diff options
Diffstat (limited to 'python/yieldcurve.py')
| -rw-r--r-- | python/yieldcurve.py | 20 |
1 files changed, 15 insertions, 5 deletions
diff --git a/python/yieldcurve.py b/python/yieldcurve.py index 997a363b..c865c9bb 100644 --- a/python/yieldcurve.py +++ b/python/yieldcurve.py @@ -11,7 +11,7 @@ from quantlib.time.api import (WeekendsOnly, Date, Period, Days, Schedule, Annua from quantlib.currency.api import USDCurrency, EURCurrency from quantlib.indexes.ibor_index import IborIndex from quantlib.termstructures.yields.api import ( - PiecewiseYieldCurve, DepositRateHelper, SwapRateHelper) + PiecewiseYieldCurve, DepositRateHelper, SwapRateHelper, BootstrapTrait, Interpolator) from quantlib.time.date import pydate_from_qldate import numpy as np @@ -19,6 +19,8 @@ import pandas as pd import matplotlib.pyplot as plt from quantlib.quotes import SimpleQuote from db import dbconn +from pyisda.curve import YieldCurve +import array def getMarkitIRData(effective_date = datetime.date.today(), currency = "USD"): @@ -98,12 +100,20 @@ def rate_helpers(currency="USD", MarkitData=None): return deps + swaps def YC(currency="USD", helpers = None, MarkitData=None): - settings = Settings() if helpers is None: helpers = rate_helpers(currency, MarkitData) - curve = PiecewiseYieldCurve("discount", "loglinear", settings.evaluation_date, - helpers, Actual365Fixed()) - return curve + calendar = WeekendsOnly() + return PiecewiseYieldCurve(BootstrapTrait.Discount, Interpolator.LogLinear, + 0, calendar, helpers, Actual365Fixed()) +def ql_to_jp(ql_yc): + """ convert a QuantLib yield curve to a JP's one""" + if ql_yc._trait == BootstrapTrait.Discount: + dfs = array.array('d', ql_yc.data[1:]) + dates = [pydate_from_qldate(d) for d in ql_yc.dates[1:]] + trade_date = pydate_from_qldate(ql_yc.dates[0]) + return YieldCurve.from_discount_factors(trade_date, dates, dfs, 'ACT/365F') + else: + raise RuntimeErrror('QuantLib curve needs to use Discount trait') if __name__=="__main__": #evaluation_date = Date(29, 4, 2014) |