tdone 0.1.2

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
from tdone.pricer import SimpleResponse

new_quote = SimpleResponse()

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

if details.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.notional is None:
    new_quote.error("No notional found")
    print(new_quote)
    exit(1)

notional = only_leg.notional

# Get market data
market_data = (1.0, 0.5, 0.25, 0.1, 0.05, 0.01)

# Calculate
if new_quote.value < 0:
    new_quote.error("Negative value")
else:
    new_quote.value = notional * avg(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}")
            throw MissingDataException()

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

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