diff options
| -rw-r--r-- | docs/api.rst | 17 | ||||
| -rw-r--r-- | docs/conf.py | 5 | ||||
| -rw-r--r-- | pyisda/cdsone.pyx | 61 | ||||
| -rw-r--r-- | pyisda/curve.pyx | 23 | ||||
| -rw-r--r-- | setup.py | 3 |
5 files changed, 100 insertions, 9 deletions
diff --git a/docs/api.rst b/docs/api.rst index e850f45..253ddd5 100644 --- a/docs/api.rst +++ b/docs/api.rst @@ -1,6 +1,23 @@ PyISDA ====== +:mod:`~pyisda.cdsone` contains the two work horse functions of the library, +which allow to convert back and forth from upfront to spread + +.. autosummary:: + pyisda.cdsone.upfront_charge + pyisda.cdsone.spread_from_upfront + +.. automodule:: pyisda.cdsone + :members: + +:mod:`~pyisda.curve` contains two types of curves: + +.. autosummary:: + pyisda.curve.YieldCurve + pyisda.curve.SpreadCurve + + .. automodule:: pyisda.curve :members: :undoc-members: diff --git a/docs/conf.py b/docs/conf.py index 855d662..5bdd422 100644 --- a/docs/conf.py +++ b/docs/conf.py @@ -34,7 +34,8 @@ extensions = [ 'sphinx.ext.autodoc', 'sphinx.ext.todo', 'sphinx.ext.imgmath', - 'sphinx.ext.napoleon' + 'sphinx.ext.napoleon', + 'sphinx.ext.autosummary' ] # Add any paths that contain templates here, relative to this directory. @@ -125,7 +126,7 @@ todo_include_todos = True # The theme to use for HTML and HTML Help pages. See the documentation for # a list of builtin themes. # -html_theme = 'alabaster' +html_theme = 'sphinx_rtd_theme' # Theme options are theme-specific and customize the look and feel of a theme # further. For a list of options available for each theme, see the diff --git a/pyisda/cdsone.pyx b/pyisda/cdsone.pyx index 13c517e..6326183 100644 --- a/pyisda/cdsone.pyx +++ b/pyisda/cdsone.pyx @@ -1,5 +1,5 @@ from cdsone cimport (JpmcdsCdsoneUpfrontCharge, - JpmcdsCdsoneSpread, JpmcdsStringToStubMethod) + JpmcdsCdsoneSpread, JpmcdsStringToStubMethod) from curve cimport YieldCurve from date cimport JpmcdsStringToDateInterval, pydate_to_TDate, dcc @@ -12,7 +12,36 @@ def upfront_charge(date, value_date, benchmark_start_date, stepin_date, double recovery_rate, TBoolean pay_accrued_at_start = True, TBoolean pay_accrued_on_default = True): + """ + Computes the fair upfront payment for a cds based on the fair spread. + Parameters + ---------- + date : :class:`datetime.date` + today's date + value_date : :class:`datetime.date` + the date when cash is assumed to change hands. + benchmark_start_date : :class:`datetime.date` + should be same as `start_date`, not sure why there are two parameters. + stepin_date : :class:`datetime.date` + effective start of protection, typically `date` + 1 + start_date : :class:`datetime.date` + beginning of cds, typically most recent IMM date before `date` + end_date : :class:`datetime.date` + last date of the cds + coupon_rate : double + cds fixed coupon. + yc : :class:`~pyisda.cuve.YieldCurve` + Yield curve + spread : double + cds running spread + recovery_rate : double + assumed recovery rate + pay_accrued_at_start : bool, optional + do we pay accrued from `start_date` to `date` + pay_accrued_on_default : bool, optional + in case of default do we pay current accrued on default or at maturity. + """ cdef: TDate today = pydate_to_TDate(date) TDate value_date_c = pydate_to_TDate(value_date) @@ -45,6 +74,36 @@ def spread_from_upfront(date, value_date, benchmark_start_date, stepin_date, double recovery_rate, TBoolean pay_accrued_at_start = True, TBoolean pay_accrued_on_default = True): + """Computes the equivalent fair spread for a cds with upfront+running. + + Parameters + ---------- + date : :class:`datetime.date` + today's date + value_date : :class:`datetime.date` + the date when cash is assumed to change hands. + benchmark_start_date : :class:`datetime.date` + should be same as `start_date`, not sure why there are two parameters. + stepin_date : :class:`datetime.date` + effective start of protection, typically `date` + 1 + start_date : :class:`datetime.date` + beginning of cds, typically most recent IMM date before `date` + end_date : :class:`datetime.date` + last date of the cds + coupon_rate : double + cds fixed coupon. + yc : :class:`~pyisda.cuve.YieldCurve` + Yield curve + upfront : double + cds upfront + recovery_rate : double + assumed recovery rate + pay_accrued_at_start : bool, optional + do we pay accrued from `start_date` to `date` + pay_accrued_on_default : bool, optional + in case of default do we pay current accrued on default or at maturity. + + """ cdef: TDate today = pydate_to_TDate(date) TDate value_date_c = pydate_to_TDate(value_date) diff --git a/pyisda/curve.pyx b/pyisda/curve.pyx index 863ae0c..e7ce72d 100644 --- a/pyisda/curve.pyx +++ b/pyisda/curve.pyx @@ -67,6 +67,7 @@ cdef class YieldCurve(Curve): bad_day_conv : int Business day convention. + .. warning:: Instruments need to be sorted by tenor! """ @@ -145,12 +146,25 @@ cdef class YieldCurve(Curve): return yc def discount_factor(self, date): + """ computes the discount factor at a given date. + + Parameters + ---------- + date : :class:`datetime.date` + + Returns + ------- + float + """ if self._thisptr is NULL: raise ValueError('curve is empty') cdef TDate discount_date = pydate_to_TDate(date) return JpmcdsZeroPrice(self._thisptr, discount_date) def list_dates(self): + """ returns the list of instrument dates + + """ cdef size_t i return [TDate_to_pydate(self._dates[i]) for i in range(self._ninstr)] @@ -160,10 +174,10 @@ cdef class SpreadCurve(Curve): Parameters ---------- - today : datetime.date + today : :class:`datetime.date` yc : :class:`~pyisda.curve.YieldCurve` - start_date : datetime.date - step_in_date : datetime.date + start_date : :class:`datetime.date` + step_in_date : :class:`datetime.date` cash_settle_date: :class:`datetime.date` end_dates : list of :class:`datetime.date` coupon_rates : :class:`array.array` of double @@ -212,7 +226,6 @@ cdef class SpreadCurve(Curve): if self._thisptr == NULL: raise ValueError("something went wrong") - @classmethod def from_flat_hazard(cls, base_date, double rate, Basis basis = CONTINUOUS, str day_count_conv = 'Actual/365F'): @@ -230,7 +243,7 @@ cdef class SpreadCurve(Curve): day_count_cont : str, optional Default to 'Actual/365F' - """ + """ cdef TDate base_date_c = pydate_to_TDate(base_date) cdef SpreadCurve sc = cls.__new__(cls) cdef TDate max_date = 200000 # can go higher but this should be more than enough @@ -8,5 +8,6 @@ setup( name = "pyisda", version = '0.1', author = 'Guillaume Horel', - ext_modules = cythonize(extensions, nthreads = 4), + ext_modules = cythonize(extensions, nthreads = 4, + compiler_directives={'embedsignature':True}), packages = ['pyisda']) |