diff options
| -rw-r--r-- | Makefile | 4 | ||||
| -rw-r--r-- | docs/api.rst | 15 | ||||
| -rw-r--r-- | pyisda/curve.pyx | 1 | ||||
| -rw-r--r-- | pyisda/legs.pyx | 72 |
4 files changed, 89 insertions, 3 deletions
@@ -8,5 +8,7 @@ clean: install: pip install . -docs: +docs: build make -C docs html + +.PHONY: build docs clean diff --git a/docs/api.rst b/docs/api.rst index 253ddd5..c87674a 100644 --- a/docs/api.rst +++ b/docs/api.rst @@ -1,8 +1,8 @@ PyISDA ====== -:mod:`~pyisda.cdsone` contains the two work horse functions of the library, -which allow to convert back and forth from upfront to spread +:mod:`~pyisda.cdsone` contains the two workhorse functions of the library, +which allow to convert back and forth from upfront to spread. .. autosummary:: pyisda.cdsone.upfront_charge @@ -21,3 +21,14 @@ which allow to convert back and forth from upfront to spread .. automodule:: pyisda.curve :members: :undoc-members: + +:mod:`~pyisda.legs` contains two types of Legs: + +.. autosummary:: + pyisda.legs.FeeLeg + pyisda.legs.ContingentLeg + + +.. automodule:: pyisda.legs + :members: + :undoc-members: diff --git a/pyisda/curve.pyx b/pyisda/curve.pyx index 52ddab7..9e2f2e9 100644 --- a/pyisda/curve.pyx +++ b/pyisda/curve.pyx @@ -210,6 +210,7 @@ cdef class SpreadCurve(Curve): coupon_rates : :class:`array.array` of double recovery_rate : float pay_accrued_on_default : bool, optional + Default to True """ diff --git a/pyisda/legs.pyx b/pyisda/legs.pyx index 1a66af3..ea19b72 100644 --- a/pyisda/legs.pyx +++ b/pyisda/legs.pyx @@ -4,6 +4,17 @@ from cdsone cimport JpmcdsStringToStubMethod, TStubMethod from curve cimport YieldCurve, SpreadCurve cdef class ContingentLeg: + """ + Initialize a ContingentLeg. + + Parameters + ---------- + startdate : :class:`datetime.date` + end_date : :class:`datetime.date` + notional : float + protect_start : bool, optional + if True, protection starts at beginning of day. Default to True. + """ def __cinit__(self, start_date, end_date, double notional, TBoolean protect_start = True): @@ -21,6 +32,21 @@ cdef class ContingentLeg: def pv(self, today, step_in_date, value_date, YieldCurve yc, SpreadCurve sc, double recovery_rate): + """ + Present Value of the ContingentLeg cashflows. + + Parameters + ---------- + today : :class:`datetime.date` + step_in_date : :class:`datetime.date` + date at which protection starts (usually `today` + 1) + value_date : :class:`datetime.date` + date at which cashflows are exchanged (usually `today` + 3 business days) + yc : :class:`~pyisda.curve.YieldCurve` + sc : :class:`~pyisda.curve.SpreadCurve` + recovery_rate : float + """ + cdef TDate today_c = pydate_to_TDate(today) cdef TDate step_in_date_c = pydate_to_TDate(step_in_date) cdef TDate value_date_c = pydate_to_TDate(value_date) @@ -32,7 +58,25 @@ cdef class ContingentLeg: raise ValueError cdef class FeeLeg: + """ + Initialize a FeeLeg. + Parameters + ---------- + startdate : :class:`datetime.date` + date when protection begins. Either start or end of day (depending on + `protect_start`) + end_date : :class:`datetime.date` + date when protection ends (end of day) + pay_accrued_on_default : bool + Usually set to True + notional : float + coupon_rate : float + payment_dcc : string, optional + Default 'ACT/360' + protect_start : bool, optional + if True, protection starts at beginning of day. Default to True. + """ def __cinit__(self, start_date, end_date, TBoolean pay_accrued_on_default, double notional, double coupon_rate, str payment_dcc = 'ACT/360', TBoolean protect_start = True): @@ -57,6 +101,7 @@ cdef class FeeLeg: raise ValueError def inspect(self): + """convenience method to study the C struct""" cdef list acc_start_dates = [] cdef list acc_end_dates = [] cdef list pay_dates = [] @@ -71,6 +116,7 @@ cdef class FeeLeg: @property def cashflows(self): + """Cashflow schedule""" cdef TCashFlowList* cfl = JpmcdsFeeLegFlows(self._thisptr) cdef TCashFlow cf result = [] @@ -81,6 +127,22 @@ cdef class FeeLeg: def pv(self, today, step_in_date, value_date, YieldCurve yc, SpreadCurve sc, TBoolean pay_accrued_at_start): + """ + Present Value of FeeLeg cashflows. + + Parameters + ---------- + today : :class:`datetime.date` + step_in_date : :class:`datetime.date` + date at which protection starts (usually `today` + 1) + value_date : :class:`datetime.date` + date at which cashflows are exchanged (usually `today` + 3 business days) + yc : :class:`~pyisda.curve.YieldCurve` + sc : :class:`~pyisda.curve.SpreadCurve` + pay_accrued_at_start : bool + True means clean + + """ cdef TDate today_c = pydate_to_TDate(today) cdef TDate step_in_date_c = pydate_to_TDate(step_in_date) cdef TDate value_date_c = pydate_to_TDate(value_date) @@ -92,6 +154,16 @@ cdef class FeeLeg: raise ValueError def accrued(self, today): + """Accrued amount as of today + + Parameters + ---------- + today : :class:`datetime.date` + + Return + ------ + float + """ cdef double ai FeeLegAI(self._thisptr, pydate_to_TDate(today), &ai) return ai |