tdone 0.1.4

TD ONE: A Python Package for Banking and Pricing

$ pip install tdone

Top level coding, reading from the standard input, responding in the stdout with print()

from sys import stdin
import json
import statistics
from tdone.pricer import SimpleResponse

new_quote = SimpleResponse()

# Get quotation request details as json
request = stdin.read()
details = json.loads(request)

if details.get("legs") is None or len(details["legs"]) == 0:
    new_quote.error("No legs found")
    print(new_quote)
    exit(1)

only_leg = details["legs"][0]
if only_leg.get("notional") is None or only_leg.get("currency") is None:
    new_quote.error("No notional or currency found")
    print(new_quote)
    exit(1)

notional = only_leg["notional"]
currency = only_leg["currency"]

# Get market data
with open(f"{currency}.mktdata") as f:
    market_data = json.load(f)

# Calculate
if notional < 0:
    new_quote.error(f"Negative notional value {notional}")
else:
    new_quote.value = notional * statistics.mean(market_data)

print(new_quote)

One function for one model, reading the market data from real-time updates from RabbitMQ and returning values as a function

from tdone.pricer import InstrumentPricer, MissingDataException, CalculationError

class InterestLinkedProductPricer(InstrumentPricer):
    async def async_price(self, quotation_request, quote):
        only_leg = quotation_request.legs[0]

        # Get market data
        curve = self.marketdata.zero_rate_curve(only_leg.currency, quotation_request.value_date)
        if len(curve) == 0:
            quote.warning(f"{only_leg.currency} curve is missing. Defaulting to USD zero curve")
            curve = self.marketdata.zero_rate_curve("USD", quotation_request.value_date)
            # To stop the calculation, use `throw MissingDataException()``

        subsequent_zero_rate = None
        for zero_rate in curve:
            if zero_rate.maturity > only_leg.maturity:
                subsequent_zero_rate = zero_rate.rate
                break

        if subsequent_zero_rate is None:
            quote.error(f"No subsequent zero rate found for {only_leg.maturity}")
            raise MissingDataException()

        if subsequent_zero_rate == 0.0 or subsequent_zero_rate is 1.0:
            quote.error(f"Subsequent zero rate is {subsequent_zero_rate}")
            raise CalculationError()

        quote.value = 100.0 * only_leg.notional (1 + subsequent_zero_rate)
        return quote