Metadata-Version: 2.1
Name: shortrate
Version: 0.3
Summary: risk factor model library python style.
Home-page: https://github.com/sonntagsgesicht/shortrate
Author: sonntagsgesicht, based on a fork of Deutsche Postbank [pbrisk]
Author-email: sonntagsgesicht@icloud.com
License: Apache License 2.0
Platform: any
Classifier: Development Status :: 3 - Alpha
Classifier: Intended Audience :: Education
Classifier: Intended Audience :: Developers
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 :: 2.7
Classifier: Programming Language :: Python :: 3
Classifier: Programming Language :: Python :: 3.5
Classifier: Programming Language :: Python :: 3.6
Classifier: Programming Language :: Python :: 3.7
Classifier: Topic :: Education
Classifier: Topic :: Office/Business
Classifier: Topic :: Office/Business :: Financial
Classifier: Topic :: Scientific/Engineering
Classifier: Topic :: Scientific/Engineering :: Mathematics
Classifier: Topic :: Utilities
Classifier: Topic :: Office/Business :: Scheduling
Classifier: Topic :: Software Development :: Libraries :: Python Modules
Requires-Dist: businessdate
Requires-Dist: timewave
Requires-Dist: dcf
Requires-Dist: scipy



Python library *shortrate*
--------------------------

.. image:: https://img.shields.io/codeship/adb6fa50-ba2a-0137-d9c4-4a1d2f2d4303/master.svg
   :target: https://codeship.com//projects/364774
   :alt: CodeShip

.. image:: https://travis-ci.org/sonntagsgesicht/shortrate.svg?branch=master
   :target: https://travis-ci.org/sonntagsgesicht/shortrate
   :alt: Travis ci

.. image:: https://img.shields.io/readthedocs/shortrate
   :target: http://shortrate.readthedocs.io
   :alt: Read the Docs

.. image:: https://img.shields.io/codefactor/grade/github/sonntagsgesicht/shortrate/master
   :target: https://www.codefactor.io/repository/github/sonntagsgesicht/shortrate
   :alt: CodeFactor Grade

.. image:: https://img.shields.io/codeclimate/maintainability/sonntagsgesicht/shortrate
   :target: https://codeclimate.com/github/sonntagsgesicht/shortrate/maintainability
   :alt: Code Climate maintainability

.. image:: https://img.shields.io/codecov/c/github/sonntagsgesicht/shortrate
   :target: https://codecov.io/gh/sonntagsgesicht/shortrate
   :alt: Codecov

.. image:: https://img.shields.io/lgtm/grade/python/g/sonntagsgesicht/shortrate.svg
   :target: https://lgtm.com/projects/g/sonntagsgesicht/shortrate/context:python/
   :alt: lgtm grade

.. image:: https://img.shields.io/lgtm/alerts/g/sonntagsgesicht/shortrate.svg
   :target: https://lgtm.com/projects/g/sonntagsgesicht/shortrate/alerts/
   :alt: total lgtm alerts

.. image:: https://img.shields.io/github/license/sonntagsgesicht/shortrate
   :target: https://github.com/sonntagsgesicht/shortrate/raw/master/LICENSE
   :alt: GitHub

.. image:: https://img.shields.io/github/release/sonntagsgesicht/shortrate?label=github
   :target: https://github.com/sonntagsgesicht/shortrate/releases
   :alt: GitHub release

.. image:: https://img.shields.io/pypi/v/shortrate
   :target: https://pypi.org/project/shortrate/
   :alt: PyPI Version

.. image:: https://img.shields.io/pypi/pyversions/shortrate
   :target: https://pypi.org/project/shortrate/
   :alt: PyPI - Python Version

.. image:: https://img.shields.io/pypi/dm/shortrate
   :target: https://pypi.org/project/shortrate/
   :alt: PyPI Downloads


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.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:

.. 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__).




