Python library shortrate
Risk factor model library python style.
Example Usage
from businessdate import BusinessDate, BusinessRange
from dcf import ZeroRateCurve, FxCurve
from timewave import Consumer, Engine
from shortrate import RiskFactorProducer, GBMFxCurve, HullWhiteCurve, HullWhiteFxCurve, HullWhiteMultiCurrencyCurve
s = BusinessDate()
t = s + '10y'
g = BusinessRange(s, t, '6M')
d = ZeroRateCurve([s], [0.05])
f = ZeroRateCurve([s], [0.04])
x = FxCurve([s], [.8], domestic_curve=d, foreign_curve=f)
r = GBMFxCurve.build(x, volatility=0.2)
print r.evolve(1., s, s + '1y', 0.01)
print r.get_fx_rate(s + '3y'), r._factor_date
print r.evolve(1., s + '1y', s + '5y', 0.1)
print r.get_fx_rate(s + '7y'), r._factor_date
hwd = HullWhiteCurve.build(d, mean_reversion=0.01, volatility=0.03, terminal_date=t)
hwf = HullWhiteCurve.build(f, mean_reversion=0.01, volatility=0.03, terminal_date=t)
hwx = HullWhiteFxCurve.build(r, hwd, hwf)
hwxf = HullWhiteMultiCurrencyCurve.build(hwf, hwd, hwx)
print hwd.evolve(1., s, s + '1y', 0.01)
print hwf.evolve(1., s, s + '1y', 0.02)
print hwx.evolve(1., s, s + '1y', (0.01, 0.02, 0.01))
print hwxf.evolve(1., s, s + '1y', 0.02)
func = (lambda x: hwd.get_cash_rate(t - '1y'))
c = Consumer(lambda x: func(x.date))
res = Engine(RiskFactorProducer(hwd), c).run(g, 100)
print res
Install
The latest stable version can always be installed or updated via pip:
$ pip install shortrate
If the above fails, please try easy_install instead:
$ easy_install shortrate
Development Version
The latest development version can be installed directly from GitHub:
$ pip install --upgrade git+https://github.com/pbrisk/shortrate.git
Contributions
Issues and Pull Requests are always welcome.
License
Code and documentation are available according to the Apache Software License (see LICENSE).