def add_swap_initial_stub(task, initial_stub_date, indexes=None):
"""
:param initial_stub: datetime.datetime
list indexes: ['EURLIBOR3M'] or ['EURLIBOR3M' , 'EURLIBOR6M']
"""
assert 'vanillaSwap' in task, 'your task is not a swap task'
start_date = task['vanillaSwap']['payerLeg']['schedule']['startDates'][0]
task['vanillaSwap']['receiverLeg']['schedule']['fixingDates'] = [
generate_date(initial_stub_date)
] + task['vanillaSwap']['receiverLeg']['schedule']['fixingDates']
for leg in ['payerLeg', 'receiverLeg']:
task['vanillaSwap'][leg]['schedule']['startDates'] = [
generate_date(initial_stub_date)
] + task['vanillaSwap'][leg]['schedule']['startDates']
for d in ['endDates', 'paymentDates']:
task['vanillaSwap'][leg]['schedule'][d] = [
start_date
] + task['vanillaSwap'][leg]['schedule'][d]
if indexes: task['vanillaSwap']['receiverLeg']['initialStub'] = indexes
def get_libor_flow_task(ccy,
dsc_curve,
asof,
tenor,
fixingDate,
paymentDate,
libor_curve=None):
"""
:str ccy: 'EUR'
:curve dsc_curve: dict (check mkt data example)
:datetime asof: datetime(2018, 5, 12)
:int tenor: 6
:datetime fixingDate: datetime(2018, 5, 12)
:datetime paymentDate: datetime(2018, 5, 12)
:None, float or dict libor_curve:
if None: flat curve 0.01 * tenor
if float: flat curve float_value
if dict: user defined libor curve
"""
task = _get_task_form(ccy, dsc_curve, asof)
add_libor_curve(task, ccy, tenor, curve=libor_curve)
task['liborFlow'] = {
"liborIndex": f"{ccy}LIBOR{tenor}M",
"fixingDate": generate_date(fixingDate),
"paymentDate": generate_date(paymentDate)
}
return task
def add_swap_historical_fixing(task, ccy, tenor, date, value=None):
if value is None: value = 0.1*tenor
try: # if any of fixings exists
task['vanillaSwap']['historicalData']['rateFixings'][f'{ccy}LIBOR{tenor}M'] = {
"dates": [generate_date(date)],
"fixings": [value]
}
except KeyError: # no fixings yet
task['vanillaSwap']['historicalData'] = {
'rateFixings': {f'{ccy}LIBOR{tenor}M':{
"dates": [generate_date(date)],
"fixings": [value]}}
}
def add_swap_initial_stub(task, initial_stub_date, indexes=None):
"""
:param initial_stub: datetime.datetime
"""
start_date = task['vanillaSwap']['payerLeg']['schedule']['startDates'][0]
task['vanillaSwap']['receiverLeg']['schedule']['fixingDates'] = [generate_date(initial_stub_date)] + task['vanillaSwap']['receiverLeg']['schedule']['fixingDates']
for leg in ['payerLeg', 'receiverLeg']:
task['vanillaSwap'][leg]['schedule']['startDates'] = [generate_date(initial_stub_date)] + task['vanillaSwap'][leg]['schedule']['startDates']
for d in ['endDates', 'paymentDates']:
task['vanillaSwap'][leg]['schedule'][d] = [start_date] + task['vanillaSwap'][leg]['schedule'][d]
if indexes: task['vanillaSwap']['receiverLeg']['initialStub'] = indexes
def get_curve_task(ccy, curve, asof):
return {
"marketData": get_curve_mkt_data(ccy, curve),
"settings": {
"pricingDate": generate_date(asof),
"hardware": "CPU",
"numericalMethod": "INTRINSIC",
"modelPrecision": "SECOND_ORDER"
},
"requests": ['NPV']}
def get_libor_flow_task(ccy, dsc_curve, asof, tenor, fixingDate, paymentDate, libor_curve=None):
"""
:param ccy:
:param dsc_curve:
:param asof:
:param tenor:
:param fixingDate:
:param paymentDate:
:None, float or dict libor_curve:
if None: flat curve 0.01 * tenor
if float: flat curve float_value
if dict: user defined libor curve
"""
task = get_curve_task( ccy, dsc_curve, asof)
add_libor_curve(task, ccy, tenor, curve=libor_curve)
task['liborFlow'] = {
"liborIndex": f"{ccy}LIBOR{tenor}M",
"fixingDate": generate_date(fixingDate),
"paymentDate": generate_date(paymentDate)}
return task
def get_bond_task(ccy, curve, asof, pmnt_date):
"""
:str ccy: 'EUR'
:dict curve : example -> please execute '??service' command for curve example
:datetime asof: datetime(2018, 5, 12)
:datetime pmnt_date: datetime(2019, 5, 12)
"""
task = _get_task_form(ccy, curve, asof)
task['fixedFlow'] = {
"currency": ccy,
"paymentDate": generate_date(pmnt_date)
}
return task
def get_bond_task(ccy, curve, asof, pmnt_date):
task = get_curve_task(ccy, curve, asof)
task['fixedFlow'] = {"currency": ccy, "paymentDate": generate_date(pmnt_date)}
return task