1
2
3
4
5
6
7
8
9
10
11
12
13
14
15
16
17
18
19
20
21
22
23
24
25
26
27
28
29
30
31
32
33
34
35
36
37
38
39
40
41
42
43
44
45
46
47
48
49
50
51
52
53
54
55
56
57
58
59
60
61
62
63
64
65
66
67
68
69
70
71
72
73
74
75
76
|
import numpy as np
import pandas as pd
from scipy.special import h_roots
from dateutil.relativedelta import relativedelta
import datetime
from pyisda.date import pydate_to_TDate
def GHquad(n):
"""Gauss-Hermite quadrature weights"""
Z, w = h_roots(n)
return Z*np.sqrt(2), w/np.sqrt(np.pi)
def previous_twentieth(d):
r = d + relativedelta(day=20)
if r > d:
r -= relativedelta(months=1)
mod = r.month % 3
if mod != 0:
r -= relativedelta(months=mod)
return r
def next_twentieth(d):
r = d + relativedelta(day=20)
if(r < d):
r += relativedelta(months=1)
mod = r.month % 3
if mod != 0:
r += relativedelta(months=3 - mod)
return r
def roll_date(d, tenor, nd_array=False):
""" roll date d to the next CDS maturity"""
cutoff = pd.Timestamp('2015-12-20')
if not isinstance(d, pd.Timestamp):
cutoff = cutoff.date()
if d <= cutoff:
if isinstance(tenor, (int, float)):
d_rolled = d + relativedelta(years=tenor, days=1)
return next_twentieth(d_rolled)
elif hasattr(tenor, '__iter__'):
v = [next_twentieth(d + relativedelta(years=t, days=1)) for t in tenor]
if nd_array:
return np.array([pydate_to_TDate(d) for d in v])
else:
return v
else:
raise TypeError('tenor is not a number nor an iterable')
else: #semi-annual rolling starting 2015-12-20
if isinstance(tenor, (int, float)):
d_rolled = d + relativedelta(years=tenor)
elif hasattr(tenor, '__iter__'):
d_rolled = d + relativedelta(years=1)
else:
raise TypeError('tenor is not a number nor an iterable')
if((d >= d + relativedelta(month=9, day=20)) or \
(d < d + relativedelta(month=3, day=20))):
d_rolled += relativedelta(month=12, day=20)
if d.month <= 3:
d_rolled -= relativedelta(years=1)
else:
d_rolled += relativedelta(month=6, day=20)
if isinstance(tenor, (int, float)):
return d_rolled
else:
v = [d_rolled + relativedelta(years=t-1) for t in tenor]
if nd_array:
return np.array([pydate_to_TDate(d) for d in v])
else:
return v
def build_table(rows, format_strings, row_format):
r = []
for row, format_string in zip(rows, format_strings):
row = [f.format(r) if f else r for r, f in zip(row, format_string)]
r.append(row_format.format(*row))
return r
|
