def getMarkets(filename, trigger):
global marketdata, markets
global tradedate, settle
print('\ngetMarkets')
mkt = MarketFile(filename).read
update = True
if marketdata:
update = not (mkt['timestamp'] == marketdata.get('timestamp',
' '))
if update:
marketdata = mkt
mm, dd, yy = marketdata.get('tradedate', (None, None, None))
tradedate = ql.toDate(dd, mm, yy)
if not tradedate:
tradedate = ql.Date.todaysDate()
mm, dd, yy = marketdata.get('swapsettle', (None, None, None))
swapsettle = ql.toDate(dd, mm, yy)
if not swapsettle:
swapsettle = ql.TARGET().advance(tradedate, 2, ql.Days)
if not markets:
print("initializing curves")
markets = marketcurves()
markets.update(tradedate, swapsettle, marketdata)
return marketdata.get('timestamp', None)
global markets
try:
spreaddata = dict(zip(tenors, spreaddata))
markets.modelCurve(spreaddata)
except:
raise
return ('model')
if __name__ == '__main__':
print("\n\nRunning script....\n")
getMarkets('pfile.close', 1)
print("\nTest...")
call = ql.Call(ql.toDate(1, 1, 2021), 100.0)
bnd = ql.SimpleBond(.05, ql.toDate(1,1,2040), callfeature=call)
asw = bnd.assetSwap()
val = asw.value(markets.govt.termstructure, vol=.16)
print(" one...")
spreaddata = {}
for tenor in markets.mmascale.bonds:
ratio = markets.bma.parRatio(tenor)
bnd = ql.SimpleBond(.05, markets.mmascale.bonds[tenor].maturity,
callfeature = call)
asw = bnd.assetSwap()
yld = markets.mmascale.bondyields[tenor]
prc = bnd.toPrice(yld)
from os import path
import bgpy.QL as QL
from bgpy.xldb import XLOut
from alprion import DROPBOX, SHAREDDATA
dt = QL.Date(1, 1, 1988)
fileout = XLOut(path.join(DROPBOX, "Analysis", "HolidayHistory.xls"))
calendars = (QL.USGovernmentBond, QL.USNYSE, QL.UnitedStates())
nullCal = QL.TARGET()
enddt = QL.Date(31, 12, 2049)
row_n = 1
while dt <= enddt:
dt = nullCal.advance(dt, 1, QL.Days, QL.Following)
fileout.write(QL.toPyDate(dt), row_n, 0, 0, format="date")
for col_n in range(len(calendars)):
fileout.write(calendars[col_n].isBusinessDay(dt), row_n, col_n + 1, 0)
row_n += 1
print("\nNumber of rows: %s" % row_n)
fileout.save()