diff options
Diffstat (limited to 'python')
| -rw-r--r-- | python/markit/__main__.py | 2 | ||||
| -rw-r--r-- | python/yieldcurve.py | 87 |
2 files changed, 56 insertions, 33 deletions
diff --git a/python/markit/__main__.py b/python/markit/__main__.py index 765d1537..803e5c68 100644 --- a/python/markit/__main__.py +++ b/python/markit/__main__.py @@ -86,6 +86,6 @@ elif args.cds: insert_tranche(engine, workdate) elif args.rates: - for curr in ["USD", "EUR"]: + for curr in ["USD", "EUR", "JPY"]: downloadMarkitIRData(workdate, currency=curr) logger.info("Downloaded {} rates".format(curr)) diff --git a/python/yieldcurve.py b/python/yieldcurve.py index 997c7ad0..6edcad2c 100644 --- a/python/yieldcurve.py +++ b/python/yieldcurve.py @@ -1,4 +1,5 @@ from blist import sorteddict +from collections import namedtuple from contextlib import closing from itertools import islice import datetime @@ -6,11 +7,11 @@ import lz4.block import os import pandas as pd from quantlib.settings import Settings -from quantlib.time.api import (WeekendsOnly, Date, Period, Days, Schedule, Annual, +from quantlib.time.api import (WeekendsOnly, Japan, + Date, Period, Days, Schedule, Annual, Semiannual, today, Actual360, Months, Years, - ModifiedFollowing, Thirty360, Actual365Fixed, - calendar_from_name) -from quantlib.currency.api import USDCurrency, EURCurrency + ModifiedFollowing, Thirty360, Actual365Fixed) +from quantlib.currency.api import USDCurrency, EURCurrency, JPYCurrency from quantlib.indexes.ibor_index import IborIndex from quantlib.termstructures.yields.api import ( PiecewiseYieldCurve, DepositRateHelper, SwapRateHelper, BootstrapTrait, Interpolator) @@ -90,6 +91,36 @@ def get_futures_data(date=datetime.date.today()): quotes = [float(line.split(",")[1]) for line in fh] return quotes +def get_curve_params(currency): + if currency == "USD": + currency = USDCurrency() + calendar = WeekendsOnly() + fixed_dc = Thirty360() + floating_dc = Actual360() + mm_dc = Actual360() + floating_freq = Period(3, Months) + fixed_freq = Semiannual + elif currency == "EUR": + currency = EURCurrency() + calendar = WeekendsOnly() + fixed_dc = Thirty360() + floating_dc = Actual360() + mm_dc = Actual360() + floating_freq = Period(6, Months) + fixed_freq = Annual + elif currency == "JPY": + currency = JPYCurrency() + calendar = Japan() + fixed_dc = Actual365Fixed() + floating_dc = Actual360() + mm_dc = Actual360() + floating_freq = Period(6, Months) + fixed_freq = Semiannual + CurveParams = namedtuple('CurveParam', + 'currency, calendar, fixed_dc, floating_dc, ' + 'mm_dc, floating_freq, fixed_freq') + return CurveParams(currency, calendar, fixed_dc, floating_dc, mm_dc, + floating_freq, fixed_freq) def rate_helpers(currency="USD", MarkitData=None, evaluation_date=None): """Utility function to build a list of RateHelpers @@ -120,22 +151,18 @@ def rate_helpers(currency="USD", MarkitData=None, evaluation_date=None): evaluation_date), RuntimeWarning) settings.evaluation_date = Date.from_datetime(MarkitData['effectiveasof']) - calendar = WeekendsOnly() - if currency == "USD": - isda_ibor = IborIndex("IsdaIbor", Period(3, Months), 2, USDCurrency(), - calendar, ModifiedFollowing, False, Actual360()) - fix_freq = Semiannual - elif currency == "EUR": - isda_ibor = IborIndex("IsdaIbor", Period(6, Months), 2, EURCurrency(), - calendar, ModifiedFollowing, False, Actual360()) - fix_freq = Annual + params = get_curve_params(currency) + isda_ibor = IborIndex("IsdaIbor", params.floating_freq, 2, + params.currency, params.calendar, ModifiedFollowing, + False, params.floating_dc) # we use SimpleQuotes, rather than just float to make it updateable - deps = [DepositRateHelper(SimpleQuote(q), Period(t), 2, calendar, - ModifiedFollowing, False, Actual360()) + deps = [DepositRateHelper(SimpleQuote(q), Period(t), 2, params.calendar, + ModifiedFollowing, False, params.mm_dc) for t, q in MarkitData['deposits']] # this matches with bloomberg, but according to Markit, maturity should be unadjusted - swaps = [SwapRateHelper.from_tenor(SimpleQuote(q), Period(t), calendar, fix_freq, ModifiedFollowing, - Thirty360(), isda_ibor) for t, q in MarkitData['swaps']] + swaps = [SwapRateHelper.from_tenor(SimpleQuote(q), Period(t), params.calendar, + params.fixed_freq, ModifiedFollowing, + params.fixed_dc, isda_ibor) for t, q in MarkitData['swaps']] return deps + swaps @@ -218,25 +245,20 @@ def ql_to_jp(ql_yc): def build_curves(currency="USD"): settings = Settings() - calendar = WeekendsOnly() - if currency == "USD": - isda_ibor = IborIndex("IsdaIbor", Period(3, Months), 2, USDCurrency(), - calendar, ModifiedFollowing, False, Actual360()) - fix_freq = Semiannual - elif currency == "EUR": - isda_ibor = IborIndex("IsdaIbor", Period(6, Months), 2, EURCurrency(), - calendar, ModifiedFollowing, False, Actual360()) - fix_freq = Annual - rates = pd.read_sql_table('{}_rates'.format(currency.lower()), + params = get_curve_params(currency) + isda_ibor = IborIndex("IsdaIbor", params.floating_freq, 2, + params.currency, params.calendar, ModifiedFollowing, + False, params.floating_dc) + rates = pd.read_sql_table(f"{currency.lower()}_rates", serenitas_engine, index_col='effective_date') quotes = [SimpleQuote() for c in rates.columns] gen = zip(quotes, rates.columns) - deps = [DepositRateHelper(q, Period(t), 2, calendar, ModifiedFollowing, - False, Actual360()) for q, t in islice(gen, 6)] - swaps = [SwapRateHelper.from_tenor(q, Period(t), calendar, - fix_freq, ModifiedFollowing, - Thirty360(), isda_ibor) for q, t in gen] + deps = [DepositRateHelper(q, Period(t), 2, params.calendar, ModifiedFollowing, + False, params.mm_dc) for q, t in islice(gen, 6)] + swaps = [SwapRateHelper.from_tenor(q, Period(t), params.calendar, + params.fixed_freq, ModifiedFollowing, + params.fixed_dc, isda_ibor) for q, t in gen] sql_str = f"INSERT INTO {currency}_curves VALUES(%s, %s) ON CONFLICT DO NOTHING" conn = serenitas_engine.raw_connection() for effective_date, curve_data in rates.iterrows(): @@ -262,6 +284,7 @@ if __name__ == "__main__": Settings.instance().evaluation_date = today() import matplotlib.pyplot as plt + from quantlib.time.api import calendar_from_name helpers = rate_helpers("USD") ts = YC(helpers) cal = calendar_from_name('USA') |