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from pyisda.curve import YieldCurve, BadDay, SpreadCurve
import sys
sys.path.append("/home/share/CorpCDOs/code/python")
from yieldcurve import getMarkitIRData, YC, rate_helpers
import datetime
import array
import math
from pyisda.cdsone import upfront_charge, spread_from_upfront
from pyisda.legs import FeeLeg, ContingentLeg
if __name__ == "__main__":
# build zero coupon curve
markit_data = getMarkitIRData()
yield_helpers = rate_helpers(MarkitData = markit_data)
ql_yc = YC(MarkitData=markit_data)
today_date = datetime.date.today()
step_in_date = today_date + datetime.timedelta(days=1)
value_date = datetime.date(2016, 7, 13) # settle_date
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)
zc = YieldCurve(today_date, types, periods, rates, 'ACT/360', '6M',
'3M', '30/360', 'ACT/360', BadDay.MODIFIED)
start_date = datetime.date(2016, 6, 20)
end_date = datetime.date(2021, 6, 20)
upfront_quote = -0.03063
spread = spread_from_upfront(today_date, today_date, today_date, step_in_date,
start_date, end_date, 0.05, zc,
upfront_quote, 0.3)
upf = upfront_charge(today_date, today_date, today_date, step_in_date,
start_date, end_date, 0.05, zc, spread, 0.3)
print(spread)
print(upf-upfront_quote)
coupon_leg = FeeLeg(start_date, end_date, True, 1000000, 0.01)
contingent_leg = ContingentLeg(start_date, end_date, 1000000)
print(contingent_leg.pay_type)
ig_spread = 0.0072175
spread = array.array('d', [ig_spread])
print("build spread curve", flush=True)
sc = SpreadCurve(today_date, zc, today_date, step_in_date,
value_date,
[end_date], spread, 0.4, 1)
sc_data = sc.inspect()['data']
rate = sc_data[0][1]
# by default the rate is stored as annually compounded
continuous_rate = math.log(1+rate)
sc2 = SpreadCurve.from_flat_hazard(today_date, continuous_rate)
coupon_leg_pv = coupon_leg.pv(today_date, step_in_date,
value_date, zc, sc, True)
coupon_leg_pv2 = coupon_leg.pv(today_date, step_in_date,
today_date, zc, sc2, True)
print("contingent leg pv", flush=True)
contingent_leg_pv = contingent_leg.pv(today_date, step_in_date,
value_date, zc, sc, 0.4)
contingent_leg_pv2 = contingent_leg.pv(today_date, step_in_date,
today_date, zc, sc2, 0.4)
print("upfront_charge", flush=True)
pv = 1000000 * upfront_charge(today_date, value_date, today_date, step_in_date,
start_date, end_date, 0.01, zc, ig_spread, 0.4)
print(pv, contingent_leg_pv-coupon_leg_pv)
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