def py_SwapLegNPV(swapId, forwardCurveId, discountCurveId, cfAfterDate=None, legNumber=PkMissingInt, cfAfterDateInclusive=False, forecastTodaysFixing=False, debugLevel=0):
errVec = Str_Vec()
result = Param_VecVec()
cfAfterDate = dateToPkDate(cfAfterDate) if cfAfterDate else PkMissingDate
rc = pk_SwapLegNPV(_listToPkVec(swapId), legNumber, forwardCurveId, discountCurveId, cfAfterDate, cfAfterDateInclusive, forecastTodaysFixing, debugLevel, result, errVec)
_checkAndRaiseErr(errVec)
return _unpackVecVecResult(result)
def py_BuildCurvePack(curvePackName, curveEngineName, baseTargets=[], baseInstrumentNames=[], scenarioInstrumentNames=[], scenarioNames=[], scenarioTargets=[], scenariosAreRelative=False, deltaBumpSize=1.e-4, centralDifference=False, gammaMode='', targetChangeTolerance=0.0, mispriceTolerance=1.e-6, impliedFromTargetTolerance=0.0):
errVec = Str_Vec()
result = Param_VecVec()
rc = pk_BuildCurvePack(curvePackName, curveEngineName, _listToPkVec(baseTargets, Double_Vec), _listToPkVec(baseInstrumentNames),
_listToPkVec(scenarioInstrumentNames), _listToPkVec(scenarioNames), _matrixToDoubleVecVec(scenarioTargets), scenariosAreRelative,
deltaBumpSize, centralDifference, gammaMode, targetChangeTolerance, mispriceTolerance, impliedFromTargetTolerance, result, errVec)
_checkAndRaiseErr(errVec)
return _unpackVecVecResult(result)
def py_SwapLegAnalysis(swapId, legNumber, afterDate, forwardCurveId, discountCurveId, afterDateInclusive=True, forecastTodaysFixing=True, useSqlFriendlyColHeaders=True, selectedColumns='All', toDate=None):
errVec = Str_Vec()
result = Param_VecVec()
if isinstance(selectedColumns, str):
selectedColumns = [selectedColumns]
selectedColumns = _listToPkVec(selectedColumns)
rc = pk_SwapLegAnalysis(swapId, legNumber, dateToPkDate(afterDate), forwardCurveId, discountCurveId, afterDateInclusive, forecastTodaysFixing, useSqlFriendlyColHeaders, selectedColumns, dateToPkDate(toDate), result, errVec)
_checkAndRaiseErr(errVec)
return _unpackVecVecResult(result)
def py_BuildSwapCurve(curveName, anchorDate, indexName, tenors, rates, extFwdCurve, extDiscCurve='', startTenors=[], useExtCurveAsBase=True, template=''):
'''returns forwardCurveId, discountCurveId, curveEngineId
'''
result = Param_VecVec()
errVec = Str_Vec()
rc = pk_BuildSwapCurve(curveName, dateToPkDate(anchorDate), indexName, _listToPkVec(startTenors), _listToPkVec(tenors), _listToPkVec(rates, Double_Vec),
extFwdCurve, extDiscCurve, result, errVec, useExtCurveAsBase, template)
_checkAndRaiseErr(errVec)
names = tuple(rc)
return names, _unpackVecVecResult(result)
def py_CreateIRSwap(swapId, conventions, asofDate, **att):
errVec = Str_Vec()
result = Param_VecVec()
# att = {}
# for k in ('startDate', 'fwdStartTenor', 'endDate', 'endDateTenor', 'notional', 'fixedRate',
# 'floatSpread', 'discCurveId', 'fwdCurveId', 'firstStubDate', 'lastStubDate', 'addFixingDelayToStartDate'):
# att[k] = attributes.get(k, None)
conventions = dictToKeyValueVec(conventions)
rc = pk_CreateIRSwap(swapId, conventions, dateToPkDate(asofDate), dateToPkDate(att.get('endDate', None)),
att.get('endDateTenor', ''), att.get('notional'), att.get('fixedRate'), att.get('floatSpread', 0.0),
att.get('discCurveId', ''), att.get('fwdCurveId', ''), dateToPkDate(att.get('firstStubDate', None)), dateToPkDate(att.get('lastStubDate', None)),
att.get('addFixingDelayToStartDate', True), result, errVec, att.get('fwdStartTenor', ''), att.get('resetFrequency', ''))
_checkAndRaiseErr(errVec)
return _unpackVecVecResult(result)
def py_BondFlowAnalysis(bondId, afterDate):
errVec = Str_Vec()
result = Param_VecVec()
rc = pk_BondFlowAnalysis(bondId, dateToPkDate(afterDate), result, errVec)
_checkAndRaiseErr(errVec)
return _unpackVecVecResult(result)
def py_BuildRPCurvePack(curvePackName, curveNames, bucketDates, deltaBumpSize=0.0001, centralDifference=False, gammaMode=''):
errVec = Str_Vec()
result = Param_VecVec()
rc = pk_BuildRPCurvePack(curvePackName, _listToPkVec(curveNames), _listToPkVec(bucketDates), deltaBumpSize, centralDifference, gammaMode, result, errVec)
_checkAndRaiseErr(errVec)
return _unpackVecVecResult(result)[0][0]
def py_CurvePackRisk(curvePackName, instrumentNames, curveMap, discountCurveName, centralDifference=False, gammaMode='', riskMode='All', outputFormat='bt', forecastTodaysFixing=False, showBasePv=False):
errVec = Str_Vec()
result = Param_VecVec()
rc = pk_CurvePackRisk(curvePackName, _listToPkVec(instrumentNames), _matrixToStrVecVec(curveMap), discountCurveName, centralDifference, gammaMode, riskMode, outputFormat, forecastTodaysFixing, showBasePv, result, errVec)
_checkAndRaiseErr(errVec)
return _unpackVecVecResult(result)