def loadAndSaveMarketData(self, pricingDate, marketId):
''' assumes that 'EOD' marketId exists '''
eodCurve = InterestRateCurve()
eodCurve.ccy = self.tCBond.ccy
eodCurve.index = Enum.Index('LIBOR')
eodCurve.term = 'M'
eodCurve.numTerms = 3
eodCurve.pricingDate = pricingDate
eodCurve.marketId = 'EOD'
eodCurve.load()
irCurve = InterestRateCurve()
irCurve.ccy = self.tCBond.ccy
irCurve.index = Enum.Index('LIBOR')
irCurve.term = 'M'
irCurve.numTerms = 3
irCurve.pricingDate = pricingDate
irCurve.marketId = marketId
eodRates = eodCurve.getRates()
for rate in eodRates:
irCurve.addRate(rate)
irCurve.save()
eodBondOAS = BondOAS.objects.get(tCBond=self.tCBond, pricingDate=pricingDate,
marketId='EOD')
bondOAS = BondOAS(tCBond=self.tCBond, pricingDate=pricingDate,
marketId=marketId,mid=eodBondOAS.mid)
bondOAS.save()
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 loadInterestRateFromCSVFile(self, fileName):
'''
Downloads prices from fileName. fileName needs to include full path
'''
file = open(fileName,'r')
lastDate = Date.Date(month=1,day=1,year=1972)
for line in file:
items = line.split(',')
#skip first line which is headers
if items[0] == 'date':
continue
#create new curve if date has changed
curveDate = self.createDateFromString(items[0])
if curveDate <> lastDate:
newCurve = InterestRateCurve()
newCurve.pricingDate = curveDate
newCurve.ccy = items[1]
newCurve.index = items[2]
newCurve.marketId = items[3]
newCurve.term = items[4]
newCurve.numTerms = int(items[5])
newCurve.save()
newCurve.load()
#Delete all rates in case the curve already existed
rates = InterestRate.objects.filter(curve=newCurve)
if rates:
rates.delete()
curve = InterestRateCurve()
curve.pricingDate = curveDate
curve.ccy = items[1]
curve.index = items[2]
curve.marketId = items[3]
curve.term = items[4]
curve.numTerms = int(items[5])
curve.load()
rate = InterestRate()
rate.curve = curve
rate.type = items[6]
rate.term = items[7]
rate.numTerms = int(items[8])
rate.mid = float(items[9])
rate.save()
lastDate = curveDate
def marketData(self, pricingDate, marketId=''):
irCurve = InterestRateCurve()
irCurve.ccy = self._tcSwap.ccy
irCurve.index = Index('LIBOR')
irCurve.term = 'M'
irCurve.numTerms = 3
irCurve.pricingDate = pricingDate
irCurve.marketId = marketId
irCurve.load()
l = []
l.append(irCurve)
return l
def loadDummyIRCurve(self, pricingDate):
curve = InterestRateCurve()
curve.ccy = 'USD'
curve.index = Enum.Index('LIBOR')
curve.term = 'M'
curve.numTerms = 3
curve.pricingDate = pricingDate
curve.marketId = 'TEST1'
r1 = InterestRate()
r1.type = 'Deposit'
r1.term = 'M'
r1.numTerms = 1
r1.mid = 0.01
r1.curve = curve
r2 = InterestRate()
r2.type = 'Deposit'
r2.term = 'M'
r2.numTerms = 3
r2.mid = 0.01
r2.curve = curve
r3 = InterestRate()
r3.type = 'Swap'
r3.term = 'Y'
r3.numTerms = 1
r3.mid = 0.01
r3.curve = curve
r4 = InterestRate()
r4.type = 'Swap'
r4.term = 'Y'
r4.numTerms = 5
r4.mid = 0.01
r4.curve = curve
r5 = InterestRate()
r5.type = 'Swap'
r5.term = 'Y'
r5.numTerms = 10
r5.mid = 0.01
r5.curve = curve
r6 = InterestRate()
r6.type = 'Swap'
r6.term = 'Y'
r6.numTerms = 30
r6.mid = 0.01
r6.curve = curve
curve.addRate(r1)
curve.addRate(r2)
curve.addRate(r3)
curve.addRate(r4)
curve.addRate(r5)
curve.addRate(r6)
curve.save()
def loadAndSaveMarketData(self, pricingDate, marketId):
''' assumes that 'EOD' marketId exists
algorithm is to load the EOD curve and save it with marketId
'''
eodCurve = InterestRateCurve()
eodCurve.ccy = self._tcSwap.ccy
eodCurve.index = Index('LIBOR')
eodCurve.term = 'M'
eodCurve.numTerms = 3
eodCurve.pricingDate = pricingDate
eodCurve.marketId = 'EOD'
eodCurve.load()
irCurve = InterestRateCurve()
irCurve.ccy = self._tcSwap.ccy
irCurve.index = Index('LIBOR')
irCurve.term = 'M'
irCurve.numTerms = 3
irCurve.pricingDate = pricingDate
irCurve.marketId = marketId
eodRates = eodCurve.getRates()
for rate in eodRates:
irCurve.addRate(rate)
irCurve.save()
def testLoadAndSaveMarketData_TODO(self):
#curve should never exist
self.pos.loadAndSaveMarketData(pricingDate=Date.Date(1,1,2009),
marketId=self.marketId)
#now, curve should exist
irCurve = InterestRateCurve()
irCurve.ccy = Enum.Currency('USD')
irCurve.index = Enum.Index('LIBOR')
irCurve.term = 'M'
irCurve.numTerms = 3
irCurve.pricingDate = Date.Date(1,1,2009)
irCurve.marketId = self.marketId
irCurve.load()
#now, delete again so that next test will work
irCurve.delete()
def marketData(self, pricingDate, marketId=''):
irCurve = InterestRateCurve()
irCurve.ccy = self.tCBond.ccy
irCurve.index = Enum.Index('LIBOR')
irCurve.term = 'M'
irCurve.numTerms = 3
irCurve.pricingDate = pricingDate
irCurve.marketId = marketId
irCurve.load()
l = []
l.append(irCurve)
##print pricingDate
bondOAS = BondOAS.objects.get(tCBond=self.tCBond, pricingDate=pricingDate,
marketId=marketId)
l.append(bondOAS)
return l
def testSingleIRCurveScenario(self):
irA = InterestRateCurve()
irA.ccy = "USD"
irA.index = "LIBOR"
irA.term = 'M'
irA.numTerms = 3
irA.marketId = 'TEST1'
irA.pricingDate = Date.Date(month=9, day=12, year=2011)
irA.load()
scenarioBase = MarketDataScenario.MarketDataScenario()
scenarioBase.name = 'Base'
scenarioBase.marketData = irA
#print scenarioBase
scenarioUp = MarketDataScenario.MarketDataScenario()
scenarioUp.name = 'Up'
irB = copy.copy(irA)
for item in irB.rates:
item.mid = item.mid * 1.01
scenarioUp.marketData = irB
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
def dataForSuccessfulTest(self):
'''
This saves all data so that system tests run successfully
Pricing date is 9/12/2011 with market data id TEST1
'''
testDatePython = date(month=9,day=12,year=2011)
testDate = Date(month=9,day=12,year=2011)
testFirstDate = Date(month=8,day=30,year=2011)
if not Location.objects.filter(name='Test1').exists():
location = Location()
location.name = 'Test1'
location.pricingDate = date(month=9,day=12,year=2011)
location.save()
location = Location.objects.get(name='Test1')
if not User.objects.filter(username='******').exists():
user = User.objects.create_user(username='******',email='*****@*****.**',\
password='******')
user.is_staff = True
user.is_superuser = True
user.save()
if not User.objects.filter(username='******').exists():
User.objects.create_user(username='******',email='*****@*****.**',\
password='******')
if not User.objects.filter(username='******').exists():
User.objects.create_user(username='******',email='*****@*****.**',\
password='******')
if not User.objects.filter(username='******').exists():
User.objects.create_user(username='******',email='*****@*****.**',\
password='******')
user1 = User.objects.get(username='******')
if not UserProfile.objects.filter(user=user1).exists():
up1 = UserProfile()
up1.user = user1
up1.location = location
up1.marketId = 'EOD'
up1.save()
user2 = User.objects.get(username='******')
if not UserProfile.objects.filter(user=user2).exists():
up2 = UserProfile()
up2.user = user2
up2.location = location
up2.marketId = 'EOD'
up2.save()
user3 = User.objects.get(username='******')
if not UserProfile.objects.filter(user=user3).exists():
up3 = UserProfile()
up3.user = user3
up3.location = location
up3.marketId = 'TEST1'
up3.save()
user4 = User.objects.get(username='******')
if not UserProfile.objects.filter(user=user4).exists():
up4 = UserProfile()
up4.user = user4
up4.location = location
up4.marketId = 'DEMO'
up4.save()
if not TCBond.objects.filter(name='TEST1').exists():
bond = TCBond()
bond.name = 'TEST1'
bond.ccy = 'USD'
cusip = Enum.BondIdentifierType('CUSIP')
if not Identifier.objects.filter(name='123456789', type=cusip):
identifier = Identifier()
identifier.name='123456789'
identifier.type=cusip
identifier.save()
identifier = Identifier.objects.get(name='123456789', type=cusip)
bond.identifiers = identifier
bond.startDate = Date(month=9,day=12,year=2010).toPythonDate()
bond.endDate = Date(month=9,day=12,year=2020).toPythonDate()
bond.coupon = 0.01
bond.basis = '30360'
bond.paymentFrequency = Enum.Frequency('S')
bond.paymentRollRule = Enum.Roll('MF')
bond.paymentCalendar = Calendar.createCalendar('US')
bond.assetType = Enum.AssetType('NYMUNIBOND')
bond.save()
if not Equity.objects.filter(ticker='TEST1').exists():
equity = Equity()
equity.ticker = 'TEST1'
equity.assetType = Enum.AssetType('EQUITYUS')
equity.save()
equity = Equity.objects.get(ticker='TEST1')
stockPrice = StockPrice()
stockPrice.equity = equity
stockPrice.pricingDate = testDate
stockPrice.marketId = 'TEST1'
stockPrice.mid = 123.45
stockPrice.save()
equity = Equity.objects.get(ticker='TEST1')
stockPrice = StockPrice()
stockPrice.equity = equity
stockPrice.pricingDate = testFirstDate
stockPrice.marketId = 'TEST1'
stockPrice.mid = 123.44
stockPrice.save()
if not Equity.objects.filter(ticker='TEST2').exists():
equity = Equity()
equity.ticker = 'TEST2'
equity.assetType = Enum.AssetType('EQUITYUS')
equity.save()
equity = Equity.objects.get(ticker='TEST2')
stockPrice = StockPrice()
stockPrice.equity = equity
stockPrice.pricingDate = testDate
stockPrice.marketId = 'TEST1'
stockPrice.mid = 543.21
stockPrice.save()
equity = Equity.objects.get(ticker='TEST2')
stockPrice = StockPrice()
stockPrice.equity = equity
stockPrice.pricingDate = testFirstDate
stockPrice.marketId = 'TEST1'
stockPrice.mid = 543.11
stockPrice.save()
if not Portfolio.objects.filter(name='TEST1', user='******').exists():
portfolio =Portfolio()
portfolio.name = 'TEST1'
portfolio.user = '******'
portfolio.save()
portfolio =Portfolio.objects.get(name='TEST1', user='******')
if not ModelPosition.objects.filter(asOf=testDate, portfolio=portfolio,
positionType = Enum.PositionType('EQUITY'),
ticker = 'TEST1', amount = 100.0).exists():
position = ModelPosition()
position.asOf=testDate
position.portfolio = portfolio
position.positionType = Enum.PositionType('EQUITY')
position.ticker = 'TEST1'
position.amount = 100.0
position.save()
if not ModelPosition.objects.filter(asOf=testDate, portfolio=portfolio,
positionType = Enum.PositionType('EQUITY'),
ticker = 'TEST2', amount = 100.0).exists():
position = ModelPosition()
position.asOf=testDate
position.portfolio = portfolio
position.positionType = Enum.PositionType('EQUITY')
position.ticker = 'TEST2'
position.amount = 100.0
position.save()
if not ModelPosition.objects.filter(asOf=testDate, portfolio=portfolio,
positionType = Enum.PositionType('BOND'),
ticker = 'TEST1', amount = 100.0).exists():
position = ModelPosition()
position.asOf=testDate
position.portfolio = portfolio
position.positionType = Enum.PositionType('BOND')
position.ticker = 'TEST1'
position.amount = 100.0
position.save()
if not ModelPosition.objects.filter(asOf=testFirstDate, portfolio=portfolio,
positionType = Enum.PositionType('EQUITY'),
ticker = 'TEST1', amount = 100.0).exists():
position = ModelPosition()
position.asOf=testFirstDate
position.portfolio = portfolio
position.positionType = Enum.PositionType('EQUITY')
position.ticker = 'TEST1'
position.amount = 100.0
position.save()
if not ModelPosition.objects.filter(asOf=testFirstDate, portfolio=portfolio,
positionType = Enum.PositionType('EQUITY'),
ticker = 'TEST2', amount = 100.0).exists():
position = ModelPosition()
position.asOf=testFirstDate
position.portfolio = portfolio
position.positionType = Enum.PositionType('EQUITY')
position.ticker = 'TEST2'
position.amount = 100.0
position.save()
if not ModelPosition.objects.filter(asOf=testFirstDate, portfolio=portfolio,
positionType = Enum.PositionType('BOND'),
ticker = 'TEST1', amount = 100.0).exists():
position = ModelPosition()
position.asOf=testFirstDate
position.portfolio = portfolio
position.positionType = Enum.PositionType('BOND')
position.ticker = 'TEST1'
position.amount = 100.0
position.save()
if not ModelPosition.objects.filter(asOf=testFirstDate, portfolio=portfolio,
positionType = Enum.PositionType('CASH'),
ticker = 'Cash', amount = 1000.0).exists():
position = ModelPosition()
position.asOf=testFirstDate
position.portfolio = portfolio
position.positionType = Enum.PositionType('CASH')
position.ticker = 'Cash'
position.amount = 1000.0
position.save()
curve = InterestRateCurve()
curve.ccy = 'USD'
curve.index = Enum.Index('LIBOR')
curve.term = Enum.TimePeriod('M')
curve.numTerms = 3
curve.pricingDate =testDate
curve.marketId = 'TEST1'
curve.addRate(InterestRate(type='Deposit', term=Enum.TimePeriod('M'),
numTerms=1,mid=0.01,curve=curve))
curve.addRate(InterestRate(type='Deposit', term=Enum.TimePeriod('M'),
numTerms=3,mid=0.01,curve=curve))
curve.addRate(InterestRate(type='Swap', term=Enum.TimePeriod('Y'),
numTerms=1,mid=0.01,curve=curve))
curve.addRate(InterestRate(type='Swap', term=Enum.TimePeriod('Y'),
numTerms=5,mid=0.01,curve=curve))
curve.addRate(InterestRate(type='Swap', term=Enum.TimePeriod('Y'),
numTerms=10,mid=0.01,curve=curve))
curve.addRate(InterestRate(type='Swap', term=Enum.TimePeriod('Y'),
numTerms=30,mid=0.01,curve=curve))
curve.save()
curve = InterestRateCurve()
curve.ccy = 'USD'
curve.index = Enum.Index('LIBOR')
curve.term = Enum.TimePeriod('M')
curve.numTerms = 3
curve.pricingDate = testFirstDate
curve.marketId = 'TEST1'
curve.addRate(InterestRate(type='Deposit', term=Enum.TimePeriod('M'),
numTerms=1,mid=0.01,curve=curve))
curve.addRate(InterestRate(type='Deposit', term=Enum.TimePeriod('M'),
numTerms=3,mid=0.01,curve=curve))
curve.addRate(InterestRate(type='Swap', term=Enum.TimePeriod('Y'),
numTerms=1,mid=0.01,curve=curve))
curve.addRate(InterestRate(type='Swap', term=Enum.TimePeriod('Y'),
numTerms=5,mid=0.01,curve=curve))
curve.addRate(InterestRate(type='Swap', term=Enum.TimePeriod('Y'),
numTerms=10,mid=0.01,curve=curve))
curve.addRate(InterestRate(type='Swap', term=Enum.TimePeriod('Y'),
numTerms=30,mid=0.01,curve=curve))
curve.save()
if not SwaptionVolatilitySurface.objects.filter(ccy=Enum.Currency('USD'), index=Enum.Index('LIBOR'), term=Enum.TimePeriod('M'), numTerms=3,
pricingDate=testDate, marketId='TEST1'):
#Special case where I just append the vols. Should use a function
vols = SwaptionVolatilitySurface(ccy=Enum.Currency('USD'), index=Enum.Index('LIBOR'), term=Enum.TimePeriod('M'), numTerms=3,
pricingDate=testDate, marketId='TEST1')
volPoints = []
volPoints.append(SwaptionVolatility(expiryTerm=Enum.TimePeriod('Y'), expiryNumTerms=1, underlyingTerm=Enum.TimePeriod('Y'),
underlyingNumTerms=3, mid=0.40, surface=vols))
volPoints.append(SwaptionVolatility(expiryTerm=Enum.TimePeriod('Y'), expiryNumTerms=3, underlyingTerm=Enum.TimePeriod('Y'),
underlyingNumTerms=3, mid=0.45, surface=vols))
volPoints.append(SwaptionVolatility(expiryTerm=Enum.TimePeriod('Y'), expiryNumTerms=1, underlyingTerm=Enum.TimePeriod('Y'),
underlyingNumTerms=5, mid=0.5, surface=vols))
volPoints.append(SwaptionVolatility(expiryTerm=Enum.TimePeriod('Y'), expiryNumTerms=3, underlyingTerm=Enum.TimePeriod('Y'),
underlyingNumTerms=5, mid=0.55, surface=vols))
vols.addVolatilities(volPoints)
vols.save()
if not BondOAS.objects.filter(tCBond=TCBond.objects.get(name='TEST1'),pricingDate=testDate,
marketId='TEST1'):
bondOAS = BondOAS(tCBond=TCBond.objects.get(name='TEST1'),pricingDate=testDate,
marketId='TEST1',mid=0.0012)
bondOAS.save()
#done for only one test BondPositionTest.testLoadAndSaveMarketData
if not BondOAS.objects.filter(tCBond=TCBond.objects.get(name='TEST1'),pricingDate=Date(month=1,day=1,year=2009),
marketId='EOD'):
bondOAS = BondOAS(tCBond=TCBond.objects.get(name='TEST1'),pricingDate=Date(month=1,day=1,year=2009),
marketId='EOD',mid=0.01)
bondOAS.save()
#now load zero oas for all dates we do testing
timePeriods = VARUtilities.VARTimePeriodsAndSteps()
timePeriods.generate(start = Date(month=8,day=30,year=2011), end = Date(month=9,day=12,year=2011),
num = 1, term = Enum.TimePeriod('D'), calendar = Calendar.US())
for timeStep in timePeriods.timeSteps:
if not BondOAS.objects.filter(tCBond=TCBond.objects.get(name='TEST1'), pricingDate=timeStep, marketId='TEST1'):
bondOAS = BondOAS(tCBond=TCBond.objects.get(name='TEST1'), pricingDate=timeStep, marketId='TEST1',mid=0.0)
bondOAS.save()
fileLoader = MarketDataLoader.EquityPriceLoader()
fileLoader.loadStockPriceFromCSVFile(ROOT_PATH+'/misc/data/StockPricesForHVaRTests.csv')
fileLoader.loadInterestRateFromCSVFile(ROOT_PATH+'/misc/data/InterestRatesForHVaRTests.csv')
if not HvarConfiguration.objects.filter(name='TEST1').exists():
config = HvarConfiguration()
config.name = 'TEST1'
config.startDate = Date(month=8,day=30,year=2011).toPythonDate()
config.endDate = Date(month=9,day=12,year=2011).toPythonDate()
config.stepSize = 1
config.stepUnit = Enum.TimePeriod('D')
config.calendar = Calendar.US()
config.confLevel = 0.95
config.marketId = 'TEST1'
config.save()