finpricing.utils

Submodules

• finpricing.utils.bus_day_adj
• finpricing.utils.calendar
• finpricing.utils.cds_style
• finpricing.utils.date
• finpricing.utils.date_generator
• finpricing.utils.day_count
• finpricing.utils.error
• finpricing.utils.frequency
• finpricing.utils.holiday
• finpricing.utils.instaplot
• finpricing.utils.interpolator
• finpricing.utils.literal
• finpricing.utils.pandas_holiday
• finpricing.utils.payment_schedule
• finpricing.utils.tools

Package Contents

Classes

TimeInterval
Date
Date
DayCountTypes	Generic enumeration.
DayCount
Date
BusDayAdjustTypes	Generic enumeration.
Holiday
CalendarTypes	Generic enumeration.
DateGenRuleTypes	Generic enumeration.
Calendar
FrequencyTypes	Generic enumeration.
BusDayAdjustTypes	Generic enumeration.
TimeInterval
FrequencyTypes	Generic enumeration.
BusDayAdjustTypes	Generic enumeration.
CalendarTypes	Generic enumeration.
DayCountTypes	Generic enumeration.
ClassUtil
CDSStubType	Generic enumeration.
CDSEffectiveDateStyle	Generic enumeration.
CDSTermStyle	Generic enumeration.
CDSAccruedStyle	Generic enumeration.
CDSStyle
CDSStyleBase
CDSStyleCorpNA
Date
ClassUtil
TimeInterval
Date
CDSStyle
CDSStubType	Generic enumeration.
CDSTermStyle	Generic enumeration.
Calendar
DateGenerator
Literal	Literal constants

Functions

dict_to_obj_str(→ str)	Return the string representation of a dictionary
prettyTableByColumn(→ str)	Return the string representation of a dictionary in a pretty table format where
prettyTableByRow(→ str)	Return the string representation of a dictionary in a pretty table format
datetimeToDates(func)
datetimeToDates(func)

class finpricing.utils.TimeInterval(value: int, period: str)

classmethod from_string(interval_string)

__neg__()

__repr__() → str

Return repr(self).

__mul__(other: int)

__rmul__(other: int)

class finpricing.utils.Date(year: int, month: int, day: int)

property is_weekend: bool

Return True if the date is a weekend, False otherwise

Monday is 0 and Sunday is 6.

MON = 0

TUE = 1

WED = 2

THU = 3

FRI = 4

SAT = 5

SUN = 6

to_tuple() → tuple

Return a tuple of (year, month, day)

classmethod convert_from_datetime(date: datetime.date | Date) → Date

Return a Date object from a datetime.date object

classmethod convert_from_datetimes(dates: list[datetime.date | Date]) → list[Date]

Return a list of Date objects from a list of datetime.date objects

classmethod from_datetime(date: datetime.date) → Date

Return a Date object from a datetime.date object

classmethod from_tuple(date_tuple: tuple) → Date

Return a Date object from a tuple of (year, month, day)

__sub__(other: object) → int

__add__(days: int) → Date

__eq__(other: object) → bool

Return self==value.

__lt__(other: object) → bool

Return self<value.

__repr__() → str

Return repr(self).

add_days(days: int) → Date

Return a new Date object by adding days to self

add_months(months: int) → Date

Return a new Date object by adding months to self

add_weeks(weeks: int) → Date

Return a new Date object by adding weeks to self

add_years(years: int) → Date

Return a new Date object by adding years to self

add_tenor(tenor: str) → Date

Return a new Date object by adding tenor to self

add_interval(time_interval: TimeInterval) → Date

strftime(fmt: str) → str

Return a string representing the date, controlled by an explicit format string

__hash__() → int

Return hash(self).

class finpricing.utils.Date(year: int, month: int, day: int)

property is_weekend: bool

Return True if the date is a weekend, False otherwise

Monday is 0 and Sunday is 6.

MON = 0

TUE = 1

WED = 2

THU = 3

FRI = 4

SAT = 5

SUN = 6

to_tuple() → tuple

Return a tuple of (year, month, day)

classmethod convert_from_datetime(date: datetime.date | Date) → Date

Return a Date object from a datetime.date object

classmethod convert_from_datetimes(dates: list[datetime.date | Date]) → list[Date]

Return a list of Date objects from a list of datetime.date objects

classmethod from_datetime(date: datetime.date) → Date

Return a Date object from a datetime.date object

classmethod from_tuple(date_tuple: tuple) → Date

Return a Date object from a tuple of (year, month, day)

__sub__(other: object) → int

__add__(days: int) → Date

__eq__(other: object) → bool

Return self==value.

__lt__(other: object) → bool

Return self<value.

__repr__() → str

Return repr(self).

add_days(days: int) → Date

Return a new Date object by adding days to self

add_months(months: int) → Date

Return a new Date object by adding months to self

add_weeks(weeks: int) → Date

Return a new Date object by adding weeks to self

add_years(years: int) → Date

Return a new Date object by adding years to self

add_tenor(tenor: str) → Date

Return a new Date object by adding tenor to self

add_interval(time_interval: TimeInterval) → Date

strftime(fmt: str) → str

Return a string representing the date, controlled by an explicit format string

__hash__() → int

Return hash(self).

exception finpricing.utils.NotSupportedError

Bases: Exception

Common base class for all non-exit exceptions.

class finpricing.utils.DayCountTypes

Bases: enum.Enum

Generic enumeration.

Derive from this class to define new enumerations.

ACT_360 = 0

ACT_365 = 1

THIRTY_360 = 2

ACT_ACT_ISDA = 3

Thirty_E_360 = 4

Thirty_E_360_ISDA = 5

class finpricing.utils.DayCount(dccType: DayCountTypes)

year_frac

days_between(start_date: finpricing.utils.date.Date, end_date: finpricing.utils.date.Date, include_end=False) → tuple

Return the number of days and year fraction using a specific day count convention

Returns:

(days, fraction of year)

Return type:

tuple

year_fraction(start_date: finpricing.utils.date.Date | datetime.date, end_date: finpricing.utils.date.Date | datetime.date, next_coupon_date: finpricing.utils.date.Date = None) → float

Return the fraction of year between two dates using a specific day count convention

The actual calculation is done in days_between() method.

Parameters:

• start_date (Date) – start date of the accrual period

• end_date (Date) – end date of the accrual period. For a bond trade, it is the settlement date of the trade.

• next_coupon_date (Date) – next coupon date of the bond / maturity date of the bond if no more coupon payment

convert_dates_to_times(anchor_date: finpricing.utils.date.Date, dates: list[finpricing.utils.date.Date]) → list[float]

Return a list of time fraction (year fraction) between anchor date and each date in the list

Parameters:

• anchor_date (Date) – anchor date

• dates (list[Date]) – list of dates

Returns:

list of time fraction (year fraction)

Return type:

list[float]

__repr__() → str

Return the string representation of the object

exception finpricing.utils.NotSupportedError

Bases: Exception

Common base class for all non-exit exceptions.

class finpricing.utils.Date(year: int, month: int, day: int)

property is_weekend: bool

Return True if the date is a weekend, False otherwise

Monday is 0 and Sunday is 6.

MON = 0

TUE = 1

WED = 2

THU = 3

FRI = 4

SAT = 5

SUN = 6

to_tuple() → tuple

Return a tuple of (year, month, day)

classmethod convert_from_datetime(date: datetime.date | Date) → Date

Return a Date object from a datetime.date object

classmethod convert_from_datetimes(dates: list[datetime.date | Date]) → list[Date]

Return a list of Date objects from a list of datetime.date objects

classmethod from_datetime(date: datetime.date) → Date

Return a Date object from a datetime.date object

classmethod from_tuple(date_tuple: tuple) → Date

Return a Date object from a tuple of (year, month, day)

__sub__(other: object) → int

__add__(days: int) → Date

__eq__(other: object) → bool

Return self==value.

__lt__(other: object) → bool

Return self<value.

__repr__() → str

Return repr(self).

add_days(days: int) → Date

Return a new Date object by adding days to self

add_months(months: int) → Date

Return a new Date object by adding months to self

add_weeks(weeks: int) → Date

Return a new Date object by adding weeks to self

add_years(years: int) → Date

Return a new Date object by adding years to self

add_tenor(tenor: str) → Date

Return a new Date object by adding tenor to self

add_interval(time_interval: TimeInterval) → Date

strftime(fmt: str) → str

Return a string representing the date, controlled by an explicit format string

__hash__() → int

Return hash(self).

class finpricing.utils.BusDayAdjustTypes

Bases: enum.Enum

Generic enumeration.

Derive from this class to define new enumerations.

NONE = 1

FOLLOWING = 2

MODIFIED_FOLLOWING = 3

PREVIOUS = 4

MODIFIED_PREVIOUS = 5

class finpricing.utils.Holiday(calendarType: CalendarTypes)

is_holiday(date: finpricing.utils.date.Date) → bool

holiday_united_states(date: finpricing.utils.date.Date) → bool

Return True if the date is a holiday in the United States, False otherwise

Need to verify and enhance the dates. Reference: domokane/FinancePy

class finpricing.utils.CalendarTypes

Bases: enum.Enum

Generic enumeration.

Derive from this class to define new enumerations.

NONE = 0

WEEKEND = 1

UNITED_STATES = 2

class finpricing.utils.DateGenRuleTypes

Bases: enum.Enum

Generic enumeration.

Derive from this class to define new enumerations.

FORWARD = 1

BACKWARD = 2

class finpricing.utils.Calendar(calendarType: finpricing.utils.holiday.CalendarTypes)

is_holiday(date: finpricing.utils.date.Date) → bool

is_business_day(date: finpricing.utils.date.Date) → bool

Return True if the date is a business day

Weekend or not is determined solely by the date itself. Holiday or not is determined by the calendar.

add_business_days(date: finpricing.utils.date.Date, num_days: int) → finpricing.utils.date.Date

Return a new Date object by adding num_days business days to the date

adjust(date: finpricing.utils.date.Date, busDayAdjType: finpricing.utils.bus_day_adj.BusDayAdjustTypes) → finpricing.utils.date.Date

Return a new Date object by adjusting the date according to the Business Day Convention

For details, https://jollycontrarian.com/index.php?title=Business_Day_Convention_-_ISDA_Definition

class finpricing.utils.FrequencyTypes

Bases: enum.Enum

Generic enumeration.

Derive from this class to define new enumerations.

ANNUAL = 1

SEMI_ANNUAL = 2

QUARTERLY = 4

MONTHLY = 12

CONTINUOUS = 99

class finpricing.utils.BusDayAdjustTypes

Bases: enum.Enum

Generic enumeration.

Derive from this class to define new enumerations.

NONE = 1

FOLLOWING = 2

MODIFIED_FOLLOWING = 3

PREVIOUS = 4

MODIFIED_PREVIOUS = 5

class finpricing.utils.TimeInterval(value: int, period: str)

classmethod from_string(interval_string)

__neg__()

__repr__() → str

Return repr(self).

__mul__(other: int)

__rmul__(other: int)

class finpricing.utils.FrequencyTypes

Bases: enum.Enum

Generic enumeration.

Derive from this class to define new enumerations.

ANNUAL = 1

SEMI_ANNUAL = 2

QUARTERLY = 4

MONTHLY = 12

CONTINUOUS = 99

class finpricing.utils.BusDayAdjustTypes

Bases: enum.Enum

Generic enumeration.

Derive from this class to define new enumerations.

NONE = 1

FOLLOWING = 2

MODIFIED_FOLLOWING = 3

PREVIOUS = 4

MODIFIED_PREVIOUS = 5

class finpricing.utils.CalendarTypes

Bases: enum.Enum

Generic enumeration.

Derive from this class to define new enumerations.

NONE = 0

WEEKEND = 1

UNITED_STATES = 2

class finpricing.utils.DayCountTypes

Bases: enum.Enum

Generic enumeration.

Derive from this class to define new enumerations.

ACT_360 = 0

ACT_365 = 1

THIRTY_360 = 2

ACT_ACT_ISDA = 3

Thirty_E_360 = 4

Thirty_E_360_ISDA = 5

class finpricing.utils.ClassUtil

save_attributes(ignore=[])

resolve_dates(start_date, maturity_date_or_tenor)

first_valid(*args)

class finpricing.utils.CDSStubType

Bases: enum.Enum

Generic enumeration.

Derive from this class to define new enumerations.

NO_STUB = 'NO_STUB'

class finpricing.utils.CDSEffectiveDateStyle

Bases: enum.Enum

Generic enumeration.

Derive from this class to define new enumerations.

PCD = 'PCD'

class finpricing.utils.CDSTermStyle

Bases: enum.Enum

Generic enumeration.

Derive from this class to define new enumerations.

IMM_CORPORATE = 'IMM_CORPORATE'

class finpricing.utils.CDSAccruedStyle

Bases: enum.Enum

Generic enumeration.

Derive from this class to define new enumerations.

SNAC = 'SNAC'

CONVENTIONAL = 'CONVENTIONAL'

class finpricing.utils.CDSStyle

Bases: finpricing.utils.tools.ClassUtil

classmethod from_name(name)

Return a CDSStyle instance from a string of name

classmethod CORP_NA()

class finpricing.utils.CDSStyleBase(name, day_count_type, frequency_type, bus_day_adj_type, cds_term_style, cds_effective_date_style, cds_stub_length, minimal_stub_period: int, eom_adj: bool, calendar_type, accrued_style)

Bases: finpricing.utils.tools.ClassUtil

class finpricing.utils.CDSStyleCorpNA

Bases: CDSStyleBase

class finpricing.utils.Date(year: int, month: int, day: int)

property is_weekend: bool

Return True if the date is a weekend, False otherwise

Monday is 0 and Sunday is 6.

MON = 0

TUE = 1

WED = 2

THU = 3

FRI = 4

SAT = 5

SUN = 6

to_tuple() → tuple

Return a tuple of (year, month, day)

classmethod convert_from_datetime(date: datetime.date | Date) → Date

Return a Date object from a datetime.date object

classmethod convert_from_datetimes(dates: list[datetime.date | Date]) → list[Date]

Return a list of Date objects from a list of datetime.date objects

classmethod from_datetime(date: datetime.date) → Date

Return a Date object from a datetime.date object

classmethod from_tuple(date_tuple: tuple) → Date

Return a Date object from a tuple of (year, month, day)

__sub__(other: object) → int

__add__(days: int) → Date

__eq__(other: object) → bool

Return self==value.

__lt__(other: object) → bool

Return self<value.

__repr__() → str

Return repr(self).

add_days(days: int) → Date

Return a new Date object by adding days to self

add_months(months: int) → Date

Return a new Date object by adding months to self

add_weeks(weeks: int) → Date

Return a new Date object by adding weeks to self

add_years(years: int) → Date

Return a new Date object by adding years to self

add_tenor(tenor: str) → Date

Return a new Date object by adding tenor to self

add_interval(time_interval: TimeInterval) → Date

strftime(fmt: str) → str

Return a string representing the date, controlled by an explicit format string

__hash__() → int

Return hash(self).

finpricing.utils.dict_to_obj_str(d: dict) → str

Return the string representation of a dictionary

finpricing.utils.prettyTableByColumn(d: dict, align='') → str

Return the string representation of a dictionary in a pretty table format where dictionary values can be either iterables for direct use or tuples where the first element is an iterable and the second is a format string.

Args: d (dict): Dictionary with data to be displayed by the table. align (str): String with column alignments. Use ‘l’ for left, ‘r’ for right, and ‘c’ for center.

Returns: str: A string representation of the table.

finpricing.utils.prettyTableByRow(d: dict) → str

Return the string representation of a dictionary in a pretty table format

The dictionary contains the row names as keys and the list of values as values.

finpricing.utils.datetimeToDates(func)

class finpricing.utils.ClassUtil

save_attributes(ignore=[])

resolve_dates(start_date, maturity_date_or_tenor)

first_valid(*args)

class finpricing.utils.TimeInterval(value: int, period: str)

classmethod from_string(interval_string)

__neg__()

__repr__() → str

Return repr(self).

__mul__(other: int)

__rmul__(other: int)

class finpricing.utils.Date(year: int, month: int, day: int)

property is_weekend: bool

Return True if the date is a weekend, False otherwise

Monday is 0 and Sunday is 6.

MON = 0

TUE = 1

WED = 2

THU = 3

FRI = 4

SAT = 5

SUN = 6

to_tuple() → tuple

Return a tuple of (year, month, day)

classmethod convert_from_datetime(date: datetime.date | Date) → Date

Return a Date object from a datetime.date object

classmethod convert_from_datetimes(dates: list[datetime.date | Date]) → list[Date]

Return a list of Date objects from a list of datetime.date objects

classmethod from_datetime(date: datetime.date) → Date

Return a Date object from a datetime.date object

classmethod from_tuple(date_tuple: tuple) → Date

Return a Date object from a tuple of (year, month, day)

__sub__(other: object) → int

__add__(days: int) → Date

__eq__(other: object) → bool

Return self==value.

__lt__(other: object) → bool

Return self<value.

__repr__() → str

Return repr(self).

add_days(days: int) → Date

Return a new Date object by adding days to self

add_months(months: int) → Date

Return a new Date object by adding months to self

add_weeks(weeks: int) → Date

Return a new Date object by adding weeks to self

add_years(years: int) → Date

Return a new Date object by adding years to self

add_tenor(tenor: str) → Date

Return a new Date object by adding tenor to self

add_interval(time_interval: TimeInterval) → Date

strftime(fmt: str) → str

Return a string representing the date, controlled by an explicit format string

__hash__() → int

Return hash(self).

class finpricing.utils.CDSStyle

Bases: finpricing.utils.tools.ClassUtil

classmethod from_name(name)

Return a CDSStyle instance from a string of name

classmethod CORP_NA()

class finpricing.utils.CDSStubType

Bases: enum.Enum

Generic enumeration.

Derive from this class to define new enumerations.

NO_STUB = 'NO_STUB'

class finpricing.utils.CDSTermStyle

Bases: enum.Enum

Generic enumeration.

Derive from this class to define new enumerations.

IMM_CORPORATE = 'IMM_CORPORATE'

finpricing.utils.datetimeToDates(func)

class finpricing.utils.Calendar(calendarType: finpricing.utils.holiday.CalendarTypes)

is_holiday(date: finpricing.utils.date.Date) → bool

is_business_day(date: finpricing.utils.date.Date) → bool

Return True if the date is a business day

Weekend or not is determined solely by the date itself. Holiday or not is determined by the calendar.

add_business_days(date: finpricing.utils.date.Date, num_days: int) → finpricing.utils.date.Date

Return a new Date object by adding num_days business days to the date

adjust(date: finpricing.utils.date.Date, busDayAdjType: finpricing.utils.bus_day_adj.BusDayAdjustTypes) → finpricing.utils.date.Date

Return a new Date object by adjusting the date according to the Business Day Convention

For details, https://jollycontrarian.com/index.php?title=Business_Day_Convention_-_ISDA_Definition

class finpricing.utils.DateGenerator

static generate_extended(start_date: datetime.date | finpricing.utils.date.Date, maturity_date: datetime.date | finpricing.utils.date.Date, time_interval: finpricing.utils.date.TimeInterval | str, stub_at_end: bool)

generate a list of dates from start_date to maturity_date with given time_interval

Note

if stub_at_end is True, the dates will be generated from start_date and roll forward until and after maturity_date if stub_at_end is False, the dates will be generated from maturity_date and roll backward until and before start_date

Parameters:

• start_date (Union[datetime.date, Date]) – start date

• maturity_date (Union[datetime.date, Date]) – maturity date

• time_interval (Union[TimeInterval, str]) – time interval

• stub_at_end (bool) – whether the stub is at the end of the period

static generate_cds(start_date, maturity_date, cds_style: finpricing.utils.cds_style.CDSStyle, stub_at_end: bool = False)

generate a list of dates from start_date to maturity_date with given cds_style

Note

Most likely, the stub is at the end of the period. In a NO_STUB case, the first date will be removed. So the first date will be after start_date.

static generate_cds_adjust(start_date, maturity_date, cds_style: finpricing.utils.cds_style.CDSStyle, stub_at_end: bool = False)

generate accrual start dates, accrual end dates, and calendar adjusted payment dates for a cds contract

NOTE only the payment dates are adjusted!

static generate_cds_maturity_date(market_date: finpricing.utils.date.Date | datetime.date, maturity_date: finpricing.utils.date.Date | datetime.date, term_style: str = None)

return the adjusted maturity date for a cds contract by its term style

FIXME This is not effectively implemented yet. It seems IMM CORPORATE returns the same maturity date as the input.

static generate_cds_effective_date(market_date: finpricing.utils.date.Date | datetime.date, maturity_date: finpricing.utils.date.Date | datetime.date, cds_style: finpricing.utils.cds_style.CDSStyle | str)

generate the effective date for a cds contract when market date is in between coupon dates

class finpricing.utils.Literal

Bases: enum.Enum

Literal constants

ONE_BASIS_POINT = 0.0001

ONE_PERCENT = 0.01

ZERO = 0

UNIT = 1

ONE_HUNDRED = 100

ONE_THOUSAND = 1000

ONE_MILLION = 1000000

ONE_BILLION = 1000000000