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from common import root
import os
import requests, zipfile
from io import BytesIO
import xml.etree.ElementTree as ET
import datetime
from quantlib.time.api import Calendar, Period, Days, Schedule, today, Actual360, calendar_from_name
from quantlib.time import imm
from quantlib.util.converter import qldate_to_pydate, pydate_to_qldate
from quantlib.market.market import libor_market, next_imm_date
import numpy as np
import matplotlib.pyplot as plt
def getMarkitIRData(date = datetime.date.today()):
basedir = os.path.join(root, "data", "Yield Curves")
datestr = date.strftime("%Y%m%d")
filename = "InterestRates_USD_{0}.xml".format(datestr)
if not os.path.exists(os.path.join(basedir, filename)):
r = requests.get('http://www.markit.com/news/InterestRates_USD_{0}.zip'.format(datestr))
if "x-zip" in r.headers['content-type']:
with zipfile.ZipFile(BytesIO(r.content)) as z:
z.extractall(path = os.path.join(root, "data", "Yield Curves"))
else:
return getMarkitIRData(date-datetime.timedelta(days=1))
tree = ET.parse(os.path.join(root, "data", "Yield Curves", filename))
deposits = {tenor: rate for tenor, rate in \
zip([e.text for e in tree.findall('./deposits/*/tenor')],
[float(e.text) for e in tree.findall('./deposits/*/parrate')])}
swaps = {tenor: rate for tenor, rate in \
zip([e.text for e in tree.findall('./swaps/*/tenor')],
[float(e.text) for e in tree.findall('./swaps/*/parrate')])}
effectiveasof = tree.find('./effectiveasof').text
MarkitData = {'deposits': deposits,
'swaps': swaps,
'effectiveasof': datetime.datetime.strptime(effectiveasof, "%Y-%m-%d").date()}
return MarkitData
def get_futures_data(date = datetime.date.today()):
futures_file = os.path.join(root, "data", "Yield Curves",
"futures-{0}.csv".format(date.strftime("%Y-%m-%d")))
with open(futures_file) as fh:
quotes = [float(line.split(",")[1]) for line in fh]
return quotes
def YC(date = datetime.date.today(), MarkitData=None, futures = None):
if not MarkitData:
MarkitData = getMarkitIRData(date)
if not futures:
futures = get_futures_data(date)
m = libor_market('USD(NY)')
cal = calendar_from_name('GBR')
# m.settle_date is not available until we set_quotes, so we compute it again
# need a better way to do this
settle_date = cal.advance(pydate_to_qldate(date), 2, Days)
quotes = [('ED',i+1, v) for i, v in enumerate(futures)]
if next_imm_date(date, 9) == settle_date + Period('2Yr'):
quotes.pop(7)
quotes += [('SWAP', k, v) for k, v in MarkitData['swaps'].items()]
m.set_quotes(date, quotes)
ts = m.bootstrap_term_structure()
return ts
if __name__=="__main__":
date = datetime.date(2014, 4, 29)
ts = YC(date)
cal = calendar_from_name('USA')
p1 = Period('1Mo')
p2 = Period('2Mo')
p3 = Period('3Mo')
p6 = Period('6Mo')
p12 = Period('12Mo')
sched = Schedule(ts.reference_date, ts.reference_date+Period('5Yr'), Period('3Mo'), cal)
days = [qldate_to_pydate(day) for day in sched]
f3 = [ts.forward_rate(d, d+p3, Actual360()).rate for d in sched]
f6 = [ts.forward_rate(d, d+p6, Actual360()).rate for d in sched]
f2 = [ts.forward_rate(d, d+p2, Actual360()).rate for d in sched]
plt.plot(days, f2, days, f3, days, f6)
plt.show()
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