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| -rw-r--r-- | python/analytics/ir_swaption.py | 21 |
1 files changed, 21 insertions, 0 deletions
diff --git a/python/analytics/ir_swaption.py b/python/analytics/ir_swaption.py new file mode 100644 index 00000000..8bcf96ca --- /dev/null +++ b/python/analytics/ir_swaption.py @@ -0,0 +1,21 @@ +from quantlib.indexes.api import UsdLiborSwapIsdaFixAm +from quantlib.time.api import Period, Years +from yieldcurve import get_yc + +class IRSwaption(): + """ adapter class for the QuantLib code""" + def __init__(self, swap_index, option_tenor, strike, option_type="payer", + direction="Long", notional=10_000_000): + self._qloption = (MakeSwaption(swap_index, option_tenor, strike). + withNominal(notional). + withUnderlyingType(SwapType[option_type.title()])) + + def from_tradeid(trade_id): + with dbconn('dawndb') as conn: + with conn.cursor() as c: + c.execute("SELECT * from swaption " + "WHERE id = %s", (trade_id,)) + rec = c.fetchone() + p = Period(int(rec.security_id.replace("USIDA", "")), Years) + swap_index = UsdLiborSwapIsdaFixAm(p, yc) + MakeSwaption( |