structools 0.17.11

: Helpful tools for QIS and Pricing Structuring teams

structools

Helpful tools for QIS and Pricing Structuring teams

Installation

$ pip install structools

Usage

Every new functionality developed in this package has been interfaced so you have very little to do!

Start by creating a file launch.py with the following lines

from structools.launch import start

if __name__ == "__main__":

    start()

Then open the terminal in the folder where the file launch.py is located and simply run the following command

$ streamlit run launch.py

Welcome to Structools!

Advanced/Further Development

For those willing to dive deeper into the code, please find below a brief way to generate your backtest:

import numpy as np
from structools.tools.date_tools import DateModel
from structools.products.basic_products import Basket
from structools.products.autocalls import Phoenix, Athena
from src.structools.backtest.backtester import Backtester

# Underlying creation Worst-Of 2
nominal = 1_000_000
L_COMPO = ["AAPL", "^FCHI", "^SPX", "MSFT"]
N = len(L_COMPO)
arr_weights = np.ones(N) * 1/N
basket_wof = Basket.from_params(
    size=nominal,
    N=2,
    name="WOF2",
    worst=True,
    best=False,
    weights=arr_weights
)

# Create default phoenix with custom underlying
my_phoenix = Phoenix.from_params(underlying=basket_wof)
my_phoenix.set_parameter("coupon", 0.1)                 # Changing the coupon value to 10

# Configure the backtest - 10 years history for the my_phoenix product
history_length = 10
backtester = Backtester.init_backtester(
    product=my_phoenix,
    backtest_length=history_length,
    investment_horizon=my_phoenix.maturity
)

# Running the backtest
dict_res = backtester.backtester_autocall()

All the functionalities of the root package of this package are still available via the following command:

import pybacktestchain

The relevant information about this pacakage is available here: https://pypi.org/project/pybacktestchain/

Contributing

Interested in contributing? Check out the contributing guidelines. Please note that this project is released with a Code of Conduct. By contributing to this project, you agree to abide by its terms.

License

structools was created by Romain Pifaut. It is licensed under the terms of the MIT license.

Credits

structools was created with cookiecutter and the py-pkgs-cookiecutter template.