1 files changed, 58 insertions, 8 deletions
diff --git a/python/analytics/ir_swaption.py b/python/analytics/ir_swaption.py
index 8bcf96ca..85d9c382 100644
--- a/python/analytics/ir_swaption.py
+++ b/python/analytics/ir_swaption.py
@@ -1,21 +1,71 @@
+from db import dbconn
 from quantlib.indexes.api import UsdLiborSwapIsdaFixAm
-from quantlib.time.api import Period, Years
-from yieldcurve import get_yc
+from quantlib.quotes import SimpleQuote
+from quantlib.time.api import Date, Period, Years
+from quantlib.instruments.api import MakeSwaption
+from quantlib.instruments.swap import SwapType
+from quantlib.pricingengines.api import BlackSwaptionEngine
+from quantlib.settings import Settings
+
+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):
+                 direction="Long", notional=10_000_000, yc=None):
         self._qloption = (MakeSwaption(swap_index, option_tenor, strike).
-                          withNominal(notional).
-                          withUnderlyingType(SwapType[option_type.title()]))
+                          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.:
+            return "Long"
+        else:
+            return "Short"
+
+    @direction.setter
+    def direction(self, d):
+        if d == "Long":
+            self._direction = 1.
+        elif d == "Short":
+            self._direction = -1.
+        else:
+            raise ValueError("Direction needs to be either 'Long' or 'Short'")
+
+    @property
+    def pv(self):
+        return self._direction * self._qloption.npv
+
+    @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 swaption "
+                c.execute("SELECT * from swaptions "
                           "WHERE id = %s", (trade_id,))
                 rec = c.fetchone()
-        p = Period(int(rec.security_id.replace("USIDA", "")), Years)
+        yc = YC(evaluation_date=rec['trade_date'])
+        p = Period(int(rec['security_id'].replace("USISDA", "")), Years)
         swap_index = UsdLiborSwapIsdaFixAm(p, yc)
-        MakeSwaption(
+        instance = IRSwaption(swap_index, Date.from_datetime(rec['expiration_date']),
+                              rec['strike'], rec['option_type'], rec['buysell'],
+                              rec['notional'])
+        return instance
+
+    @property
+    def value_date(self):
+        return Settings().evaluation_date