diff options
Diffstat (limited to 'python')
| -rw-r--r-- | python/yieldcurve.py | 15 |
1 files changed, 14 insertions, 1 deletions
diff --git a/python/yieldcurve.py b/python/yieldcurve.py index 5b124995..91a71b53 100644 --- a/python/yieldcurve.py +++ b/python/yieldcurve.py @@ -4,6 +4,11 @@ import requests, zipfile from io import BytesIO import xml.etree.ElementTree as ET import datetime +from quantlib.time.date import Date +from quantlib.time import imm +import pdb +from quantlib.market.market import libor_market +from quantlib.time.date import Date def getMarkitIRData(date): basedir = os.path.join(root, "data", "Yield Curves") @@ -31,4 +36,12 @@ def getMarkitIRData(date): return MarkitData if __name__=="__main__": - print(getMarkitIRData(datetime.date.today())) + MarkitData = getMarkitIRData(datetime.date.today()) + m = libor_market('USD(NY)') + quotes = [('DEP', k, v) for k, v in MarkitData['deposits'].items()] + quotes += [('SWAP', k, v) for k, v in MarkitData['swaps'].items()] + m.set_quotes(datetime.date.today(), quotes) + m.bootstrap_term_structure() + PiecewiseYieldCurve("discount", "linear", + future_date = Date.from_datetime(datetime.datetime(2017, 10, 5)) + p = m.discount(future_date) |