API Wrapper for OTCStreaming.
Project description
Hellebore OtcStreaming
API Wrapper for the OTCStreaming'API.
Features :
- ISDA Calculator on the base of the OTCStraming's calculator
Installation
pip install ...
Usage
ISDA Calculator
In order to get ISDA prices for the index ITXEB536 :
from hellebore_otcstreaming import isda_calculator, ProductInfo
ticker = ProductInfo.from_mnemonic("ITXEB535", "2022-05-01")
prices = isda_calculator(ticker, "2022-05-01", price = 10)
prices is a dict holding values of several price types :
{"cashAmount": 38144.17450850366,
"isdaInterestCurve": "02-May-2022 EUR",
"prices": {"CS01": 4.23495037684285,
"DirtyUpfront": -3.8144174508503657,
"FullUpfront": 0.410861198242655,
"Price": 103.6977507841837,
"RiskyBp": 4.108611982426353,
"Spread": 10.0,
"Upfront": -3.697750784183699}}
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