Metadata-Version: 1.1
Name: shortrate
Version: 0.1
Summary: risk factor model library python style.
Home-page: https://github.com/pbrisk/shortrate
Author: Deutsche Postbank AG [pbrisk]
Author-email: pbrisk@icloud.com
License: Apache License 2.0
Description: =========
        shortrate
        =========
        
        .. image:: https://img.shields.io/codeship/c1455c20-9d70-0134-6c98-327be1016a00/master.svg
            :target: https://codeship.com//projects/188651
        
        risk factor model library python style.
        
        
        Example Usage
        -------------
        
        .. code-block:: python
        
            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.cast(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.cast(d, mean_reversion=0.01, volatility=0.03, terminal_date=t)
            hwf = HullWhiteCurve.cast(f, mean_reversion=0.01, volatility=0.03, terminal_date=t)
            hwx = HullWhiteFxCurve.cast(r, hwd, hwf)
            hwxf = HullWhiteMultiCurrencyCurve.cast(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:
        
        .. code-block:: bash
        
            $ pip install shortrate
        
        If the above fails, please try easy_install instead:
        
        .. code-block:: bash
        
            $ easy_install shortrate
        
        
        Development Version
        -------------------
        
        The latest development version can be installed directly from GitHub:
        
        .. code-block:: bash
        
            $ pip install --upgrade git+https://github.com/pbrisk/shortrate.git
        
        
        Contributions
        -------------
        
        .. _issues: https://github.com/pbrisk/shortrate/issues
        .. __: https://github.com/pbrisk/shortrate/pulls
        
        Issues_ and `Pull Requests`__ are always welcome.
        
        
        License
        -------
        
        .. __: https://github.com/pbrisk/shortrate/raw/master/LICENSE
        
        Code and documentation are available according to the Apache Software License (see LICENSE__).
        
        
        
Platform: any
Classifier: Development Status :: 3 - Alpha
Classifier: Intended Audience :: Developers
Classifier: Intended Audience :: Education
Classifier: Intended Audience :: Financial and Insurance Industry
Classifier: License :: OSI Approved :: Apache Software License
Classifier: Operating System :: OS Independent
Classifier: Programming Language :: Python
Classifier: Programming Language :: Python :: 2
Classifier: Programming Language :: Python :: 2.6
Classifier: Programming Language :: Python :: 2.7
Classifier: Programming Language :: Python :: Implementation :: CPython
Classifier: Programming Language :: Python :: Implementation :: PyPy
Classifier: Topic :: Education
Classifier: Topic :: Office/Business
Classifier: Topic :: Office/Business :: Financial
Classifier: Topic :: Office/Business :: Financial :: Investment
Classifier: Topic :: Scientific/Engineering
Classifier: Topic :: Scientific/Engineering :: Mathematics
Classifier: Topic :: Utilities
Classifier: Topic :: Office/Business :: Scheduling
Classifier: Topic :: Software Development :: Libraries :: Python Modules
Classifier: Topic :: Software Development :: Localization
