# -*- coding: utf-8 -*-
# shortrate
# ---------
# risk factor model library python style.
#
# Author: sonntagsgesicht, based on a fork of Deutsche Postbank [pbrisk]
# Version: 0.3, copyright Wednesday, 18 September 2019
# Website: https://github.com/sonntagsgesicht/shortrate
# License: Apache License 2.0 (see LICENSE file)
from scipy import integrate
from dcf import DateCurve, ZeroRateCurve, Price, FxRate
from .risk_factor_model import RiskFactorModel
from timewave import TimeDependentWienerProcess, TimeDependentGeometricBrownianMotion
[docs]class GaussRiskFactorModel(RiskFactorModel, TimeDependentWienerProcess):
""" risk factor modeled as `timewave.TimeDependentWienerProcess` """
@property
def drift(self):
return self._mu
@property
def volatility(self):
return self._sigma
def __init__(self, inner_factor, mu=0.0, sigma=0.0, time=.0027378507871321013, start=0.0):
# super(GaussRiskFactorModel, self).__init__()
RiskFactorModel.__init__(self, inner_factor=inner_factor, start=start)
TimeDependentWienerProcess.__init__(self, mu=mu, sigma=sigma, time=time, start=start)
# re-init RiskFactor properties due to funny calls of __init__ in __mro__
self._inner_factor = inner_factor
self._factor_value = self.start
self._factor_date = self._initial_factor_date
# TimeDependentWienerProcess methods
def _integrate(self, f, s, e):
result, _ = integrate.quad(f, s, e)
return result
[docs]class GeometricBrownianMotionRiskFactorModel(GaussRiskFactorModel, TimeDependentGeometricBrownianMotion):
""" risk factor modeled as `timewave.TimeDependentGeometricBrownianMotion` """
pass
[docs]class GeometricBrownianMotionPriceFactorModel(Price, GeometricBrownianMotionRiskFactorModel):
""" risk factor modeled as |GeometricBrownianMotionRiskFactorModel| """
@property
def value(self):
return self._factor_value
@property
def origin(self):
return self._factor_date
def __init__(self, inner_factor, drift=0.0, volatility=0.0):
Price.__init__(self, inner_factor.value, inner_factor.origin)
GeometricBrownianMotionRiskFactorModel.__init__(self, inner_factor, drift, volatility, start=inner_factor.value)
[docs]class GeometricBrownianMotionPrice(GeometricBrownianMotionPriceFactorModel):
def __init__(self, value=0.0, origin=None, day_count=None, drift=0.0, volatility=0.0):
inner_factor = Price(value, origin)
super(GeometricBrownianMotionPrice, self).__init__(inner_factor, drift, volatility)
[docs]class GeometricBrownianMotionFxRateFactorModel(FxRate, GeometricBrownianMotionRiskFactorModel):
@property
def value(self):
return self._factor_value
@property
def origin(self):
return self._factor_date
def __init__(self, inner_factor, domestic_curve=None, foreign_curve=None, volatility=0.0):
domestic_curve = ZeroRateCurve([inner_factor.origin], [0.]) if domestic_curve is None else domestic_curve
foreign_curve = domestic_curve if foreign_curve is None else foreign_curve
diff_curve = foreign_curve.cast(ZeroRateCurve) - domestic_curve.cast(ZeroRateCurve)
domain = diff_curve.domain
data = list(diff_curve.derivative(d) for d in domain)
drift = DateCurve(domain, data, origin=inner_factor.origin, day_count=domestic_curve.day_count).to_curve()
FxRate.__init__(self, inner_factor.value, inner_factor.origin)
GeometricBrownianMotionRiskFactorModel.__init__(self, inner_factor, drift, volatility, start=inner_factor.value)
[docs]class GeometricBrownianMotionFxRate(GeometricBrownianMotionFxRateFactorModel):
def __init__(self, value=1.0, origin=None, day_count=None, domestic_curve=None, foreign_curve=None, volatility=0.0):
inner_factor = FxRate(value, origin)
super(GeometricBrownianMotionFxRate, self).__init__(inner_factor, domestic_curve, foreign_curve, volatility)
[docs]class GaussFlatSpreadZeroRateCurveFactorModel(ZeroRateCurve, GaussRiskFactorModel):
def __init__(self, inner_factor, drift=0.0, volatility=0.0):
GaussRiskFactorModel.__init__(self, inner_factor, drift, volatility, start=0.0)
ZeroRateCurve.__init__(self, inner_factor.domain, inner_factor(inner_factor.domain), inner_factor.interpolation,
inner_factor.origin, inner_factor.day_count, inner_factor.forward_tenor)
def __call__(self, x):
if isinstance(x, (tuple, list)):
return [self(xx) for xx in x]
return self._get_compounding_rate(self.origin, x)
def _get_compounding_rate(self, start, stop):
return self.inner_factor.get_zero_rate(start, stop) + self._factor_value
[docs]class GaussFlatSpreadZeroRateCurve(GaussFlatSpreadZeroRateCurveFactorModel):
""" simple Brownian motion rate diffusion """
def __init__(self, domain=None, data=None, interpolation=None,
origin=None, day_count=None, forward_tenor=None,
drift=0.0, volatility=0.0):
inner_factor = ZeroRateCurve(domain, data, interpolation, origin, day_count, forward_tenor)
super(GaussFlatSpreadZeroRateCurve, self).__init__(inner_factor, drift, volatility)