def daycount(cls, date1, date2, daycounter=None):
pydate1, pydate2 = map(pydate, (date1, date2))
if not daycounter:
daycounter = cls.ActualActual()
qldate1 = qldate_from_pydate(pydate1)
qldate2 = qldate_from_pydate(pydate2)
return daycounter.day_count(qldate1, qldate2)
def year_fraction(cls, date1, date2, daycounter=None):
'''
Calculate the fraction of a year between two date1 and date2,
based on the daycount specified.
dates may be ccyymmdd or python datetime.dates
'''
pydate1, pydate2 = map(pydate, (date1, date2))
if not daycounter:
daycounter = cls.ActualActual()
qldate1 = qldate_from_pydate(pydate1)
qldate2 = qldate_from_pydate(pydate2)
return daycounter.year_fraction(qldate1, qldate2)
def test_conversion_from_datetime_to_pyql(self):
date1 = datetime.date(2010, 1, 1)
qldate1 = qldate_from_pydate(date1)
expected_result = Date(1, Jan, 2010)
self.assertEquals(expected_result, qldate1)
def next_imm_date(reference_date, tenor):
"""
Third Wednesday of contract month
"""
dt = qldate_from_pydate(reference_date)
for k in range(tenor):
tmp = imm.next_date(dt)
dt = pydate_to_qldate(tmp)
return pydate_from_qldate(dt)
def test_conversion_from_datetime_to_pyql(self):
date1 = datetime.date(2010, 1, 1)
qldate1 = qldate_from_pydate(date1)
expected_result = Date(1, Jan, 2010)
self.assertEqual(expected_result, qldate1)
def pydate_to_qldate(date):
"""
Converts a datetime object or a date string
into a QL Date.
"""
if isinstance(date, basestring):
yy, mm, dd = _parsedate(date)
return Date(dd, mm, yy)
else:
return dt.qldate_from_pydate(date)
def pydate_to_qldate(date):
"""
Converts a datetime object or a date string
into a QL Date.
"""
if isinstance(date, str): # Changed from basestring for Py2/3 compatibility
yy, mm, dd = _parsedate(date)
return Date(dd, mm, yy)
else:
return dt.qldate_from_pydate(date)
def pydate_to_qldate(date):
"""
Converts a datetime object or a date string
into a QL Date.
"""
if isinstance(date, Date):
return date
if isinstance(date, basestring):
yy, mm, dd = _parsedate(date)
return Date(dd, mm, yy)
else:
return dt.qldate_from_pydate(date)
def make_rate_helper(market, quote, reference_date=None):
"""
Wrapper for deposit and swaps rate helpers makers
TODO: class method of RateHelper?
"""
rate_type, tenor, quote_value = quote
if(rate_type == 'SWAP'):
libor_index = market._floating_rate_index
spread = SimpleQuote(0)
fwdStart = Period(0, Days)
helper = SwapRateHelper.from_tenor(
quote_value,
Period(tenor),
market._floating_rate_index.fixing_calendar,
code_to_frequency(market._params.fixed_leg_period),
BusinessDayConvention.from_name(
market._params.fixed_leg_convention),
DayCounter.from_name(market._params.fixed_leg_daycount),
libor_index, spread, fwdStart)
elif(rate_type == 'DEP'):
end_of_month = True
helper = DepositRateHelper(
quote_value,
Period(tenor),
market._params.settlement_days,
market._floating_rate_index.fixing_calendar,
market._floating_rate_index.business_day_convention,
end_of_month,
DayCounter.from_name(market._deposit_daycount))
elif(rate_type == 'ED'):
if reference_date is None:
raise Exception("Reference date needed with ED Futures data")
forward_date = next_imm_date(reference_date, tenor)
helper = FuturesRateHelper(
rate = SimpleQuote(quote_value),
imm_date = qldate_from_pydate(forward_date),
length_in_months = 3,
calendar = market._floating_rate_index.fixing_calendar,
convention = market._floating_rate_index.business_day_convention,
end_of_month = True,
day_counter = DayCounter.from_name(market._params.floating_leg_daycount))
else:
raise Exception("Rate type %s not supported" % rate_type)
return (helper)
def is_business_day(cls, date, calendar=None):
if not calendar:
calendar = cls.TARGET()
elif not hasattr(calendar, "advance"):
return None
qldate = qldate_from_pydate(pydate(date))
try:
return calendar.is_business_day(qldate)
except:
try:
return calendar().is_business_day(qldate)
except:
return None
def advance(cls, date, n, timeunit=None, calendar=None, convention=None):
"""
Advance pydate according the specified calendar and convention
:pydate: e.g. 19600809, date(1964, 9, 29), '5-23-1993'
:n: integer
:timeunit: e.g., enums.TimeUnits.Days
usage
-----
Note 9/6/1980 is a weekend
>>> Calendars.advance(19800906, 1)
datetime.date(1980, 9, 8)
"""
if not calendar:
calendar = cls.TARGET()
elif not hasattr(calendar, "advance"):
return None
if not convention:
convention = BusinessDayConventions.Following
if not timeunit:
timeunit = TimeUnits.Days
qldate = qldate_from_pydate(pydate(date))
try:
return pydate_from_qldate(calendar.advance(qldate, n, timeunit))
except:
try:
return pydate_from_qldate(
calendar().advance(qldate, n, timeunit)
)
except:
print("failure {}".format(qldate))
return None
def adjust(cls, date, calendar=None, convention=None):
if not calendar:
calendar = cls.TARGET()
elif not hasattr(calendar, "adjust"):
return None
if not convention:
convention = BusinessDayConventions.Following
qldate = qldate_from_pydate(pydate(date))
try:
return pydate_from_qldate(calendar.adjust(qldate, convention))
except:
try:
return pydate_from_qldate(calendar().adjust(qldate,
convention))
except:
return None
def make_rate_helper(market, quote, reference_date=None):
"""
Wrapper for deposit and swaps rate helpers makers
TODO: class method of RateHelper?
"""
rate_type, tenor, quote_value = quote
if(rate_type == 'SWAP'):
libor_index = market._floating_rate_index
spread = SimpleQuote(0)
fwdStart = Period(0, Days)
helper = SwapRateHelper.from_tenor(
quote_value,
Period(tenor),
market._floating_rate_index.fixing_calendar,
code_to_frequency(market._params.fixed_leg_period),
BusinessDayConvention.from_name(
market._params.fixed_leg_convention),
DayCounter.from_name(market._params.fixed_leg_daycount),
libor_index, spread, fwdStart)
elif(rate_type == 'DEP'):
end_of_month = True
helper = DepositRateHelper(
quote_value,
Period(tenor),
market._params.settlement_days,
market._floating_rate_index.fixing_calendar,
market._floating_rate_index.business_day_convention,
end_of_month,
DayCounter.from_name(market._deposit_daycount))
elif(rate_type == 'ED'):
if reference_date is None:
raise Exception("Reference date needed with ED Futures data")
forward_date = next_imm_date(reference_date, tenor)
helper = FuturesRateHelper(
rate =SimpleQuote(quote_value),
imm_date = qldate_from_pydate(forward_date),
length_in_months = 3,
calendar = market._floating_rate_index.fixing_calendar,
convention = market._floating_rate_index.business_day_convention,
end_of_month = True,
day_counter = DayCounter.from_name(
market._params.floating_leg_daycount))
elif rate_type.startswith('ER'):
# TODO For Euribor futures, we found it useful to supply the `imm_date`
# parameter directly, instead of as a number of periods from the
# evaluation date, as for ED futures. To achieve this, we pass the
# `imm_date` in the `tenor` field of the quote.
helper = FuturesRateHelper(
rate=SimpleQuote(quote_value),
imm_date=tenor,
length_in_months=3,
calendar=market._floating_rate_index.fixing_calendar,
convention=market._floating_rate_index.business_day_convention,
end_of_month=True,
day_counter=DayCounter.from_name(
market._params.floating_leg_daycount))
else:
raise Exception("Rate type %s not supported" % rate_type)
return helper
def test_imm_date(self):
dt = imm.date('M9')
cd = imm.code(qldate_from_pydate(dt))
self.assertEqual(cd, 'M9')
def test_imm_date(self):
dt = imm.date('M9')
print('IMM date M9: %s' % dt)
cd = imm.code(qldate_from_pydate(dt))
print('IMM code for %s: %s' % (dt, cd))
self.assertTrue(cd == 'M9')
def test_imm_date(self):
dt = imm.date('M9')
print('IMM date M9: %s' % dt)
cd = imm.code(qldate_from_pydate(dt))
print('IMM code for %s: %s' % (dt, cd))
self.assertTrue(cd == 'M9')
def test_imm_date(self):
dt = imm.date('M9')
cd = imm.code(qldate_from_pydate(dt))
self.assertEqual(cd, 'M9')
