tdone 0.1.3

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}")
            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