def series_generator(rate,
nbr_of_payments=1,
start_date=BankDate(),
step='1y'):
'''Series'''
discount = 1 / (1 + rate)
nominal = 0.0
nominal_step = 100.0 / abs(nbr_of_payments)
for payday in daterange_iter(nbr_of_payments, start_date, step, False):
rate = (nominal + nominal_step) * (1 / discount - 1)
yield {
'payday': payday,
'nominal': nominal,
'payment': nominal_step + rate,
'rate': rate
}
nominal += nominal_step
if nbr_of_payments > 0:
yield {
'payday': start_date,
'nominal': nominal,
'payment': 0.0,
'rate': 0.0
}
else:
yield {
'payday': payday - step,
'nominal': 100.0,
'payment': 0.0,
'rate': 0.0
}
def bullit_generator(rate,
nbr_of_payments=1,
start_date=BankDate(),
step='1y'):
'''A bullit'''
discount = 1 / (1 + rate)
payment = 100 / discount
nominal = 0.0
rate = payment - 100
for payday in daterange_iter(nbr_of_payments, start_date, step, False):
yield {
'payday': payday,
'nominal': nominal,
'payment': payment,
'rate': rate
}
if not nominal:
nominal, payment = 100.0, rate
if nbr_of_payments > 0:
yield {
'payday': start_date,
'nominal': nominal,
'payment': 0.0,
'rate': 0.0
}
else:
yield {
'payday': payday - step,
'nominal': 100.0,
'payment': 0.0,
'rate': 0.0
}
def find_nearest_bankdate(self, keyvalue, before=True):
'''
:param keyvalue: A date
:type keyvalue: A bankdate, a string in format yyyy-mm-dd or a date
:param before: if True return nearest date before keyvalue
otherwise the nearest after
:type before: boolean
:Return: The nearest date in DateFlow (before if before is True
otherwise the nearest after) keyvalue.
'''
if self.keys() and keyvalue:
keyvalue = BankDate(keyvalue)
if keyvalue in self.keys():
return keyvalue
else:
lst = self.keys()
lst.append(keyvalue)
lst.sort()
index = lst.index(keyvalue)
if 0 < index < len(lst) - 1:
if before:
return lst[index - 1]
else:
return lst[index + 1]
elif index == 0:
if before:
return
else:
return lst[1]
else:
if before:
return lst[-2]
else:
return
def _act_360_fraction(self, date):
'''Implement daycount method Act/360
'''
date = BankDate(date)
if date and date > self._valuation_date:
return self._valuation_date.nbr_of_days(date) / to_decimal(360)
else:
return to_decimal(0)
def __call__(self, date):
'''Returns the adjusted input date converted to time according to time
convertion settings.
Input is date as BankDate
'''
bdate = BankDate(date)
nbr_years = self._valuation_date.nbr_of_years(bdate)
newdate = bdate.add_years(-nbr_years)
return nbr_years + self._daycount_method(newdate)
def _act_act_isda_fraction(self, date):
'''Implement daycount method Act/Act ISDA
'''
date = BankDate(date)
if date and date > self._valuation_date:
date_year = date.year
days_in_year = to_decimal(366 if isleap(date.year) else 365)
days_in_valuation_year = to_decimal(
366 if isleap(self._valuation_date.year) else 365)
if self._valuation_date.year == date.year:
return self._valuation_date.nbr_of_days(date) \
/ days_in_valuation_year
else:
mid_day = BankDate('%s-01-01' % date_year)
return self._valuation_date.nbr_of_days(mid_day) \
/ days_in_valuation_year \
+ mid_day.nbr_of_days(date) / days_in_year
else:
return to_decimal(0)
def _360_360_fraction(self, date):
'''Implement daycount method 360/360
'''
day1 = BankDate(date)
day2 = self._valuation_date
if day1 and day1 > day2:
number_of_days = 360 * (day1.year - day2.year) \
+ 30 * (day1.month - day2.month) \
+ (day1.day - day2.day)
number_of_days = number_of_days % 360
return to_decimal(number_of_days) / to_decimal(360)
else:
return to_decimal(0)
def annuity_generator(rate,
nbr_of_payments=1,
start_date=BankDate(),
step='1y'):
'''annuity'''
discount = 1 / (1 + rate)
if nbr_of_payments > 0:
payment = 100 * rate / (1.0 - discount**nbr_of_payments)
else:
payment = 100 * (1.0 / discount - 1) \
/ (1.0 - discount ** -nbr_of_payments)
accumulated_discount = 1.0
nominal = 0.0
for payday in daterange_iter(nbr_of_payments, start_date, step, False):
accumulated_discount *= discount
yield {
'payday': payday,
'nominal': nominal,
'payment': payment,
'rate': payment * (1 - accumulated_discount)
}
nominal += payment * accumulated_discount
if nbr_of_payments > 0:
yield {
'payday': start_date,
'nominal': nominal,
'payment': 0.0,
'rate': 0.0
}
else:
yield {
'payday': payday - step,
'nominal': 100.0,
'payment': 0.0,
'rate': 0.0
}
def __init__(self, daycount_method='act/365', valuation_date=BankDate()):
self.set_daycount_method(daycount_method)
self.set_valuation_date(valuation_date)
def set_valuation_date(self, valuation_date):
'''Reset or set valuation day
'''
self._valuation_date = BankDate(valuation_date)
def dateflow_generator(rate,
enddate_or_integer=1,
start_date=BankDate(),
step='1y',
cashflowtype='Annuity',
profile='payment'):
'''A generator of standard DateFlows.
Steps step backwards from end_date. If enddate_or_integer is an integer
end_date is calculated as start_date + enddate_or_integer * step
The dateflow_generator is build upon the datarangeiter.
:param rate: Fixed rate pr period.
:type rate: float or decimal
:param enddate_or_integer: Either end_date or number of dates in daterange
:type enddate_or_integer: A date or integer
:param start_date: start_date for daterange iterations.
Default is current date
:type start_date: A date
:param step: The time period between 2 adjacent dates
:type step: A timeperiod
:param keepstart_date: Should start_date be in daterange or not
:type keepstart_date: Boolean
:param cashflowtype: Name of cashflow type. Default is 'annuity'
:type cashflowtype: ('annuity', 'bullit, 'series')
:param profile: Name of cashflow profile. Default is 'payment'
:type profile: ('payment', 'nominal', 'rate')
:param keepstart_date: Should start_date be in the list. Default is True
:type keepstart_date: boolean
Create payments of an annuity with nominal 100, a rate of 10% and 5 yearly
payments starting from 2009-11-24.
Default:
step = '1y', cashflowtype = 'Annuity', profile = 'payment'
>>> dateflow_generator(0.1, 5, '2009-11-24')
Data for the DateFlow:
* key: 2009-11-24, value: 0.0
* key: 2010-11-24, value: 26.3797480795
* key: 2011-11-24, value: 26.3797480795
* key: 2012-11-24, value: 26.3797480795
* key: 2013-11-24, value: 26.3797480795
* key: 2014-11-24, value: 26.3797480795
DateFlow can also be generated from the future and back:
>>> dateflow_generator(0.1, -5, '2014-11-24')
Data for the DateFlow:
* key: 2009-11-24, value: 0.0
* key: 2010-11-24, value: 26.3797480795
* key: 2011-11-24, value: 26.3797480795
* key: 2012-11-24, value: 26.3797480795
* key: 2013-11-24, value: 26.3797480795
* key: 2014-11-24, value: 26.3797480795
Several DateFlows can be uptained.
Below are the nominals of an annuity (default):
>>> dateflow_generator(0.1, 5, '2009-11-24', profile = 'nominal')
Data for the DateFlow:
* key: 2009-11-24, value: 100.0
* key: 2010-11-24, value: 83.6202519205
* key: 2011-11-24, value: 65.6025290331
* key: 2012-11-24, value: 45.7830338569
* key: 2013-11-24, value: 23.9815891632
* key: 2014-11-24, value: 0.0
And the rates of of an annuity (default):
>>> dateflow_generator(0.1, 5, '2009-11-24', profile = 'rate')
Data for the DateFlow:
* key: 2009-11-24, value: 0.0
* key: 2010-11-24, value: 10.0
* key: 2011-11-24, value: 8.36202519205
* key: 2012-11-24, value: 6.56025290331
* key: 2013-11-24, value: 4.57830338569
* key: 2014-11-24, value: 2.39815891632
Create the payments of a bullit with nominal 100, a rate of 10% and 5 yearly
payments starting from 2009-11-24.
Default:
step = '1y', profile = 'payment', keepstart_date = False.
>>> dateflow_generator(0.1, 5, '2009-11-24', cashflowtype= 'bullit')
Data for the DateFlow:
* key: 2009-11-24, value: 0.0
* key: 2010-11-24, value: 10.0
* key: 2011-11-24, value: 10.0
* key: 2012-11-24, value: 10.0
* key: 2013-11-24, value: 10.0
* key: 2014-11-24, value: 110.0
Create the payments a series with nominal 100, a rate of 10% and 5 yearly
payments starting from 2009-11-24.
Default:
step = '1y', profile = 'payment', keepstart_date = False.
>>> dateflow_generator(0.1, 5, BankDate('2009-11-24'), cashflowtype= 'series')
Data for the DateFlow:
* key: 2009-11-24, value: 0.0
* key: 2010-11-24, value: 30.0
* key: 2011-11-24, value: 28.0
* key: 2012-11-24, value: 26.0
* key: 2013-11-24, value: 24.0
* key: 2014-11-24, value: 22.0
[Christensen]_ table 2.3 page 30, payments:
>>> dateflow_generator(0.035, '2004-07-01', '2001-01-01', '6m', 'annuity', 'payment')
Data for the DateFlow:
* key: 2001-01-01, value: 0.0
* key: 2001-07-01, value: 16.3544493783
* key: 2002-01-01, value: 16.3544493783
* key: 2002-07-01, value: 16.3544493783
* key: 2003-01-01, value: 16.3544493783
* key: 2003-07-01, value: 16.3544493783
* key: 2004-01-01, value: 16.3544493783
* key: 2004-07-01, value: 16.3544493783
[Christensen]_ table 2.3 page 30, rates:
>>> dateflow_generator(0.035, '2004-07-01', '2001-01-01', '6m', 'annuity', 'rate')
Data for the DateFlow:
* key: 2001-01-01, value: 0.0
* key: 2001-07-01, value: 3.5
* key: 2002-01-01, value: 3.05009427176
* key: 2002-07-01, value: 2.58444184303
* key: 2003-01-01, value: 2.10249157929
* key: 2003-07-01, value: 1.60367305633
* key: 2004-01-01, value: 1.08739588506
* key: 2004-07-01, value: 0.553049012794
[Christensen]_ table 2.3 page 30, nominals:
>>> dateflow_generator(0.035, '2004-07-01', '2001-01-01', '6m', 'annuity', 'nominal')
Data for the DateFlow:
* key: 2001-01-01, value: 100.0
* key: 2001-07-01, value: 87.1455506217
* key: 2002-01-01, value: 73.8411955151
* key: 2002-07-01, value: 60.0711879798
* key: 2003-01-01, value: 45.8192301808
* key: 2003-07-01, value: 31.0684538588
* key: 2004-01-01, value: 15.8014003655
* key: 2004-07-01, value: 0.0
'''
def annuity_generator(rate,
nbr_of_payments=1,
start_date=BankDate(),
step='1y'):
'''annuity'''
discount = 1 / (1 + rate)
if nbr_of_payments > 0:
payment = 100 * rate / (1.0 - discount**nbr_of_payments)
else:
payment = 100 * (1.0 / discount - 1) \
/ (1.0 - discount ** -nbr_of_payments)
accumulated_discount = 1.0
nominal = 0.0
for payday in daterange_iter(nbr_of_payments, start_date, step, False):
accumulated_discount *= discount
yield {
'payday': payday,
'nominal': nominal,
'payment': payment,
'rate': payment * (1 - accumulated_discount)
}
nominal += payment * accumulated_discount
if nbr_of_payments > 0:
yield {
'payday': start_date,
'nominal': nominal,
'payment': 0.0,
'rate': 0.0
}
else:
yield {
'payday': payday - step,
'nominal': 100.0,
'payment': 0.0,
'rate': 0.0
}
def bullit_generator(rate,
nbr_of_payments=1,
start_date=BankDate(),
step='1y'):
'''A bullit'''
discount = 1 / (1 + rate)
payment = 100 / discount
nominal = 0.0
rate = payment - 100
for payday in daterange_iter(nbr_of_payments, start_date, step, False):
yield {
'payday': payday,
'nominal': nominal,
'payment': payment,
'rate': rate
}
if not nominal:
nominal, payment = 100.0, rate
if nbr_of_payments > 0:
yield {
'payday': start_date,
'nominal': nominal,
'payment': 0.0,
'rate': 0.0
}
else:
yield {
'payday': payday - step,
'nominal': 100.0,
'payment': 0.0,
'rate': 0.0
}
def series_generator(rate,
nbr_of_payments=1,
start_date=BankDate(),
step='1y'):
'''Series'''
discount = 1 / (1 + rate)
nominal = 0.0
nominal_step = 100.0 / abs(nbr_of_payments)
for payday in daterange_iter(nbr_of_payments, start_date, step, False):
rate = (nominal + nominal_step) * (1 / discount - 1)
yield {
'payday': payday,
'nominal': nominal,
'payment': nominal_step + rate,
'rate': rate
}
nominal += nominal_step
if nbr_of_payments > 0:
yield {
'payday': start_date,
'nominal': nominal,
'payment': 0.0,
'rate': 0.0
}
else:
yield {
'payday': payday - step,
'nominal': 100.0,
'payment': 0.0,
'rate': 0.0
}
# Main dateflow_generator
if not 0 < rate < 1:
raise DateFlowError, 'Rate (%s) must be a float between 0 and 1' \
% rate
cashflowdict = {
'annuity': annuity_generator,
'bullit': bullit_generator,
'series': series_generator
}
if cashflowtype.lower() in cashflowdict.keys():
if isinstance(enddate_or_integer, int):
nbr_of_payments = enddate_or_integer
else:
nbr_of_payments = period_count(enddate_or_integer, start_date,
step)
generator = cashflowdict[cashflowtype.lower()] \
(rate, nbr_of_payments, start_date, step)
else:
raise DateFlowError, \
'Cashflowtype (%s) must be one of %s' \
% (cashflowtype.lower(), cashflowdict.keys())
profilelst = ('nominal', 'payment', 'rate')
if profile.lower() in profilelst:
return sum(
DateFlow({row['payday']: row[profile.lower()]})
for row in generator)
else:
raise DateFlowError, \
'Profile (%s) must be one of %s' % (profile.lower(), profilelst)
def __validate_key__(key):
return BankDate(key)