Skip to main content
# Quant Python ToolKit

This package is intended to be a layer above QuantLib Python and a few other quantitative libraries
to be more accessible for quantitative finance calculations.

## Minimal Example
Here is a minimal example for valuing a bond using a provided zero rates.

from qtk import Controller, Field as F, Template as T

data = [{
'Compounding': 'Compounded',
'CompoundingFrequency': 'Annual',
'Currency': 'USD',
'DiscountBasis': '30/360',
'DiscountCalendar': 'UnitedStates',
'ListOfDate': ['1/15/2015', '7/15/2015', '1/15/2016'],
'ListOfZeroRate': [0.0, 0.005, 0.007],
'ObjectId': 'USD.Zero.Curve',
'Template': 'TermStructure.Yield.ZeroCurve'},
{
'DiscountCurve': '->USD.Zero.Curve',
'ObjectId': 'BondEngine',
'Template': 'Engine.Bond.Discounting'},
{
'AccrualCalendar': 'UnitedStates',
'AccrualDayConvention': 'Unadjusted',
'AsOfDate': '2016-01-15',
'Coupon': 0.06,
'CouponFrequency': 'Semiannual',
'Currency': 'USD',
'DateGeneration': 'Backward',
'EndOfMonth': False,
'IssueDate': '2015-01-15',
'MaturityDate': '2016-01-15',
'ObjectId': 'USD.TBond',
'PaymentBasis': '30/360',
'PricingEngine': '->BondEngine',
'Template': 'Instrument.Bond.TreasuryBond'}]

res = Controller(data)
asof_date = "1/15/2015"

ret = res.process(asof_date)
tbond = res.object("USD.TBond")
print tbond.NPV()


The basic idea here is that once you have the data prepared, the `Controller` can be invoked to do the calculations.
A few points that are worth noting here.

- All the data is textual and rather intuitive. For instance, the coupon
frequency is just stated as `Annual` or `Semiannual`. The same is true for a lot of other fields. For dates,
the `dateutil` package is used to parse and covers a wide variety of formats.

- The `data` is essentially a `list` of `dict` with each `dict` corresponding to a specific `object` as determined
by the value to the key `Template` in each `dict`. Each `object` here has a name as specified by the value of the
key `ObjectId`

- One of the values can refer to another object described by a `dict` by using the `reference` syntax. For instance,
the first `dict` in the `data` list (with `ObjectId` given as *USD.Zero.Curve* ) variable refers to an interest
rate term structure of zero rates. The next object is a discounting bond engine, and require an yield curve as
input for the discount curve. Here the yield curve is refered by using the prefix `->` along with the name of the
object we are referring to.

- Here, the `Controller` parses the data, and figures out the dependency and processes the object in the correct order
and fulfills the dependencies behind the scenes.

## Introspection

There are a few convenience methods that provide help on how to construct the data packet. For example,
the `help` method in the template prints out the summary and list of fields on how to construct
the data packet for the template.

> T.TS_YIELD_BOND.help()

**Description**

A template for creating yield curve by stripping bond quotes.

**Required Fields**

- `Template` [*Template*]: 'TermStructure.Yield.BondCurve'
- `InstrumentCollection` [*List*]: Collection of instruments
- `AsOfDate` [*Date*]: Reference date or as of date
- `Country` [*String*]: Country
- `Currency` [*String*]: Currency

**Optional Fields**

- `ObjectId` [*String*]: A unique name or identifier to refer to this dictionary data
- `InterpolationMethod` [*String*]: The interpolation method can be one of the following choices: LinearZero, CubicZero, FlatForward, LinearForward,LogCubicDiscount.
- `DiscountBasis` [*DayCount*]: Discount Basis
- `SettlementDays` [*Integer*]: Settlement days
- `DiscountCalendar` [*Calendar*]: Discount Calendar

The `help` method prints the description in `info` method in Markdown format. While using IPython/Jupyter notebooks, the description
prints in a nice looking format. One can start with a sample data packet to fill out the input fields using the `sample_data` method.

> T.TS_YIELD_BOND.sample_data()

{'AsOfDate': 'Required (Date)',
'Country': 'Required (String)',
'Currency': 'Required (String)',
'DiscountBasis': 'Optional (DayCount)',
'DiscountCalendar': 'Optional (Calendar)',
'InstrumentCollection': 'Required (List)',
'InterpolationMethod': 'Optional (String)',
'ObjectId': 'Optional (String)',
'SettlementDays': 'Optional (Integer)',
'Template': 'TermStructure.Yield.BondCurve'}


## Installation

You can install qtk using `pip` or `easy_install`

pip install qtk

or

easy_install qtk

`qtk` has a dependency on `QuantLib-Python` which needs to be installed as well.


Metadata

Release files for qtk 0.1.3

For a detailed explanation of source distributions (sdists) and built distributions (wheels), please see the package formats documentation.

Source distribution (sdist)

Source distribution for qtk 0.1.3
File Size Uploaded
qtk-0.1.3.zip 45.8 kB Details

Release files / qtk-0.1.3.zip

Download URL qtk-0.1.3.zip
Size 45.8 kB
Tags Source
SHA-256 checksum
How to use checksums
d421f221deee857e02bb0aaadc97b18abe5e93f4599768df72b1def30df131f1
BLAKE2b-256 checksum
How to use checksums
5f01652686261a836fb0a05b9b05398dfa5a09a523392b494ba0ca00c86f0fed
Upload date
Uploaded using Trusted Publishing?
What is trusted publishing?
No

Release history Release notifications | RSS feed

This release

0.1.3 This release

1 release file

0.1.2

1 release file

0.1.1

1 release file

0.1.0

1 release file

0.0.0

1 release file

Anthropic, PBC Visionary sponsor Bloomberg Visionary sponsor Hudson River Trading Visionary sponsor Meta Visionary sponsor NVIDIA Visionary sponsor Microsoft Sustainability sponsor Depot Continuous Integration AWS Cloud computing and Security Sponsor Datadog Monitoring Fastly CDN Google Download Analytics Sentry Error logging StatusPage Status page