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from db import dbconn
from quantlib.indexes.api import UsdLiborSwapIsdaFixAm
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, 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:
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 swaptions "
"WHERE id = %s", (trade_id,))
rec = c.fetchone()
yc = YC(evaluation_date=rec['trade_date'])
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'])
return instance
@property
def value_date(self):
return Settings().evaluation_date
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