def getDataFromMongo(self):
"""
from mongo get the currency_pairs and bank_rate
"""
## currency_pairs
currency_pairs = list(set(map(lambda x: x['currency_pair'],
self.data)))
Time = self.Now.split()[0]
#currency_dict = getcurrentrate(currency_pairs)
currency_dict = gethistoryrate(currency_pairs, Time)
##bank_rate
self.forwarddict = []
for lst in self.data:
forwarddict = {}
sell_currency = lst['currency_pair'][:3]
buy_currency = lst['currency_pair'][3:]
currency_pair = lst['currency_pair']
#ratetype = getRate((lst['delivery_date'] -lst['trade_date']).days)
ratetype = '12月'
#SellRate,BuyRate = getcurrentbankrate(sell_currency,buy_currency,ratetype)
SellRate, BuyRate = gethistorybankrate(sell_currency, buy_currency,
ratetype,
Time) ##获取银行历史拆借利率
#sell_amount = float64(lst['sell_amount'])
#buy_amount = float64(lst['buy_amount'])
##获取厘定日的汇率，如果还未到厘定日，那么汇率返回None
Setdate = dateTostr(lst['determined_date']) ##厘定日
if Setdate is None:
Setdate = dateTostr(lst['delivery_date'])
if Time < Setdate:
SetRate = None
else:
SetRate = RateExchange(currency_pair).getdayMax(
Setdate) ##厘定日汇率
#SetRate = RateExchange(currency_pair).getdayMax(Setdate)##厘定日汇率
if SetRate == []:
SetRate = None ## 还未到厘定日
## 执行汇率上下限
strikeLowerRate = float64(lst['exe_doexrate'])
strikeUpperRate = float64(lst['exe_upexrate'])
currentRate = currency_dict.get(currency_pair)
if currentRate is None:
print "{ } not Fund!\n".format(currency_pair)
continue
deliverydate = dateTostr(lst['delivery_date'])
#print 'CollaOptions',lst['id'],currency_pair,dateTostr(lst['trade_date']),deliverydate,
temp = self.cumputeLost(Setdate, SetRate, deliverydate,
strikeLowerRate, strikeUpperRate,
currentRate, SellRate, BuyRate, self.delta)
#if forwarddict[lst['id']] is not None:
## 计算本金损益
#forwarddict[lst['id']] = chooselocalmoney(lst,forwarddict[lst['id']])
"""
'date','com_code','der_id','cap_currency','cap_amount','gal','exrate','data_date':
日期，公司代码，衍生品编号，本金币种，本金金额，汇兑损益，当天的本金/人民币汇率，数据生成日期
"""
if temp is not None:
forwarddict['gal'], forwarddict['cap_amount'], forwarddict[
'cap_currency'] = chooselocalmoney(lst, temp)
forwarddict['date'] = Time
forwarddict['com_code'] = lst['consign_entity']
forwarddict['der_id'] = lst['trade_type'] + '_' + str(lst['id'])
currencypair = forwarddict['cap_currency'] + 'CNY'
forwarddict['exrate'] = gethistoryrate(
[currencypair],
Time)[currencypair] if currencypair != 'CNYCNY' else 1.0
forwarddict['data_date'] = getNow('%Y-%m-%d %H:%M:%S')
logs('compute',
'CollaOptions',
'getDataFromMongo',
forwarddict,
infoFalg=True)
self.forwarddict.append(forwarddict)
#self.forwarddict = forwarddict
self.updateData()
def getDataFromMongo(self):
"""
from mongo get the currency_pairs and bank_rate
"""
## currency_pairs
currency_pairs = list(set(map(lambda x: x['currency_pair'],
self.data)))
Time = self.Now.split()[0]
#currency_dict = getcurrentrate(currency_pairs)
currency_dict = gethistoryrate(currency_pairs, Time)
##--------------------获取汇率对的历史汇率
##bank_rate
self.forwarddict = []
for lst in self.data:
forwarddict = {}
sell_currency = lst['currency_pair'][:3]
buy_currency = lst['currency_pair'][3:]
currency_pair = lst['currency_pair']
#ratetype = getRate((lst['delivery_date'] -lst['trade_date']).days)
ratetype = '12月'
#SellRate,BuyRate = getcurrentbankrate(sell_currency,buy_currency,ratetype)
SellRate, BuyRate = gethistorybankrate(sell_currency, buy_currency,
ratetype,
Time) ##获取银行历史拆借利率
#sell_amount = float64(lst['sell_amount'])
#buy_amount = float64(lst['buy_amount'])
Setdate = dateTostr(lst['determined_date'])
if Time < Setdate:
SetRate = None
else:
SetRate = RateExchange(currency_pair).getdayMax(
Setdate) ##厘定日汇率
#SetRate = RateExchange(currency_pair).getdayMax(Setdate)##厘定日汇率
kncockRate = float64(lst['knockout_exrate']) ##敲出汇率
LockedRate = float(lst['rate'])
currentRate = currency_dict[currency_pair]
deliverydate = dateTostr(lst['delivery_date'])
#print 'knockoptions',lst['id'],currency_pair,dateTostr(lst['trade_date']),deliverydate,
type = lst['type']
temp = self.cumputeLost(Setdate, SetRate, deliverydate,
currentRate, LockedRate, kncockRate,
SellRate, BuyRate, self.delta, type)
#print temp
#print '\n'
## 计算本金损益
#if forwarddict[lst['id']] is not None:
#forwarddict[lst['id']] = chooselocalmoney(lst,forwarddict[lst['id']])
"""
'date','com_code','der_id','cap_currency','cap_amount','gal','exrate','data_date':
日期，公司代码，衍生品编号，本金币种，本金金额，汇兑损益，当天的本金/人民币汇率，数据生成日期
"""
if temp is not None:
forwarddict['gal'], forwarddict['cap_amount'], forwarddict[
'cap_currency'] = chooselocalmoney(lst, temp)
forwarddict['date'] = Time
forwarddict['com_code'] = lst['consign_entity']
forwarddict['der_id'] = lst['trade_type'] + '_' + str(lst['id'])
currencypair = forwarddict['cap_currency'] + 'CNY'
forwarddict['exrate'] = gethistoryrate(
[currencypair],
Time)[currencypair] if currencypair != 'CNYCNY' else 1.0
forwarddict['data_date'] = getNow('%Y-%m-%d %H:%M:%S')
logs('compute',
'knockoptions',
'getDataFromMongo',
forwarddict,
infoFalg=True)
self.forwarddict.append(forwarddict)
#self.forwarddict = forwarddict
self.updateData()
def getDataFromMongo(self):
"""
from mongo get the currency_pairs and bank_rate
#卖出币种如果是人民币(CNY/CNH)，那么买入币种是本金，否则就是卖出币种
"""
## currency_pairs
##--------------------获取汇率对的实时汇率
currency_pairs = list(set(map(lambda x: x['currency_pair'],
self.data)))
Time = self.Now.split()[0]
#currency_dict = getcurrentrate(currency_pairs)
currency_dict = gethistoryrate(currency_pairs, Time)
##--------------------获取汇率对的历史汇率
self.forwarddict = []
for lst in self.data:
##
forwarddict = {}
sell_currency = lst['currency_pair'][:3]
buy_currency = lst['currency_pair'][3:]
currency_pair = lst['currency_pair']
#ratetype = getRate((lst['delivery_date'] -lst['trade_date']).days)
ratetype = '12月'
#SellRate,BuyRate = getcurrentbankrate(sell_currency,buy_currency,ratetype)##获取银行拆借利率
SellRate, BuyRate = gethistorybankrate(sell_currency, buy_currency,
ratetype,
Time) ##获取银行历史拆借利率
LockedRate = float(lst['rate']) ##锁定汇率
currentRate = currency_dict.get(currency_pair) ##即期实时汇率
if currentRate is None:
print "{} not fund!\n".format(currency_pair)
continue
deliverydate = dateTostr(lst['delivery_date']) ##交割日期
#print 'forwards',lst['id'],currency_pair,dateTostr(lst['trade_date']),deliverydate,
temp = self.cumputeLost(SellRate, BuyRate, deliverydate,
LockedRate, currentRate)
#print temp
## 计算本金损益
#if forwarddict[lst['id']] is not None:
#forwarddict[lst['id']] = chooselocalmoney(lst,forwarddict[lst['id']])
"""
'date','com_code','der_id','cap_currency','cap_amount','gal','exrate','data_date':
日期，公司代码，衍生品编号，本金币种，本金金额，汇兑损益，当天的本金/人民币汇率，数据生成日期
"""
if temp is not None:
forwarddict['gal'], forwarddict['cap_amount'], forwarddict[
'cap_currency'] = chooselocalmoney(lst, temp)
forwarddict['date'] = Time
forwarddict['com_code'] = lst['consign_entity']
forwarddict['der_id'] = lst['trade_type'] + '_' + str(lst['id'])
currencypair = forwarddict['cap_currency'] + 'CNY'
forwarddict['exrate'] = gethistoryrate(
[currencypair],
Time)[currencypair] if currencypair != 'CNYCNY' else 1.0
forwarddict['data_date'] = getNow('%Y-%m-%d %H:%M:%S')
logs('compute',
'forwards',
'getDataFromMongo',
forwarddict,
infoFalg=True)
#forwarddict[lst['consign_entity']]
self.forwarddict.append(forwarddict)
#self.forwarddict = forwarddict
self.updateData()
def getDataFromMongo(self):
"""
from mongo get the currency_pairs and bank_rate
"""
## currency_pairs
currency_pairs = list(set(map(lambda x:x['currency_pair'],self.data)))
Time = self.Now.split()[0]
#currency_dict = getcurrentrate(currency_pairs)
currency_dict = gethistoryrate(currency_pairs,Time)
##bank_rate
self.forwarddict = []
for lst in self.data:
forwarddict= {}
##交易本币与外币
##支付固定利率
#print '计算订单{}\n'.format(lst)
payFixRate = None if lst['pay_fix_rate'] is None else float64(lst['pay_fix_rate']) ##支付固定利率
chargeFixRate = None if lst['charge_fix_rate'] is None else float64(lst['charge_fix_rate'])##收取浮动利息固定部分
value_date = dateTostr(lst['value_date'])
delivery_date = dateTostr(lst['delivery_date'])
trade_date = dateTostr(lst['trade_date'])
#print lst['id']
if lst['interest_pay_way'] == '3':
##到期一次性支付
br = BankRate(lst['buy_currency'],interestway(lst['interest_pay_way'],lst['charge_float_libor']))
if delivery_date> Time:
date = {dateTostr(lst['delivery_date']):br.getday(Time)}
else:
date = {dateTostr(lst['delivery_date']):br.getday(delivery_date)}
elif lst['interest_pay_way']== '0' or lst['trade_type']=='4':
##提前支付
br = BankRate(lst['buy_currency'],interestway(lst['interest_pay_way'],lst['charge_float_libor']))
if (lst['trade_date'] - lst['value_date']).days>180:
date = {dateTostr(lst['delivery_date']):br.getday(trade_date)}## value_date trade_date
else:
date = {dateTostr(lst['delivery_date']):br.getday(value_date)}## value_date trade_date
else:
#print lst
if (lst['trade_date'] - lst['value_date']).days>180:
date = getbankrateoneday(lst['buy_currency'],trade_date,delivery_date,lst['interest_pay_way'],lst['charge_float_libor'],Time)
else:
date = getbankrateoneday(lst['buy_currency'],value_date,delivery_date,lst['interest_pay_way'],lst['charge_float_libor'],Time)
#payFixRateDict = {}
if chargeFixRate is None:
chargeFixRate=0.0
for t in date:
date[t] = date[t]/100.0+chargeFixRate##货币浮动利率及支付利息时间
Fix = array(sorted(date.items(),key=lambda x:x[0]))
FixDate = Fix[:,0]
FixRate = Fix[:,1][:]
FixRate = FixRate.astype(float64)
Rate = (FixDate,payFixRate,FixRate)##利息支付日期，支付卖出货币利息，收取浮动利率利息
currency_pair = lst['currency_pair']
##货币对之间本币与外币
sellCurrency = currency_pair[:3]
buyCurrency = currency_pair[3:]
ratetype ='12月'
#SellRate,BuyRate = getcurrentbankrate(sellCurrency,buyCurrency,ratetype)
SellRate,BuyRate = gethistorybankrate(sellCurrency,buyCurrency,ratetype,Time)##获取银行历史拆借利率
LockedRate = float64(lst['exe_exrate'])##执行汇率
capped_exrate = None if lst['capped_exrate'] is None else float64(lst['capped_exrate']) ##封顶汇率
##获取厘定日汇率
##获取厘定日的汇率，如果还未到厘定日，那么汇率返回None
Setdate = dateTostr(lst['determined_date'])##厘定日
if Time<Setdate:
SetRate = None
else:
SetRate = RateExchange(currency_pair).getdayMax(Setdate)##厘定日汇率
#SetRate = RateExchange(currency_pair).getdayMax(Setdate)##厘定日汇率
if SetRate ==[]:
SetRate = None## 还未到厘定日
currentRate = currency_dict.get(currency_pair) ## 实时汇率
if currentRate is None:
print "{} not fund!".format(currency_pair)
continue
#deliverydate = dateTostr(lst['delivery_date'])## 交割日期
trade_type = lst['trade_type']##交易类型
rateway = lst['interest_pay_way']##利息支付方式
#sell_amount = float64(lst['sell_amount'])
#buy_amount = float64(lst['buy_amount'])
#2,3,4分别表示:区间式货币掉期(利率进行互换+固定补贴)、货币掉期（利率互换）、封顶式期权(固定补贴)
#print 'SwapOptions', lst['id'],currency_pair,rateway,'区间式货币掉期' if trade_type=='2' else ('货币掉期' if trade_type=='3' else '封顶式期权'),value_date,delivery_date,
temp = self.cumputeLost(Setdate,SetRate,value_date,delivery_date,currentRate,SellRate,BuyRate,LockedRate,rateway,self.delta,capped_exrate,trade_type,Rate)
#if sell_currency+buy_currency !=currency_pair:
# forwarddict[lst['id']] = forwarddict[lst['id']]/currentRate
#if forwarddict[lst['id']] is not None:
#forwarddict[lst['id']] = chooselocalmoney(lst,forwarddict[lst['id']])
"""
'date','com_code','der_id','cap_currency','cap_amount','gal','exrate','data_date':
日期，公司代码，衍生品编号，本金币种，本金金额，汇兑损益，当天的本金/人民币汇率，数据生成日期
"""
if temp is not None:
forwarddict['gal'],forwarddict['cap_amount'],forwarddict['cap_currency'] = chooselocalmoney(lst,temp)
forwarddict['date'] = Time
forwarddict['com_code'] = lst['consign_entity']
forwarddict['der_id'] = lst['trade_type']+'_'+str(lst['id'])
currencypair = forwarddict['cap_currency']+'CNY'
forwarddict['exrate'] = gethistoryrate([currencypair],Time)[currencypair] if currencypair!='CNYCNY' else 1.0
forwarddict['data_date'] = getNow('%Y-%m-%d %H:%M:%S')
logs('compute','swaoption','getDataFromMongo',forwarddict,infoFalg=True)
#if lst['id']==1170:
#print Setdate,SetRate,value_date,delivery_date,currentRate,SellRate,BuyRate,LockedRate,rateway,self.delta,capped_exrate,trade_type,Rate,forwarddict['gal']
self.forwarddict.append(forwarddict)
#print forwarddict
#self.forwarddict = forwarddict
self.updateData()