
print '\nIndex Name "%s"' % rc