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import datetime
import numpy as np
import pandas as pd
from scipy.special import h_roots
from dateutil.relativedelta import relativedelta, FR
from functools import wraps
from pyisda.date import pydate_to_TDate
from pandas.api.types import CategoricalDtype
from quantlib.time.date import nth_weekday, Wednesday, Date
tenor_t = CategoricalDtype(['1m', '3m', '6m', '1yr', '2yr', '3yr', '4yr',
'5yr', '7yr', '10yr', '15yr', '20yr', '25yr',
'30yr'],
ordered=True)
def GHquad(n):
"""Gauss-Hermite quadrature weights"""
Z, w = h_roots(n)
return Z*np.sqrt(2), w/np.sqrt(np.pi)
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 third_wednesday(d):
if isinstance(d, datetime.date):
return d + relativedelta(day=1, weekday=FR(3))
elif isinstance(d, Date):
return nth_weekday(3, Wednesday, d.month, d.year)
def next_third_wed(d):
y = third_wednesday(d)
if y < d:
return third_wednesday(d + relativedelta(months=1))
else:
return y
def roll_date(d, tenor, nd_array=False):
""" roll date d to the next CDS maturity"""
cutoff = pd.Timestamp('2015-09-20')
def kwargs(t):
if abs(t) == 0.5:
return {'months': int(12 * t)}
else:
return {'years': int(t)}
if not isinstance(d, pd.Timestamp):
cutoff = cutoff.date()
if d <= cutoff:
if isinstance(tenor, (int, float)):
d_rolled = d + relativedelta(**kwargs(tenor), days=1)
return next_twentieth(d_rolled)
elif hasattr(tenor, '__iter__'):
v = [next_twentieth(d + relativedelta(**kwargs(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(**kwargs(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(**kwargs(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
def memoize(hasher=lambda args: (hash(args),)):
def memoize_(f):
@wraps(f)
def cached_f(*args, **kwargs):
self = args[0]
key = (f.__name__, *hasher(args))
if key in self._cache:
return self._cache[key]
else:
v = f(*args, **kwargs)
self._cache[key] = v
return v
return cached_f
return memoize_
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