1 files changed, 0 insertions, 113 deletions
diff --git a/python/analytics/ir_swaption.py b/python/analytics/ir_swaption.py
deleted file mode 100644
index b2106c35..00000000
--- a/python/analytics/ir_swaption.py
+++ /dev/null
@@ -1,113 +0,0 @@
-from . import dbconn
-from quantlib.indexes.api import UsdLiborSwapIsdaFixAm
-from quantlib.quotes import SimpleQuote
-from quantlib.time.api import Date, Period, Years, pydate_from_qldate
-from quantlib.instruments.api import MakeSwaption
-from quantlib.instruments.swap import SwapType
-from quantlib.pricingengines.api import BlackSwaptionEngine
-from scipy.optimize import brentq
-from yieldcurve import 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,
-        yc=None,
-    ):
-        self._qloption = (
-            MakeSwaption(swap_index, option_tenor, strike)
-            .with_nominal(notional)
-            .with_underlying_type(SwapType[option_type.title()])()
-        )
-        if type(direction) is bool:
-            self._direction = 2 * direction - 1
-        else:
-            self.direction = direction
-        self._yc = yc or swap_index.forwarding_term_structure
-        self._sigma = SimpleQuote(0.218)
-        self._qloption.set_pricing_engine(BlackSwaptionEngine(self._yc, self._sigma))
-
-    @property
-    def direction(self):
-        if self._direction == 1.0:
-            return "Long"
-        else:
-            return "Short"
-
-    @direction.setter
-    def direction(self, d):
-        if d == "Long":
-            self._direction = 1.0
-        elif d == "Short":
-            self._direction = -1.0
-        else:
-            raise ValueError("Direction needs to be either 'Long' or 'Short'")
-
-    @property
-    def pv(self):
-        return self._direction * self._qloption.npv
-
-    @pv.setter
-    def pv(self, val):
-        def handle(x):
-            self.sigma = x
-            return self._direction * (self.pv - val)
-
-        eta = 1.1
-        a = 0.1
-        b = a * eta
-        while True:
-            if handle(b) > 0:
-                break
-            b *= eta
-        self.sigma = brentq(handle, a, b)
-
-    @property
-    def sigma(self):
-        return self._sigma.value
-
-    @sigma.setter
-    def sigma(self, s):
-        self._sigma.value = s
-
-    def from_tradeid(trade_id):
-        with dbconn("dawndb") as conn:
-            with conn.cursor() as c:
-                c.execute("SELECT * from swaptions " "WHERE id = %s", (trade_id,))
-                rec = c.fetchone()
-        yc = YC(evaluation_date=rec.trade_date, fixed=True, extrapolation=True)
-        p = Period(int(rec.security_id.replace("USISDA", "")), Years)
-        swap_index = UsdLiborSwapIsdaFixAm(p, yc)
-        instance = IRSwaption(
-            swap_index,
-            Date.from_datetime(rec.expiration_date),
-            rec.strike,
-            rec.option_type,
-            rec.buysell,
-            rec.notional,
-        )
-        try:
-            instance.pv = rec.price / 100 * rec.notional * instance._direction
-        except ValueError:
-            pass
-        return instance
-
-    @property
-    def value_date(self):
-        return pydate_from_qldate(self._qloption.valuation_date)
-
-    @value_date.setter
-    def value_date(self, d):
-        self.yc.link_to(YC(evaluation_date=d, fixed=True))
-
-    @property
-    def strike(self):
-        return self._qloption.underlying_swap().fixed_rate