def setupQL(self, pricingDate, marketId=''):
QuantLib.Settings.instance().evaluationDate = pricingDate.ql()
# Get market data curve based on Ccy/Index
self.pricingDate = pricingDate
curve = InterestRateCurve()
curve.pricingDate = pricingDate
curve.ccy = self.tCBond.ccy
#TODO Fix term to make it TimePeriod
curve.index = Enum.Index('LIBOR')
curve.term = 'M'
curve.numTerms = 3
curve.marketId = marketId
# print 'marketDataContainer in setupQL'
# print self.marketDataContainer
if self.marketDataContainer == None:
raise ErrorHandling.MarketDataMissing('marketDataContainer is None')
newCurve = self.marketDataContainer.find(curve)
#print 'newCurve in setupQL'
#print newCurve
if newCurve == None:
raise ErrorHandling.MarketDataMissing('Cannot find market data %s' % curve)
#load OAS and adjust discount curve
bondOAS = self.marketDataContainer.find(BondOAS(marketId=marketId,pricingDate=pricingDate,
tCBond=self.tCBond))
newCurve.shift(shiftAmount=bondOAS.mid)
# Map curve to QuantLib deposit rates
depositCurve = newCurve.buildZeroCurve()
#print 'deposit curve in setupQL'
#print depositCurve.nodes()
#Pricing Engine
discountTermStructure = QuantLib.RelinkableYieldTermStructureHandle()
discountTermStructure.linkTo(depositCurve)
fixedSchedule = QuantLib.Schedule(pricingDate.ql(),
Date.createQLDateFromPythonDate(self.tCBond.endDate),
QuantLib.Period(1,QuantLib.Years),
self.tCBond.paymentCalendar.ql(),
self.tCBond.paymentRollRule.ql(),
self.tCBond.paymentRollRule.ql(),
QuantLib.DateGeneration.Forward,
False)
coupons = []
coupons.append(float(self.tCBond.coupon))
#print self.tCBond.coupon
#print self.tCBond.coupon.__class__
# coupons.append(0.04)
self.qlBond = QuantLib.FixedRateBond(2,
100,
fixedSchedule,
coupons,
self.tCBond.basis.ql(),
self.tCBond.paymentRollRule.ql(),
100,
pricingDate.ql())
bondEngine = \
QuantLib.DiscountingBondEngine(discountTermStructure)
self.qlBond.setPricingEngine(bondEngine)
self.upToDate = True
def _setupQL(self, pricingDate, marketId=''):
QuantLib.Settings.instance().evaluationDate = pricingDate.ql()
# print 'in setupql'
self._pricingDate = pricingDate
# Get market data curve based on Ccy/Index
curve = InterestRateCurve()
curve.pricingDate = pricingDate
curve.ccy = self._tcSwap.ccy
curve.index = Index('LIBOR')
curve.term = 'M'
curve.numTerms = self._tcSwap.floatingIndexNumTerms
curve.marketId = marketId
if self.marketDataContainer == None:
raise ErrorHandling.MarketDataMissing('marketDataContainer is None')
newCurve = self.marketDataContainer.find(curve)
if newCurve == None:
raise ErrorHandling.MarketDataMissing('Cannot find market data %s' % curve)
depositCurve = newCurve.buildZeroCurve()
discountTermStructure = QuantLib.RelinkableYieldTermStructureHandle()
discountTermStructure.linkTo(depositCurve)
swapEngine = QuantLib.DiscountingSwapEngine(discountTermStructure)
#TODO fix the discounting curve to make if projected fwd curve
index = QuantLib.Euribor6M(discountTermStructure)
#fixingDate = Date.Date(month=9,day=10,year=2012)
#index.addFixing(fixingDate.ql(),0.02)
#tcSwap dates are python dates
fixedSchedule = QuantLib.Schedule(Date.createQLDateFromPythonDate(self._tcSwap.startDate),
Date.createQLDateFromPythonDate(self._tcSwap.endDate),
#fixedLegTenor is QuantLib.Period(n,unit)
#Period is an integer (n) and TimePeriod (unit)
#TODO fix payment freq
QuantLib.Period(6,QuantLib.Months),
self._tcSwap.fixedPaymentCalendar.ql(),
self._tcSwap.fixedPaymentRollRule.ql(),
self._tcSwap.fixedPaymentRollRule.ql(),
QuantLib.DateGeneration.Forward,
False)
floatingSchedule = QuantLib.Schedule(Date.createQLDateFromPythonDate(self._tcSwap.startDate),
Date.createQLDateFromPythonDate(self._tcSwap.endDate),
#fixedLegTenor is QuantLib.Period(n,unit)
#Period is an integer (n) and TimePeriod (unit)
#TODO fix payment freq
QuantLib.Period(3,QuantLib.Months),
self._tcSwap.floatingPaymentCalendar.ql(),
self._tcSwap.floatingPaymentRollRule.ql(),
self._tcSwap.floatingPaymentRollRule.ql(),
QuantLib.DateGeneration.Forward,
False)
#TODO: FIx to decide if it's payer or receiver fixed
self._qlSwap = QuantLib.VanillaSwap(QuantLib.VanillaSwap.Payer,
self.amount,
fixedSchedule,
self._tcSwap.fixedCoupon,
self._tcSwap.fixedBasis.ql(),
floatingSchedule,
#TODO fix index
index,
self._tcSwap.floatingSpread,
self._tcSwap.floatingBasis.ql())
self._qlSwap.setPricingEngine(swapEngine)
self.upToDate = True
