Coverage for rivapy / pricing / pricing_request.py: 40%
302 statements
« prev ^ index » next coverage.py v7.12.0, created at 2025-11-27 14:36 +0000
1# -*- coding: utf-8 -*-
4from datetime import date, datetime
5from typing import List as _List, Union as _Union
6from rivapy.tools.interfaces import FactoryObject
7from rivapy.tools.datetools import _date_to_datetime as datetime_to_date, _datetime_to_date_list as datetime_to_date_list
10class PricingRequestBase(FactoryObject):
12 _keys = ["theo_val", "paths_udl", "cf_expected", "cf_paths"]
14 def __init__(self, **kwargs):
15 # validate the given keys
16 for key in kwargs.keys():
17 if key not in PricingRequestBase._keys:
18 raise ValueError("Unknown key '{}'".format(key))
19 # set the attributes
20 setattr(self, key, kwargs[key])
22 def _to_dict(self) -> dict:
23 return self.__dict__
26class DepositPricingRequest(PricingRequestBase):
28 def __init__(self, theo_val: bool, cf_paths: bool = False, cf_expected: bool = False):
29 """Configuration of set of information to be calculated for the Deposit's price.
30 Restrict the general PricingRequest to the sub-set relevant for the pricing of deposits.
31 """
33 super().__init__(theo_val=theo_val, cf_paths=cf_paths, cf_expected=cf_expected)
36class GreenPPAPricingRequest(PricingRequestBase):
37 def __init__(self, theo_val: bool = False, cf_paths: bool = False, cf_expected: bool = False):
38 """PricingRequest for Green PPA pricing.
40 Args:
41 price (bool): If True, the :term:`Theoretical Value` is calculated.
42 cf_expected (bool, optional): If True, the paths of the simulated :term:`Cash flow` is returned. Defaults to False.
43 """
44 super().__init__(theo_val=theo_val, cf_expected=cf_expected, cf_paths=cf_paths)
47class PricingRequest:
48 # def __init__(self, calc_delta_gamma: bool = False, calc_cross_gamma: bool = True, calc_clean_price: bool = False,
49 # calc_rho: bool = False, rho_scale: float = 0.0001, calc_vega: bool = False, vega_scale: float = 0.01,
50 # calc_cross_volga: bool = False, calc_vanna: bool = False, calc_theta: bool = False,
51 # theta_scale: float = 1.0, calc_spline: bool = False, calc_grid_sizes: bool = False,
52 # calc_implied_volatility: bool = False, management_delta_limit: float = 0.01,
53 # calc_pricing_data: bool = False, calc_expected_cashflows: bool = False,
54 # calc_simulation_data: bool = False, calc_additional_information: bool = False,
55 # calc_z_spread: bool = False, calc_yield_to_maturity: bool = False, calc_convexity: bool = False,
56 # max_expected_cashflow_date: _Union[date, datetime] = None,
57 # cashflow_times: _List[_Union[date, datetime]] = None, calc_macaulay_duration: bool = False):
58 # """
59 # Defines the set of information, e.g. sensitivities, cashflow information, etc., to be calculated together with
60 # the instrument's price in the context of pricing. For some sensitivities the shift parameter for calculating
61 # the difference quotient (rather than the sensitivity in closed formula) is also stored in the pricing request
62 # object.
63 #
64 # Args: TODO: Read carefully and double-check if these guessed descriptions are valid!
65 # calc_delta_gamma (bool, optional): Flag determining if the change of the instrument's price associated with
66 # small changes of the underlying's price shall be calculated to first (and
67 # second) order within the pricing routine. Defaults to False.
68 # TODO: also second order? delta_scale=?
69 # calc_cross_gamma (bool, optional): Flag determining if the change of the instrument's price associated with
70 # small changes of two underlyings' prices (both at fist order) shall be
71 # calculated within the pricing routine. Defaults to True.
72 # TODO: why defaults to True?
73 # calc_clean_price (bool, optional): Flag determining if the instrument's clean price shall be calculated
74 # additional to its dirty price within the pricing routine.
75 # Defaults to False.
76 # calc_rho (bool, optional): Flag determining if the change of the instrument's price associated with small
77 # changes of the zero rate curve shall be calculated to first order within the
78 # pricing routine. Defaults to False.
79 # rho_scale (float, optional): Size of zero rate shift in the calculation of the change of the instrument's
80 # price associated with zero rate curve shifts as difference quotient.
81 # Defaults to 0.0001 (= 1 basis point).
82 # calc_vega (bool, optional): Flag determining if the change of the instrument's price associated with small
83 # changes of the implied volatility surface shall be calculated to first order
84 # within the pricing routine. Defaults to False.
85 # vega_scale (float, optional): Size of implied volatility shift in the calculation of the change of the
86 # instrument's price associated with implied volatility surface shifts as
87 # difference quotient. Defaults to 0.01.
88 # calc_cross_volga (bool, optional): Flag determining if the change of the instrument's price associated with
89 # small changes of two implied volatility surfaces (both at first order)
90 # shall be calculated within the pricing routine. Defaults to True.
91 # TODO: why defaults to True?
92 # calc_vanna (bool, optional): Flag determining if the change of the instrument's price associated with small
93 # changes of the underlying's price and the implied volatility surface (both at
94 # first order) shall be calculated within the pricing routine. Defaults to False.
95 # TODO: why defaults to False in contrast to cross Gamma/Volga?
96 # calc_theta (bool, optional): Flag determining if the change of the instrument's price associated with small
97 # changes of the instrument's maturity shall be calculated to first order within
98 # the pricing routine. Defaults to False.
99 # theta_scale (float, optional): Size of maturity shift in the calculation of the change of the instrument's
100 # price associated with maturity shifts as difference quotient. Defaults to 1.0
101 # calc_spline (bool, optional):
102 # calc_grid_sizes (bool, optional):
103 # calc_implied_volatility (bool, optional):
104 # management_delta_limit (float, optional):
105 # calc_pricing_data (bool, optional):
106 # calc_expected_cashflows (bool, optional):
107 # calc_simulation_data (bool, optional):
108 # calc_additional_information (bool, optional):
109 # calc_z_spread (bool, optional): Flag determining if the instrument's z-spread shall be calculated within the
110 # pricing routine. Defaults to False.
111 # calc_yield_to_maturity (bool, optional): Flag determining if the instrument's yield-to-maturity shall be
112 # calculated within the pricing routine. Defaults to False.
113 # calc_convexity (bool, optional): Flag determining if the change of the instrument's price associated with
114 # small changes of the zero rate curve shall be calculated to second order
115 # within the pricing routine. Defaults to False.
116 # max_expected_cashflow_date (_Union[date, datetime], optional):
117 # cashflow_times (_List[_Union[date, datetime]], optional):
118 # calc_macaulay_duration (bool, optional): Flag determining if the instrument's Macaulay duration shall be
119 # calculated within the pricing routine. Defaults to False.
120 # """
121 def __init__(
122 self,
123 calc_delta_gamma: bool = None,
124 calc_cross_gamma: bool = None,
125 calc_clean_price: bool = None,
126 calc_rho: bool = None,
127 rho_scale: float = None,
128 calc_vega: bool = None,
129 vega_scale: float = None,
130 calc_cross_volga: bool = None,
131 calc_vanna: bool = None,
132 calc_theta: bool = None,
133 theta_scale: float = None,
134 calc_spline: bool = None,
135 calc_grid_sizes: bool = None,
136 calc_implied_volatility: bool = None,
137 management_delta_limit: float = None,
138 calc_pricing_data: bool = None,
139 calc_expected_cashflows: bool = None,
140 calc_simulation_data: bool = None,
141 calc_additional_information: bool = None,
142 calc_z_spread: bool = None,
143 calc_yield_to_maturity: bool = None,
144 calc_convexity: bool = None,
145 max_expected_cashflow_date: _Union[date, datetime] = None,
146 cashflow_times: _List[_Union[date, datetime]] = None,
147 calc_macaulay_duration: bool = None,
148 ):
149 """
150 Defines the set of information, e.g. sensitivities, cashflow information, etc., to be calculated together with
151 the instrument's price in the context of pricing. For some sensitivities the shift parameter for calculating
152 the difference quotient (rather than the sensitivity in closed formula) is also stored in the pricing request
153 object.
155 Args: TODO: Read carefully and double-check if these guessed descriptions are valid!
156 calc_delta_gamma (bool, optional): Flag determining if the change of the instrument's price associated with
157 small changes of the underlying's price shall be calculated to first (and
158 second) order within the pricing routine. Defaults to None.
159 TODO: also second order? delta_scale=?
160 calc_cross_gamma (bool, optional): Flag determining if the change of the instrument's price associated with
161 small changes of two underlyings' prices (both at fist order) shall be
162 calculated within the pricing routine. Defaults to None.
163 calc_clean_price (bool, optional): Flag determining if the instrument's clean price shall be calculated
164 additional to its dirty price within the pricing routine.
165 Defaults to None.
166 calc_rho (bool, optional): Flag determining if the change of the instrument's price associated with small
167 changes of the zero rate curve shall be calculated to first order within the
168 pricing routine. Defaults to None.
169 rho_scale (float, optional): Size of zero rate shift in the calculation of the change of the instrument's
170 price associated with zero rate curve shifts as difference quotient.
171 Defaults to None.
172 calc_vega (bool, optional): Flag determining if the change of the instrument's price associated with small
173 changes of the implied volatility surface shall be calculated to first order
174 within the pricing routine. Defaults to None.
175 vega_scale (float, optional): Size of implied volatility shift in the calculation of the change of the
176 instrument's price associated with implied volatility surface shifts as
177 difference quotient. Defaults to None.
178 calc_cross_volga (bool, optional): Flag determining if the change of the instrument's price associated with
179 small changes of two implied volatility surfaces (both at first order)
180 shall be calculated within the pricing routine. Defaults to None.
181 calc_vanna (bool, optional): Flag determining if the change of the instrument's price associated with small
182 changes of the underlying's price and the implied volatility surface (both at
183 first order) shall be calculated within the pricing routine. Defaults to None.
184 calc_theta (bool, optional): Flag determining if the change of the instrument's price associated with small
185 changes of the instrument's maturity shall be calculated to first order within
186 the pricing routine. Defaults to None.
187 theta_scale (float, optional): Size of maturity shift in the calculation of the change of the instrument's
188 price associated with maturity shifts as difference quotient.
189 Defaults to None
190 calc_spline (bool, optional):
191 calc_grid_sizes (bool, optional):
192 calc_implied_volatility (bool, optional):
193 management_delta_limit (float, optional):
194 calc_pricing_data (bool, optional):
195 calc_expected_cashflows (bool, optional):
196 calc_simulation_data (bool, optional):
197 calc_additional_information (bool, optional):
198 calc_z_spread (bool, optional): Flag determining if the instrument's z-spread shall be calculated within the
199 pricing routine. Defaults to None.
200 calc_yield_to_maturity (bool, optional): Flag determining if the instrument's yield-to-maturity shall be
201 calculated within the pricing routine. Defaults to None.
202 calc_convexity (bool, optional): Flag determining if the change of the instrument's price associated with
203 small changes of the zero rate curve shall be calculated to second order
204 within the pricing routine. Defaults to None.
205 max_expected_cashflow_date (_Union[date, datetime], optional):
206 cashflow_times (_List[_Union[date, datetime]], optional):
207 calc_macaulay_duration (bool, optional): Flag determining if the instrument's Macaulay duration shall be
208 calculated within the pricing routine. Defaults to None.
209 """
210 self._calc_delta_gamma = calc_delta_gamma
211 self._calc_cross_gamma = calc_cross_gamma
212 self._calc_clean_price = calc_clean_price
213 self._calc_rho = calc_rho
214 self._rho_scale = rho_scale
215 self._calc_vega = calc_vega
216 self._vega_scale = vega_scale
217 self._calc_cross_volga = calc_cross_volga
218 self._calc_vanna = calc_vanna
219 self._calc_theta = calc_theta
220 self._theta_scale = theta_scale
221 self._calc_spline = calc_spline
222 self._calc_grid_sizes = calc_grid_sizes
223 self._calc_implied_volatility = calc_implied_volatility
224 self._management_delta_limit = management_delta_limit
225 self._calc_pricing_data = calc_pricing_data
226 self._calc_expected_cashflows = calc_expected_cashflows
227 self._calc_simulation_data = calc_simulation_data
228 self._calc_additional_information = calc_additional_information
229 self._calc_z_spread = calc_z_spread
230 self._calc_yield_to_maturity = calc_yield_to_maturity
231 self._calc_convexity = calc_convexity
232 self._max_expected_cashflow_date = max_expected_cashflow_date
233 self._cashflow_times = cashflow_times
234 self._calc_macaulay_duration = calc_macaulay_duration
236 @property
237 def _calc_delta_gamma(self):
238 return self.__calc_delta_gamma
240 @_calc_delta_gamma.setter
241 def _calc_delta_gamma(self, calc_delta_gamma: bool):
242 if calc_delta_gamma is not None:
243 if isinstance(calc_delta_gamma, bool):
244 self.__calc_delta_gamma = calc_delta_gamma
245 else:
246 raise TypeError("'" + str(calc_delta_gamma) + "' must be of type bool!")
248 @property
249 def _calc_cross_gamma(self):
250 return self.__calc_cross_gamma
252 @_calc_cross_gamma.setter
253 def _calc_cross_gamma(self, calc_cross_gamma: bool):
254 if calc_cross_gamma is not None:
255 if isinstance(calc_cross_gamma, bool):
256 self.__calc_cross_gamma = calc_cross_gamma
257 if self._calc_cross_gamma:
258 self.calc_delta_gamma = True
259 else:
260 raise TypeError("'" + str(calc_cross_gamma) + "' must be of type bool!")
262 @property
263 def _calc_clean_price(self):
264 return self.__calc_clean_price
266 @_calc_clean_price.setter
267 def _calc_clean_price(self, calc_clean_price: bool):
268 if calc_clean_price is not None:
269 if isinstance(calc_clean_price, bool):
270 self.__calc_clean_price = calc_clean_price
271 else:
272 raise TypeError("'" + str(calc_clean_price) + "' must be of type bool!")
274 @property
275 def _calc_rho(self):
276 return self.__calc_rho
278 @_calc_rho.setter
279 def _calc_rho(self, calc_rho: bool):
280 if calc_rho is not None:
281 if isinstance(calc_rho, bool):
282 self.__calc_rho = calc_rho
283 if self._calc_rho & ~hasattr(self, "rho_scale"):
284 self.rho_scale = 0.0001
285 else:
286 raise TypeError("'" + str(calc_rho) + "' must be of type bool!")
288 @property
289 def _rho_scale(self):
290 return self.__rho_scale
292 @_rho_scale.setter
293 def _rho_scale(self, rho_scale: float):
294 if rho_scale is not None:
295 if isinstance(rho_scale, (int, float)):
296 self.__rho_scale = float(rho_scale)
297 self.calc_rho = True
298 else:
299 raise TypeError("'" + str(rho_scale) + "' must be a number (int or float)!")
301 @property
302 def _calc_vega(self):
303 return self.__calc_vega
305 @_calc_vega.setter
306 def _calc_vega(self, calc_vega: bool):
307 if calc_vega is not None:
308 if isinstance(calc_vega, bool):
309 self.__calc_vega = calc_vega
310 if self._calc_vega & ~hasattr(self, "vega_scale"):
311 self.vega_scale = 0.01
312 else:
313 raise TypeError("'" + str(calc_vega) + "' must be of type bool!")
315 @property
316 def _vega_scale(self):
317 return self.__vega_scale
319 @_vega_scale.setter
320 def _vega_scale(self, vega_scale: float):
321 if vega_scale is not None:
322 if isinstance(vega_scale, (int, float)):
323 self.__vega_scale = float(vega_scale)
324 self.calc_vega = True
325 else:
326 raise TypeError("'" + str(vega_scale) + "' must be a number (int or float)!")
328 @property
329 def _calc_cross_volga(self):
330 return self.__calc_cross_volga
332 @_calc_cross_volga.setter
333 def _calc_cross_volga(self, calc_cross_volga: bool):
334 if calc_cross_volga is not None:
335 if isinstance(calc_cross_volga, bool):
336 self.__calc_cross_volga = calc_cross_volga
337 if self._calc_cross_volga:
338 self.calc_vega = True
339 if not hasattr(self, "vega_scale"):
340 self.vega_scale = 0.01
341 else:
342 raise TypeError("'" + str(calc_cross_volga) + "' must be of type bool!")
344 @property
345 def _calc_vanna(self):
346 return self.__calc_vanna
348 @_calc_vanna.setter
349 def _calc_vanna(self, calc_vanna: bool):
350 if calc_vanna is not None:
351 if isinstance(calc_vanna, bool):
352 self.__calc_vanna = calc_vanna
353 if self._calc_vanna:
354 self.calc_vega = True
355 if not hasattr(self, "vega_scale"):
356 self.vega_scale = 0.01
357 else:
358 raise TypeError("'" + str(calc_vanna) + "' must be of type bool!")
360 @property
361 def _calc_theta(self):
362 return self.__calc_theta
364 @_calc_theta.setter
365 def _calc_theta(self, calc_theta: bool):
366 if calc_theta is not None:
367 if isinstance(calc_theta, bool):
368 self.__calc_theta = calc_theta
369 if self._calc_theta & ~hasattr(self, "theta_scale"):
370 self.theta_scale = 1.0
371 else:
372 raise TypeError("'" + str(calc_theta) + "' must be of type bool!")
374 @property
375 def _theta_scale(self):
376 return self.__theta_scale
378 @_theta_scale.setter
379 def _theta_scale(self, theta_scale: float):
380 if theta_scale is not None:
381 if isinstance(theta_scale, (int, float)):
382 self.__theta_scale = float(theta_scale)
383 self.calc_theta = True
384 else:
385 raise TypeError("'" + str(theta_scale) + "' must be a number (int or float)!")
387 @property
388 def _calc_spline(self):
389 return self.__calc_spline
391 @_calc_spline.setter
392 def _calc_spline(self, calc_spline: bool):
393 if calc_spline is not None:
394 if isinstance(calc_spline, bool):
395 self.__calc_spline = calc_spline
396 else:
397 raise TypeError("'" + str(calc_spline) + "' must be of type bool!")
399 @property
400 def _calc_grid_sizes(self):
401 return self.__calc_grid_sizes
403 @_calc_grid_sizes.setter
404 def _calc_grid_sizes(self, calc_grid_sizes: bool):
405 if calc_grid_sizes is not None:
406 if isinstance(calc_grid_sizes, bool):
407 self.__calc_grid_sizes = calc_grid_sizes
408 else:
409 raise TypeError("'" + str(calc_grid_sizes) + "' must be of type bool!")
411 @property
412 def _calc_implied_volatility(self):
413 return self.__calc_implied_volatility
415 @_calc_implied_volatility.setter
416 def _calc_implied_volatility(self, calc_implied_volatility: bool):
417 if calc_implied_volatility is not None:
418 if isinstance(calc_implied_volatility, bool):
419 self.__calc_implied_volatility = calc_implied_volatility
420 else:
421 raise TypeError("'" + str(calc_implied_volatility) + "' must be of type bool!")
423 @property
424 def _management_delta_limit(self):
425 return self.__management_delta_limit
427 @_management_delta_limit.setter
428 def _management_delta_limit(self, management_delta_limit: float):
429 self.__management_delta_limit = management_delta_limit
431 @property
432 def _calc_pricing_data(self):
433 return self.__calc_pricing_data
435 @_calc_pricing_data.setter
436 def _calc_pricing_data(self, calc_pricing_data: bool):
437 if calc_pricing_data is not None:
438 if isinstance(calc_pricing_data, bool):
439 self.__calc_pricing_data = calc_pricing_data
440 else:
441 raise TypeError("'" + str(calc_pricing_data) + "' must be of type bool!")
443 @property
444 def _calc_expected_cashflows(self):
445 return self.__calc_expected_cashflows
447 @_calc_expected_cashflows.setter
448 def _calc_expected_cashflows(self, calc_expected_cashflows: bool):
449 if calc_expected_cashflows is not None:
450 if isinstance(calc_expected_cashflows, bool):
451 self.__calc_expected_cashflows = calc_expected_cashflows
452 else:
453 raise TypeError("'" + str(calc_expected_cashflows) + "' must be of type bool!")
455 @property
456 def _calc_simulation_data(self):
457 return self.__calc_simulation_data
459 @_calc_simulation_data.setter
460 def _calc_simulation_data(self, calc_simulation_data: bool):
461 if calc_simulation_data is not None:
462 if isinstance(calc_simulation_data, bool):
463 self.__calc_simulation_data = calc_simulation_data
464 else:
465 raise TypeError("'" + str(calc_simulation_data) + "' must be of type bool!")
467 @property
468 def _calc_additional_information(self):
469 return self.__calc_additional_information
471 @_calc_additional_information.setter
472 def _calc_additional_information(self, calc_additional_information: bool):
473 if calc_additional_information is not None:
474 if isinstance(calc_additional_information, bool):
475 self.__calc_additional_information = calc_additional_information
476 else:
477 raise TypeError("'" + str(calc_additional_information) + "' must be of type bool!")
479 @property
480 def _calc_z_spread(self):
481 return self.__calc_z_spread
483 @_calc_z_spread.setter
484 def _calc_z_spread(self, calc_z_spread: bool):
485 if calc_z_spread is not None:
486 if isinstance(calc_z_spread, bool):
487 self.__calc_z_spread = calc_z_spread
488 else:
489 raise TypeError("'" + str(calc_z_spread) + "' must be of type bool!")
491 @property
492 def _calc_yield_to_maturity(self):
493 return self.__calc_yield_to_maturity
495 @_calc_yield_to_maturity.setter
496 def _calc_yield_to_maturity(self, calc_yield_to_maturity: bool):
497 if calc_yield_to_maturity is not None:
498 if isinstance(calc_yield_to_maturity, bool):
499 self.__calc_yield_to_maturity = calc_yield_to_maturity
500 else:
501 raise TypeError("'" + str(calc_yield_to_maturity) + "' must be of type bool!")
503 @property
504 def _calc_convexity(self):
505 return self.__calc_convexity
507 @_calc_convexity.setter
508 def _calc_convexity(self, calc_convexity: bool):
509 if calc_convexity is not None:
510 if isinstance(calc_convexity, bool):
511 self.__calc_convexity = calc_convexity
512 if self._calc_convexity:
513 self.calc_rho = True
514 if not hasattr(self, "rho_scale"):
515 self.rho_scale = 0.0001
516 else:
517 raise TypeError("'" + str(calc_convexity) + "' must be of type bool!")
519 @property
520 def _max_expected_cashflow_date(self):
521 return self.__max_expected_cashflow_date
523 @_max_expected_cashflow_date.setter
524 def _max_expected_cashflow_date(self, max_expected_cashflow_date: _Union[date, datetime]):
525 if max_expected_cashflow_date is not None:
526 if isinstance(max_expected_cashflow_date, datetime) | isinstance(max_expected_cashflow_date, date):
527 self.__max_expected_cashflow_date = datetime_to_date(max_expected_cashflow_date)
528 else:
529 raise TypeError("'" + str(max_expected_cashflow_date) + "' must be of type datetime or date!")
531 @property
532 def _cashflow_times(self):
533 return self.__cashflow_times
535 @_cashflow_times.setter
536 def _cashflow_times(self, cashflow_times: _List[_Union[date, datetime]]):
537 if cashflow_times is not None:
538 if isinstance(cashflow_times, list) & (isinstance(cashflow_times[0], datetime) | isinstance(cashflow_times[0], date)):
539 self.__cashflow_times = datetime_to_date_list(cashflow_times)
540 else:
541 raise TypeError("'" + str(cashflow_times) + "' must be of type list of datetime or date!")
543 @property
544 def _calc_macaulay_duration(self):
545 return self.__calc_macaulay_duration
547 @_calc_macaulay_duration.setter
548 def _calc_macaulay_duration(self, calc_macaulay_duration: bool):
549 if calc_macaulay_duration is not None:
550 if isinstance(calc_macaulay_duration, bool):
551 self.__calc_macaulay_duration = calc_macaulay_duration
552 else:
553 raise TypeError("'" + str(calc_macaulay_duration) + "' must be of type bool!")
556class BondPricingRequest(PricingRequest):
557 def __init__(
558 self,
559 calc_clean_price: bool = False,
560 calc_rho: bool = False,
561 rho_scale: float = None,
562 calc_theta: bool = False,
563 theta_scale: float = None,
564 calc_yield_to_maturity: bool = False,
565 calc_convexity: bool = False,
566 calc_macaulay_duration: bool = False,
567 calc_z_spread: bool = False,
568 ):
569 """
570 Configuration of set of information to be calculated together with the bond's dirty price. In restricts the
571 general PricingRequest to the sub-set relevant for the pricing of bonds.
572 """
573 PricingRequest.__init__(
574 self,
575 calc_clean_price=calc_clean_price,
576 calc_rho=calc_rho,
577 rho_scale=rho_scale,
578 calc_theta=calc_theta,
579 theta_scale=theta_scale,
580 calc_yield_to_maturity=calc_yield_to_maturity,
581 calc_convexity=calc_convexity,
582 calc_macaulay_duration=calc_macaulay_duration,
583 calc_z_spread=calc_z_spread,
584 )
587class ForwardRateAgreementPricingRequest(PricingRequest):
589 def __init__(self):
590 """Configuration of set of information to be calculated for the Forward Rate Agreement's price.
591 Restrict the general PricingRequest to the sub-set relevant for the pricing of FRAs.
592 """
594 # super.__init__(self)
595 pass
598class InterestRateSwapPricingRequest(PricingRequest):
600 def __init__(self):
601 """Configuration of set of information to be calculated for the Swap's price.
602 Restrict the general PricingRequest to the sub-set relevant for the pricing of swaps.
603 """
605 # super.__init__(self)
606 pass
609if __name__ == "__main__":
610 bond_pricing_request = BondPricingRequest()