def loadAndSaveMarketData(self, pricingDate, marketId):
''' assumes that 'EOD' marketId exists '''
eodCurve = InterestRateCurve()
eodCurve.ccy = self.tCBond.ccy
eodCurve.index = Enum.Index('LIBOR')
eodCurve.term = 'M'
eodCurve.numTerms = 3
eodCurve.pricingDate = pricingDate
eodCurve.marketId = 'EOD'
eodCurve.load()
irCurve = InterestRateCurve()
irCurve.ccy = self.tCBond.ccy
irCurve.index = Enum.Index('LIBOR')
irCurve.term = 'M'
irCurve.numTerms = 3
irCurve.pricingDate = pricingDate
irCurve.marketId = marketId
eodRates = eodCurve.getRates()
for rate in eodRates:
irCurve.addRate(rate)
irCurve.save()
eodBondOAS = BondOAS.objects.get(tCBond=self.tCBond, pricingDate=pricingDate,
marketId='EOD')
bondOAS = BondOAS(tCBond=self.tCBond, pricingDate=pricingDate,
marketId=marketId,mid=eodBondOAS.mid)
bondOAS.save()
def testBuildMMCurve(self):
curve = InterestRateCurve(ccy='USD', index=Index('LIBOR'), term='M',
numTerms=3, pricingDate=self.pricingDate, marketId='TEST1')
curve.load()
# curve.printCurve()
cv = curve.buildZeroCurve()
for node in cv.nodes():
a = node
def marketData(self, pricingDate, marketId=''):
irCurve = InterestRateCurve()
irCurve.ccy = self._tcSwap.ccy
irCurve.index = Index('LIBOR')
irCurve.term = 'M'
irCurve.numTerms = 3
irCurve.pricingDate = pricingDate
irCurve.marketId = marketId
irCurve.load()
l = []
l.append(irCurve)
return l
def testLoadAndSaveMarketData_TODO(self):
#curve should never exist
self.pos.loadAndSaveMarketData(pricingDate=Date.Date(1,1,2009),
marketId=self.marketId)
#now, curve should exist
irCurve = InterestRateCurve()
irCurve.ccy = Enum.Currency('USD')
irCurve.index = Enum.Index('LIBOR')
irCurve.term = 'M'
irCurve.numTerms = 3
irCurve.pricingDate = Date.Date(1,1,2009)
irCurve.marketId = self.marketId
irCurve.load()
#now, delete again so that next test will work
irCurve.delete()
def marketData(self, pricingDate, marketId=''):
irCurve = InterestRateCurve()
irCurve.ccy = self.tCBond.ccy
irCurve.index = Enum.Index('LIBOR')
irCurve.term = 'M'
irCurve.numTerms = 3
irCurve.pricingDate = pricingDate
irCurve.marketId = marketId
irCurve.load()
l = []
l.append(irCurve)
##print pricingDate
bondOAS = BondOAS.objects.get(tCBond=self.tCBond, pricingDate=pricingDate,
marketId=marketId)
l.append(bondOAS)
return l
def loadInterestRateFromCSVFile(self, fileName):
'''
Downloads prices from fileName. fileName needs to include full path
'''
file = open(fileName,'r')
lastDate = Date.Date(month=1,day=1,year=1972)
for line in file:
items = line.split(',')
#skip first line which is headers
if items[0] == 'date':
continue
#create new curve if date has changed
curveDate = self.createDateFromString(items[0])
if curveDate <> lastDate:
newCurve = InterestRateCurve()
newCurve.pricingDate = curveDate
newCurve.ccy = items[1]
newCurve.index = items[2]
newCurve.marketId = items[3]
newCurve.term = items[4]
newCurve.numTerms = int(items[5])
newCurve.save()
newCurve.load()
#Delete all rates in case the curve already existed
rates = InterestRate.objects.filter(curve=newCurve)
if rates:
rates.delete()
curve = InterestRateCurve()
curve.pricingDate = curveDate
curve.ccy = items[1]
curve.index = items[2]
curve.marketId = items[3]
curve.term = items[4]
curve.numTerms = int(items[5])
curve.load()
rate = InterestRate()
rate.curve = curve
rate.type = items[6]
rate.term = items[7]
rate.numTerms = int(items[8])
rate.mid = float(items[9])
rate.save()
lastDate = curveDate
def testSingleIRCurveScenario(self):
irA = InterestRateCurve()
irA.ccy = "USD"
irA.index = "LIBOR"
irA.term = 'M'
irA.numTerms = 3
irA.marketId = 'TEST1'
irA.pricingDate = Date.Date(month=9, day=12, year=2011)
irA.load()
scenarioBase = MarketDataScenario.MarketDataScenario()
scenarioBase.name = 'Base'
scenarioBase.marketData = irA
#print scenarioBase
scenarioUp = MarketDataScenario.MarketDataScenario()
scenarioUp.name = 'Up'
irB = copy.copy(irA)
for item in irB.rates:
item.mid = item.mid * 1.01
scenarioUp.marketData = irB
def testUpdateRate(self):
'''
Tests the update of a rate value and save it to DB
'''
curve = InterestRateCurve(ccy='USD', index=Index('LIBOR'), term='M',
numTerms=3, pricingDate=self.pricingDate, marketId='TMP')
curve.addRate(InterestRate(term='M', numTerms=1, type='Deposit',
mid=0.01, curve=curve))
curve.addRate(InterestRate(term='M', numTerms=3, type='Deposit',
mid=0.01, curve=curve))
curve.save()
curve = InterestRateCurve(ccy='USD', index=Index('LIBOR'), term='M',
numTerms=3, pricingDate=self.pricingDate, marketId='TMP')
curve.load()
self.failIf(curve.rates[1].mid <> 0.01, "Rate incorrect")
self.failIf(len(curve.rates) <> 2, "Number of rates incorrect")
curve.rates[1].mid = 0.02
curve.save()
curveAfterUpdate = InterestRateCurve(ccy='USD', index=Index('LIBOR'), term='M',
numTerms=3, pricingDate=self.pricingDate, marketId='TMP')
curveAfterUpdate.load()
self.failIf(curveAfterUpdate.rates[1].mid <> 0.02, "Updated rate incorrect")
self.failIf(len(curveAfterUpdate.rates) <> 2, "Number of updated rates incorrect")
curveAfterUpdate.rates[1].mid = 0.01
curveAfterUpdate.save()
curve = InterestRateCurve(ccy='USD', index=Index('LIBOR'), term='M',
numTerms=3, pricingDate=self.pricingDate, marketId='TMP')
curve.load()
self.failIf(curve.rates[1].mid <> 0.01, "Rate incorrect")
self.failIf(len(curve.rates) <> 2, "Number of rates incorrect")
def loadAndSaveMarketData(self, pricingDate, marketId):
''' assumes that 'EOD' marketId exists
algorithm is to load the EOD curve and save it with marketId
'''
eodCurve = InterestRateCurve()
eodCurve.ccy = self._tcSwap.ccy
eodCurve.index = Index('LIBOR')
eodCurve.term = 'M'
eodCurve.numTerms = 3
eodCurve.pricingDate = pricingDate
eodCurve.marketId = 'EOD'
eodCurve.load()
irCurve = InterestRateCurve()
irCurve.ccy = self._tcSwap.ccy
irCurve.index = Index('LIBOR')
irCurve.term = 'M'
irCurve.numTerms = 3
irCurve.pricingDate = pricingDate
irCurve.marketId = marketId
eodRates = eodCurve.getRates()
for rate in eodRates:
irCurve.addRate(rate)
irCurve.save()
def testLoadCurve(self):
curve = InterestRateCurve(ccy='USD', index=Index('LIBOR'), term='M',
numTerms=3, pricingDate=self.pricingDate, marketId='TEST1')
curve.load()
