diff options
Diffstat (limited to 'python/analytics/ir_swaption.py')
| -rw-r--r-- | python/analytics/ir_swaption.py | 49 |
1 files changed, 32 insertions, 17 deletions
diff --git a/python/analytics/ir_swaption.py b/python/analytics/ir_swaption.py index 762625f4..a83b6cd8 100644 --- a/python/analytics/ir_swaption.py +++ b/python/analytics/ir_swaption.py @@ -9,13 +9,24 @@ from quantlib.settings import Settings from yieldcurve import YC -class IRSwaption(): +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()])()) + + 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: @@ -26,7 +37,7 @@ class IRSwaption(): @property def direction(self): - if self._direction == 1.: + if self._direction == 1.0: return "Long" else: return "Short" @@ -34,9 +45,9 @@ class IRSwaption(): @direction.setter def direction(self, d): if d == "Long": - self._direction = 1. + self._direction = 1.0 elif d == "Short": - self._direction = -1. + self._direction = -1.0 else: raise ValueError("Direction needs to be either 'Long' or 'Short'") @@ -53,17 +64,21 @@ class IRSwaption(): self._sigma.value = s def from_tradeid(trade_id): - with dbconn('dawndb') as conn: + with dbconn("dawndb") as conn: with conn.cursor() as c: - c.execute("SELECT * from swaptions " - "WHERE id = %s", (trade_id,)) + c.execute("SELECT * from swaptions " "WHERE id = %s", (trade_id,)) rec = c.fetchone() - yc = YC(evaluation_date=rec['trade_date'], fixed=True) - p = Period(int(rec['security_id'].replace("USISDA", "")), Years) + yc = YC(evaluation_date=rec["trade_date"], fixed=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']) + instance = IRSwaption( + swap_index, + Date.from_datetime(rec["expiration_date"]), + rec["strike"], + rec["option_type"], + rec["buysell"], + rec["notional"], + ) return instance @property |