def setUp(self): self._pricingDate = Date(month=9,day=12,year=2011) self._marketId = 'TEST1' QuantLib.Settings.instance().evaluationDate = self._pricingDate.ql() self._tcSwap = TCSwap(name='Dummy', ccy = Currency('USD'), startDate = date(month=9,day=14,year=2011), endDate = date(month=9,day=14,year=2016), fixedCoupon = 0.01, fixedBasis = Basis.createBasis('30360'), fixedPaymentFrequency = Frequency('S'), fixedPaymentRollRule = Roll('MF'), fixedPaymentCalendar = Calendar.createCalendar('US'), floatingIndex = Index('LIBOR'), floatingIndexTerm = TimePeriod('M'), floatingIndexNumTerms = 3, floatingSpread = 0.0, floatingBasis = Basis.createBasis('30360'), floatingPaymentFrequency = Frequency('Q'), floatingPaymentRollRule = Roll('MF'), floatingPaymentCalendar = Calendar.createCalendar('US'), floatingResetFrequency = Frequency('Q'), floatingResetRollRule = Roll('MF'), floatingResetCalendar = Calendar.createCalendar('US')) self._pos = SwapPosition(amount=1000000, tcSwap=self._tcSwap)
def to_python(self, value): if isinstance(value, Calendar.Calendar): return value if value is None or value == '': return value #TODO: catch exception and raise ValidationError for forms return Calendar.createCalendar(value)
def dataForSuccessfulTest(self): ''' This saves all data so that system tests run successfully Pricing date is 9/12/2011 with market data id TEST1 ''' testDatePython = date(month=9,day=12,year=2011) testDate = Date(month=9,day=12,year=2011) testFirstDate = Date(month=8,day=30,year=2011) if not Location.objects.filter(name='Test1').exists(): location = Location() location.name = 'Test1' location.pricingDate = date(month=9,day=12,year=2011) location.save() location = Location.objects.get(name='Test1') if not User.objects.filter(username='******').exists(): user = User.objects.create_user(username='******',email='*****@*****.**',\ password='******') user.is_staff = True user.is_superuser = True user.save() if not User.objects.filter(username='******').exists(): User.objects.create_user(username='******',email='*****@*****.**',\ password='******') if not User.objects.filter(username='******').exists(): User.objects.create_user(username='******',email='*****@*****.**',\ password='******') if not User.objects.filter(username='******').exists(): User.objects.create_user(username='******',email='*****@*****.**',\ password='******') user1 = User.objects.get(username='******') if not UserProfile.objects.filter(user=user1).exists(): up1 = UserProfile() up1.user = user1 up1.location = location up1.marketId = 'EOD' up1.save() user2 = User.objects.get(username='******') if not UserProfile.objects.filter(user=user2).exists(): up2 = UserProfile() up2.user = user2 up2.location = location up2.marketId = 'EOD' up2.save() user3 = User.objects.get(username='******') if not UserProfile.objects.filter(user=user3).exists(): up3 = UserProfile() up3.user = user3 up3.location = location up3.marketId = 'TEST1' up3.save() user4 = User.objects.get(username='******') if not UserProfile.objects.filter(user=user4).exists(): up4 = UserProfile() up4.user = user4 up4.location = location up4.marketId = 'DEMO' up4.save() if not TCBond.objects.filter(name='TEST1').exists(): bond = TCBond() bond.name = 'TEST1' bond.ccy = 'USD' cusip = Enum.BondIdentifierType('CUSIP') if not Identifier.objects.filter(name='123456789', type=cusip): identifier = Identifier() identifier.name='123456789' identifier.type=cusip identifier.save() identifier = Identifier.objects.get(name='123456789', type=cusip) bond.identifiers = identifier bond.startDate = Date(month=9,day=12,year=2010).toPythonDate() bond.endDate = Date(month=9,day=12,year=2020).toPythonDate() bond.coupon = 0.01 bond.basis = '30360' bond.paymentFrequency = Enum.Frequency('S') bond.paymentRollRule = Enum.Roll('MF') bond.paymentCalendar = Calendar.createCalendar('US') bond.assetType = Enum.AssetType('NYMUNIBOND') bond.save() if not Equity.objects.filter(ticker='TEST1').exists(): equity = Equity() equity.ticker = 'TEST1' equity.assetType = Enum.AssetType('EQUITYUS') equity.save() equity = Equity.objects.get(ticker='TEST1') stockPrice = StockPrice() stockPrice.equity = equity stockPrice.pricingDate = testDate stockPrice.marketId = 'TEST1' stockPrice.mid = 123.45 stockPrice.save() equity = Equity.objects.get(ticker='TEST1') stockPrice = StockPrice() stockPrice.equity = equity stockPrice.pricingDate = testFirstDate stockPrice.marketId = 'TEST1' stockPrice.mid = 123.44 stockPrice.save() if not Equity.objects.filter(ticker='TEST2').exists(): equity = Equity() equity.ticker = 'TEST2' equity.assetType = Enum.AssetType('EQUITYUS') equity.save() equity = Equity.objects.get(ticker='TEST2') stockPrice = StockPrice() stockPrice.equity = equity stockPrice.pricingDate = testDate stockPrice.marketId = 'TEST1' stockPrice.mid = 543.21 stockPrice.save() equity = Equity.objects.get(ticker='TEST2') stockPrice = StockPrice() stockPrice.equity = equity stockPrice.pricingDate = testFirstDate stockPrice.marketId = 'TEST1' stockPrice.mid = 543.11 stockPrice.save() if not Portfolio.objects.filter(name='TEST1', user='******').exists(): portfolio =Portfolio() portfolio.name = 'TEST1' portfolio.user = '******' portfolio.save() portfolio =Portfolio.objects.get(name='TEST1', user='******') if not ModelPosition.objects.filter(asOf=testDate, portfolio=portfolio, positionType = Enum.PositionType('EQUITY'), ticker = 'TEST1', amount = 100.0).exists(): position = ModelPosition() position.asOf=testDate position.portfolio = portfolio position.positionType = Enum.PositionType('EQUITY') position.ticker = 'TEST1' position.amount = 100.0 position.save() if not ModelPosition.objects.filter(asOf=testDate, portfolio=portfolio, positionType = Enum.PositionType('EQUITY'), ticker = 'TEST2', amount = 100.0).exists(): position = ModelPosition() position.asOf=testDate position.portfolio = portfolio position.positionType = Enum.PositionType('EQUITY') position.ticker = 'TEST2' position.amount = 100.0 position.save() if not ModelPosition.objects.filter(asOf=testDate, portfolio=portfolio, positionType = Enum.PositionType('BOND'), ticker = 'TEST1', amount = 100.0).exists(): position = ModelPosition() position.asOf=testDate position.portfolio = portfolio position.positionType = Enum.PositionType('BOND') position.ticker = 'TEST1' position.amount = 100.0 position.save() if not ModelPosition.objects.filter(asOf=testFirstDate, portfolio=portfolio, positionType = Enum.PositionType('EQUITY'), ticker = 'TEST1', amount = 100.0).exists(): position = ModelPosition() position.asOf=testFirstDate position.portfolio = portfolio position.positionType = Enum.PositionType('EQUITY') position.ticker = 'TEST1' position.amount = 100.0 position.save() if not ModelPosition.objects.filter(asOf=testFirstDate, portfolio=portfolio, positionType = Enum.PositionType('EQUITY'), ticker = 'TEST2', amount = 100.0).exists(): position = ModelPosition() position.asOf=testFirstDate position.portfolio = portfolio position.positionType = Enum.PositionType('EQUITY') position.ticker = 'TEST2' position.amount = 100.0 position.save() if not ModelPosition.objects.filter(asOf=testFirstDate, portfolio=portfolio, positionType = Enum.PositionType('BOND'), ticker = 'TEST1', amount = 100.0).exists(): position = ModelPosition() position.asOf=testFirstDate position.portfolio = portfolio position.positionType = Enum.PositionType('BOND') position.ticker = 'TEST1' position.amount = 100.0 position.save() if not ModelPosition.objects.filter(asOf=testFirstDate, portfolio=portfolio, positionType = Enum.PositionType('CASH'), ticker = 'Cash', amount = 1000.0).exists(): position = ModelPosition() position.asOf=testFirstDate position.portfolio = portfolio position.positionType = Enum.PositionType('CASH') position.ticker = 'Cash' position.amount = 1000.0 position.save() curve = InterestRateCurve() curve.ccy = 'USD' curve.index = Enum.Index('LIBOR') curve.term = Enum.TimePeriod('M') curve.numTerms = 3 curve.pricingDate =testDate curve.marketId = 'TEST1' curve.addRate(InterestRate(type='Deposit', term=Enum.TimePeriod('M'), numTerms=1,mid=0.01,curve=curve)) curve.addRate(InterestRate(type='Deposit', term=Enum.TimePeriod('M'), numTerms=3,mid=0.01,curve=curve)) curve.addRate(InterestRate(type='Swap', term=Enum.TimePeriod('Y'), numTerms=1,mid=0.01,curve=curve)) curve.addRate(InterestRate(type='Swap', term=Enum.TimePeriod('Y'), numTerms=5,mid=0.01,curve=curve)) curve.addRate(InterestRate(type='Swap', term=Enum.TimePeriod('Y'), numTerms=10,mid=0.01,curve=curve)) curve.addRate(InterestRate(type='Swap', term=Enum.TimePeriod('Y'), numTerms=30,mid=0.01,curve=curve)) curve.save() curve = InterestRateCurve() curve.ccy = 'USD' curve.index = Enum.Index('LIBOR') curve.term = Enum.TimePeriod('M') curve.numTerms = 3 curve.pricingDate = testFirstDate curve.marketId = 'TEST1' curve.addRate(InterestRate(type='Deposit', term=Enum.TimePeriod('M'), numTerms=1,mid=0.01,curve=curve)) curve.addRate(InterestRate(type='Deposit', term=Enum.TimePeriod('M'), numTerms=3,mid=0.01,curve=curve)) curve.addRate(InterestRate(type='Swap', term=Enum.TimePeriod('Y'), numTerms=1,mid=0.01,curve=curve)) curve.addRate(InterestRate(type='Swap', term=Enum.TimePeriod('Y'), numTerms=5,mid=0.01,curve=curve)) curve.addRate(InterestRate(type='Swap', term=Enum.TimePeriod('Y'), numTerms=10,mid=0.01,curve=curve)) curve.addRate(InterestRate(type='Swap', term=Enum.TimePeriod('Y'), numTerms=30,mid=0.01,curve=curve)) curve.save() if not SwaptionVolatilitySurface.objects.filter(ccy=Enum.Currency('USD'), index=Enum.Index('LIBOR'), term=Enum.TimePeriod('M'), numTerms=3, pricingDate=testDate, marketId='TEST1'): #Special case where I just append the vols. Should use a function vols = SwaptionVolatilitySurface(ccy=Enum.Currency('USD'), index=Enum.Index('LIBOR'), term=Enum.TimePeriod('M'), numTerms=3, pricingDate=testDate, marketId='TEST1') volPoints = [] volPoints.append(SwaptionVolatility(expiryTerm=Enum.TimePeriod('Y'), expiryNumTerms=1, underlyingTerm=Enum.TimePeriod('Y'), underlyingNumTerms=3, mid=0.40, surface=vols)) volPoints.append(SwaptionVolatility(expiryTerm=Enum.TimePeriod('Y'), expiryNumTerms=3, underlyingTerm=Enum.TimePeriod('Y'), underlyingNumTerms=3, mid=0.45, surface=vols)) volPoints.append(SwaptionVolatility(expiryTerm=Enum.TimePeriod('Y'), expiryNumTerms=1, underlyingTerm=Enum.TimePeriod('Y'), underlyingNumTerms=5, mid=0.5, surface=vols)) volPoints.append(SwaptionVolatility(expiryTerm=Enum.TimePeriod('Y'), expiryNumTerms=3, underlyingTerm=Enum.TimePeriod('Y'), underlyingNumTerms=5, mid=0.55, surface=vols)) vols.addVolatilities(volPoints) vols.save() if not BondOAS.objects.filter(tCBond=TCBond.objects.get(name='TEST1'),pricingDate=testDate, marketId='TEST1'): bondOAS = BondOAS(tCBond=TCBond.objects.get(name='TEST1'),pricingDate=testDate, marketId='TEST1',mid=0.0012) bondOAS.save() #done for only one test BondPositionTest.testLoadAndSaveMarketData if not BondOAS.objects.filter(tCBond=TCBond.objects.get(name='TEST1'),pricingDate=Date(month=1,day=1,year=2009), marketId='EOD'): bondOAS = BondOAS(tCBond=TCBond.objects.get(name='TEST1'),pricingDate=Date(month=1,day=1,year=2009), marketId='EOD',mid=0.01) bondOAS.save() #now load zero oas for all dates we do testing timePeriods = VARUtilities.VARTimePeriodsAndSteps() timePeriods.generate(start = Date(month=8,day=30,year=2011), end = Date(month=9,day=12,year=2011), num = 1, term = Enum.TimePeriod('D'), calendar = Calendar.US()) for timeStep in timePeriods.timeSteps: if not BondOAS.objects.filter(tCBond=TCBond.objects.get(name='TEST1'), pricingDate=timeStep, marketId='TEST1'): bondOAS = BondOAS(tCBond=TCBond.objects.get(name='TEST1'), pricingDate=timeStep, marketId='TEST1',mid=0.0) bondOAS.save() fileLoader = MarketDataLoader.EquityPriceLoader() fileLoader.loadStockPriceFromCSVFile(ROOT_PATH+'/misc/data/StockPricesForHVaRTests.csv') fileLoader.loadInterestRateFromCSVFile(ROOT_PATH+'/misc/data/InterestRatesForHVaRTests.csv') if not HvarConfiguration.objects.filter(name='TEST1').exists(): config = HvarConfiguration() config.name = 'TEST1' config.startDate = Date(month=8,day=30,year=2011).toPythonDate() config.endDate = Date(month=9,day=12,year=2011).toPythonDate() config.stepSize = 1 config.stepUnit = Enum.TimePeriod('D') config.calendar = Calendar.US() config.confLevel = 0.95 config.marketId = 'TEST1' config.save()