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from pyisda.curve import YieldCurve, BadDay, SpreadCurve, BasketIndex
from pyisda.legs import FeeLeg, ContingentLeg
from pyisda.logging import enable_logging
import datetime
import math
import pandas as pd
from yieldcurve import YC, ql_to_jp
from quantlib.settings import Settings
from quantlib.time.api import Date
import numpy as np
from db import dbconn
from concurrent.futures import ProcessPoolExecutor, as_completed
from itertools import zip_longest, chain
def get_singlenames_quotes(indexname, date):
conn = dbconn('serenitasdb')
with conn.cursor() as c:
c.execute("SELECT * FROM curve_quotes(%s, %s)", vars=(indexname, date))
return [r for r in c]
def build_curve(r, today_date, yc, start_date, step_in_date, value_date, end_dates):
spread_curve = 1e-4 * np.array(r['spread_curve'][1:])
upfront_curve = 1e-2 * np.array(r['upfront_curve'][1:])
recovery_curve = np.array(r['recovery_curve'][1:])
sc = SpreadCurve(today_date, yc, start_date, step_in_date, value_date,
end_dates, spread_curve, upfront_curve, recovery_curve, True)
return (r['cds_ticker'], sc)
def grouper(iterable, n, fillvalue=None):
"Collect data into fixed-length chunks or blocks"
# grouper('ABCDEFG', 3, 'x') --> ABC DEF Gxx
args = [iter(iterable)] * n
return zip_longest(fillvalue=fillvalue, *args)
def build_curves_dist(quotes, args, workers=4):
## about twice as fast as the non distributed version
## non thread safe for some reason so need ProcessPool
with ProcessPoolExecutor(workers) as e:
fs = [e.submit(build_curves, *(q, args)) for q in grouper(quotes, 30)]
return list(chain.from_iterable([f.result() for f in as_completed(fs)]))
def build_curves(quotes, args):
return [build_curve(q, *args) for q in quotes if q is not None]
Settings().evaluation_date = Date(6, 2, 2017)
yc = YC()
jp_yc = ql_to_jp(yc)
today_date = datetime.date(2017, 2, 6)
step_in_date = datetime.date(2017, 2, 7)
value_date = datetime.date(2017, 2, 9)
start_date = datetime.date(2016, 12, 20)
end_dates = [datetime.date(2017, 12, 20),
datetime.date(2018, 12, 20),
datetime.date(2019, 12, 20),
datetime.date(2020, 12, 20),
datetime.date(2021, 12, 20),
datetime.date(2023, 12, 20),
datetime.date(2026, 12, 20)]
quotes = get_singlenames_quotes("ig27", today_date)
args = (today_date, jp_yc, start_date, step_in_date, value_date, end_dates)
curves = build_curves_dist(quotes, args)
def all_curves_pv(curves, today_date, jp_yc, start_date, step_in_date, value_date, end_dates):
r = {}
for d in end_dates:
tenor = {}
coupon_leg = FeeLeg(start_date, d, True, 1., 1.)
default_leg = ContingentLeg(start_date, d, True)
accrued = coupon_leg.accrued(step_in_date)
tickers = []
data = []
for ticker, sc in curves:
coupon_leg_pv = coupon_leg.pv(today_date, step_in_date, value_date, jp_yc, sc, False)
default_leg_pv = default_leg.pv(today_date, step_in_date, value_date,
jp_yc, sc, 0.4)
tickers.append(ticker)
data.append((coupon_leg_pv-accrued, default_leg_pv))
r[pd.Timestamp(d)] = pd.DataFrame.from_records(data,
index=tickers,
columns=['duration', 'protection_pv'])
indexpv = r.mean().unstack()
return indexpv.protection_pv-indexpv.duration*0.01
def stack_curves(curves):
dates = [d for d, _ in curves[0].inspect()['data']]
hazard_rates = np.empty((len(curves), len(dates)))
for i, sc in enumerate(curves):
hazard_rates[i] = np.array([h for _, h in sc.inspect()['data']])
return hazard_rates, dates
def all_curves_pv2(curves, today_date, jp_yc, start_date, step_in_date, value_date, end_dates):
tickers = [t for t, _ in curves]
hazard_rates, end_dates = stack_curves([c for _, c in curves])
r = {}
for maturity in end_dates:
data = []
ig27 = BasketIndex(today_date, start_date, maturity, end_dates, hazard_rates)
data.append(ig27.pv(step_in_date, value_date, jp_yc, 0.4))
r[pd.Timestamp(d)] = pd.DataFrame.from_records(data,
index=tickers,
columns=['duration', 'protection_pv'])
return r
def forward_hazard_rates(sc):
r = []
t = []
t1 = 0
h1 = 0
base_date = sc.base_date
for d, h in sc.inspect()['data']:
h2 = math.log1p(h)
t2 = (d - base_date).days / 365
r.append( (h2 * t2 - h1 * t1) / (t2 - t1) )
t.append(t2)
h1, t1 = h2, t2
return t, r
ticker, sc = curves[0]
sc2 = sc.tweak_curve(0.01, inplace=False)
# class CreditIndex:
# def __init__(name, trade_date):
# @property
# def quotes():
# pass
# forward_hazard_rates()
# for d, q in
# @quotes.setter
# def quotes(val):
# self._quotes = val
# for d, q in self._quotes:
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