add functions to import Markit yieldcurves

1 files changed, 92 insertions, 0 deletions

diff --git a/pyisda/utils.py b/pyisda/utils.py
new file mode 100644
index 0000000..38196f0
--- /dev/null
+++ b/pyisda/utils.py
@@ -0,0 +1,92 @@
+from quantlib.settings import Settings
+from quantlib.time.api import ( Date, pydate_from_qldate, WeekendsOnly,
+                                Period, Months, ModifiedFollowing, Actual360,
+                                Semiannual, Thirty360, Actual365Fixed )
+from quantlib.indexes.ibor_index import IborIndex
+from quantlib.currency.api import USDCurrency, EURCurrency
+from quantlib.indexes.ibor_index import IborIndex
+from quantlib.termstructures.yields.api import (
+    PiecewiseYieldCurve, DepositRateHelper, SwapRateHelper)
+import array
+import datetime
+import requests
+import zipfile
+from io import BytesIO
+import xml.etree.ElementTree as ET
+from pyisda.curve import YieldCurve
+
+def getMarkitIRData(date = datetime.date.today() - datetime.timedelta(days = 1),
+                    currency="USD"):
+    filename = "InterestRates_{0}_{1:%Y%m%d}".format(currency, date)
+    r = requests.get('http://www.markit.com/news/{0}.zip'.format(filename))
+    if "x-zip" in r.headers['content-type']:
+        with zipfile.ZipFile(BytesIO(r.content)) as z:
+            fh = z.open(filename + '.xml')
+            tree = ET.parse(fh)
+            deposits = zip([e.text for e in tree.findall('./deposits/*/tenor')],
+                           [float(e.text) for e in tree.findall('./deposits/*/parrate')])
+            swaps = 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': list(deposits),
+                          'swaps': list(swaps),
+                          'effectiveasof': datetime.datetime.strptime(effectiveasof, "%Y-%m-%d").date()}
+            return MarkitData
+    else:
+        return getMarkitIRData(date-datetime.timedelta(days=1))
+
+def rate_helpers(currency="USD", MarkitData=None):
+    settings = Settings()
+    if not MarkitData:
+        MarkitData = getMarkitIRData(pydate_from_qldate(settings.evaluation_date-1), currency)
+        if MarkitData['effectiveasof'] != pydate_from_qldate(settings.evaluation_date):
+            raise RuntimeError("Yield curve effective date: {0} doesn't " \
+                               "match the evaluation date: {1}".format(
+                                   MarkitData['effectiveasof'],
+                                   pydate_from_qldate(settings.evaluation_date)))
+    calendar = WeekendsOnly()
+    if currency == "USD":
+        isda_ibor = IborIndex("IsdaIbor", Period(3, Months), 2, USDCurrency(), calendar,
+                              ModifiedFollowing, False, Actual360())
+        fix_freq = Semiannual
+    elif currency == "EUR":
+        isda_ibor = IborIndex("IsdaIbor", Period(6, Months), 2, EURCurrency(), calendar,
+                              ModifiedFollowing, False, Actual360())
+        fix_freq = Annual
+    deps = [DepositRateHelper(q, Period(t), 2, calendar, ModifiedFollowing, False, Actual360())
+            for t, q in MarkitData['deposits']]
+    # this matches with bloomberg, but according to Markit, maturity should be unadjusted
+    swaps = [SwapRateHelper.from_tenor(q, Period(t), calendar, fix_freq, ModifiedFollowing,
+                                       Thirty360(), isda_ibor) for t, q in MarkitData['swaps']]
+    return deps + swaps
+
+def YC(currency="USD", helpers = None, MarkitData=None):
+    settings = Settings()
+    if helpers is None:
+        helpers = rate_helpers(currency, MarkitData)
+    curve = PiecewiseYieldCurve("discount", "loglinear", settings.evaluation_date,
+                                helpers, Actual365Fixed())
+    return curve
+
+def build_yc(trade_date, ql_curve = False):
+    markit_data = getMarkitIRData(trade_date-datetime.timedelta(days=1))
+    if ql_curve:
+        settings = Settings()
+        settings.evaluation_date = Date.from_datetime(trade_date)
+        yield_helpers = rate_helpers(MarkitData = markit_data)
+        ql_yc = YC(helpers = yield_helpers)
+        dfs = array.array('d', [ql_yc.discount(yh.latest_date) for yh in yield_helpers])
+        dates = [pydate_from_qldate(yh.latest_date) for yh in yield_helpers]
+        yc = YieldCurve.from_discount_factors(trade_date, dates, dfs, 'ACT/365F')
+    else:
+        periods, rates = zip(*markit_data['deposits'])
+        periods = list(periods)
+        rates = list(rates)
+        periods_swaps, rates_swaps = zip(*markit_data['swaps'])
+        types = 'M' * len(periods) + 'S' * len(periods_swaps)
+        rates = array.array('d', rates)
+        periods.extend(periods_swaps)
+        rates.extend(rates_swaps)
+        yc = YieldCurve(trade_date, types, periods, rates, 'ACT/360', '6M',
+                        '3M', '30/360', 'ACT/360', BadDay.MODIFIED)
+    return yc