def __init__(self, timeseries, *args, **kwargs):
super().__init__(timeseries)
self.base_currency = to_ql_currency(self.ts_attributes[BASE_CURRENCY])
self.counter_currency = to_ql_currency(
self.ts_attributes[COUNTER_CURRENCY])
self.maturity_date = to_ql_date(self.ts_attributes[MATURITY_DATE])
self.quotes = self.timeseries.price.ts_values
self.calendar = to_ql_calendar(self.ts_attributes[CALENDAR])
self.base_rate_day_counter = to_ql_day_counter(
self.ts_attributes[BASE_RATE_DAY_COUNTER])
self.counter_rate_day_counter = to_ql_day_counter(
self.ts_attributes[COUNTER_RATE_DAY_COUNTER])
self.base_rate_compounding = to_ql_compounding(
self.ts_attributes[BASE_RATE_COMPOUNDING])
self.counter_rate_compounding = to_ql_compounding(
self.ts_attributes[COUNTER_RATE_COMPOUNDING])
self.base_rate_frequency = to_ql_frequency(
self.ts_attributes[BASE_RATE_FREQUENCY])
self.counter_rate_frequency = to_ql_frequency(
self.ts_attributes[COUNTER_RATE_FREQUENCY])
self.settlement_days = int(self.ts_attributes[SETTLEMENT_DAYS])
self.base_currency_future = BaseCurrencyFuture(
self.base_currency, self.counter_currency, self.maturity_date,
self.calendar, self.base_rate_day_counter,
self.base_rate_compounding, self.base_rate_frequency,
self.counter_rate_day_counter, self.counter_rate_compounding,
self.counter_rate_frequency, self.settlement_days)
def nth_weekday_of_month(start_year,
n_years,
frequency,
weekday,
nth_day,
min_date=None,
max_date=None):
""" Function to get a list of dates following a specific weekday at a specific recurrence inside a month
example: the 3rd friday of the month, every 3 months.
:param start_year: int
The base year for the date calculation
:param n_years:
The amount of years ahead to forecast
:param frequency: str
The frequency of the monthly occurrence, ex: ANNUAL, SEMIANNUAL, EVERY_FOUR_MONTH, QUARTERLY,
BIMONTHLY, MONTHLY"
:param weekday: str
The weekday of the recurrence, Monday, Tuesday...
:param nth_day: int
The nth occurrence inside of the month.
:param min_date: Date-like, optional
The minimum date of the list
:param max_date: Date-like, optional
The minimum date of the list
:return: list of QuantLib.Dates
"""
frequency = str(frequency).upper()
ql_frequency = to_ql_frequency(frequency)
if not 0 < ql_frequency <= 12:
raise ValueError(
"Only supported frequencies are: ANNUAL, SEMIANNUAL, EVERY_FOUR_MONTH,"
" QUARTERLY, BIMONTHLY, MONTHLY")
weekday = str(weekday).upper()
ql_weekday = to_ql_weekday(weekday)
nth_day = int(nth_day)
dates = list()
for j in range(n_years + 1):
year = start_year + j
for i in range(ql_frequency):
month = int((i + 1) * (12 / ql_frequency))
dates.append(ql.Date.nthWeekday(nth_day, ql_weekday, month, year))
if min_date is not None and max_date is None:
min_date = to_ql_date(min_date)
dates = [date for date in dates if date >= min_date]
elif min_date is None and max_date is not None:
max_date = to_ql_date(max_date)
dates = [date for date in dates if date <= max_date]
elif min_date is not None and max_date is not None:
min_date = to_ql_date(min_date)
max_date = to_ql_date(max_date)
dates = [date for date in dates if min_date <= date <= max_date]
return dates
def __init__(self, timeseries, first_cc):
super().__init__(timeseries)
self.first_cc = first_cc
self.calendar = to_ql_calendar(self.attributes[CALENDAR])
try:
self._tenor = ql.PeriodParser.parse(self.attributes[TENOR_PERIOD])
except KeyError:
# If the deposit rate has no tenor, it must have a maturity.
self._maturity = to_ql_date(to_datetime(self.attributes[MATURITY_DATE]))
self.day_counter = to_ql_day_counter(self.attributes[DAY_COUNTER])
self.compounding = to_ql_compounding(self.attributes[COMPOUNDING])
self.frequency = to_ql_frequency(self.attributes[FREQUENCY])
self.business_convention = to_ql_business_convention(self.attributes[BUSINESS_CONVENTION])
self.fixing_days = int(self.attributes[FIXING_DAYS])
def __init__(self,
timeseries,
is_deposit_rate=False,
calculate_convexity=False,
telescopic_value_dates=False):
super().__init__(timeseries=timeseries)
# Class Flags
self.is_deposit_rate = is_deposit_rate
self.calculate_convexity = calculate_convexity
self.telescopic_value_dates = telescopic_value_dates
# Database Attributes
try:
self._tenor = ql.PeriodParser.parse(
self.ts_attributes[TENOR_PERIOD])
except KeyError:
self._tenor = ql.PeriodParser.parse(
self.ts_attributes[INDEX_TENOR])
try:
self.issue_date = to_ql_date(
to_datetime(self.ts_attributes[ISSUE_DATE]))
except KeyError:
self.issue_date = DEFAULT_ISSUE_DATE
self.compounding = to_ql_compounding(self.ts_attributes[COMPOUNDING])
self.frequency = to_ql_frequency(self.ts_attributes[FREQUENCY])
self.currency = to_ql_currency(self.ts_attributes[CURRENCY])
# Other Interest Rate Class start from here
self._index_tenor = None
self._maturity = None
# QuantLib Objects
self.term_structure = ql.RelinkableYieldTermStructureHandle()
self.index = None
# QuantLib Attributes
self.calendar = None
self.day_counter = None
self.business_convention = None
self.fixing_days = None
self.month_end = None
self.interest_maturity_date = None
# Rate Helper
self.helper_rate = None
self.helper_convexity = None
# Defined
self._rate_helper = None
def update_spread_from_timeseries(self, date, last_available=True):
date = to_ql_date(date)
self.spreads[date] = dict()
for ts in self.ts_collection:
spread = ts.get_values(date, last_available=last_available)
calendar = to_ql_calendar(ts.ts_attributes[CALENDAR])
try:
spread_date_or_tenor = calendar.advance(
date,
ql.PeriodParser.parse(ts.ts_attributes[TENOR_PERIOD]))
except AttributeError:
spread_date_or_tenor = calendar.adjust(
to_ql_date(ts.ts_attributes[MATURITY_DATE]))
day_counter = to_ql_day_counter(ts.ts_attributes[DAY_COUNTER])
compounding = to_ql_compounding(ts.ts_attributes[COMPOUNDING])
frequency = to_ql_frequency(ts.ts_attributes[FREQUENCY])
self.spreads[date][spread_date_or_tenor] = ql.InterestRate(
spread, day_counter, compounding, frequency)
def __init__(self, timeseries):
super().__init__(timeseries)
self._tenor = ql.PeriodParser.parse(self.ts_attributes[TENOR_PERIOD])
self.calendar = to_ql_calendar(self.ts_attributes[CALENDAR])
self.day_counter = to_ql_day_counter(self.ts_attributes[DAY_COUNTER])
self.business_convention = to_ql_business_convention(
self.ts_attributes[BUSINESS_CONVENTION])
self.fixing_days = int(self.ts_attributes[FIXING_DAYS])
self.date_generation = to_ql_date_generation(
self.ts_attributes[DATE_GENERATION])
self.coupon_frequency = ql.Period(
to_ql_frequency(self.ts_attributes[FREQUENCY]))
self.recovery_rate = float(self.ts_attributes[RECOVERY_RATE])
self.coupon = float(self.ts_attributes[COUPONS])
self.base_yield = self.ts_attributes[BASE_SPREAD_TAG]
try:
self.first_accrual_date = to_ql_date(
self.ts_attributes[FIRST_ACCRUAL_DATE])
except KeyError:
self.first_accrual_date = None
self.month_end = False
# Rate Helper
self.helper_rate = ql.SimpleQuote(0)