# -*- coding: utf-8 -*-
# dcf
# ---
# A Python library for generating discounted cashflows.
#
# Author: sonntagsgesicht, based on a fork of Deutsche Postbank [pbrisk]
# Version: 0.7, copyright Tuesday, 31 May 2022
# Website: https://github.com/sonntagsgesicht/dcf
# License: Apache License 2.0 (see LICENSE file)
from ..plans import DEFAULT_AMOUNT
from .cashflow import CashFlowList as _CashFlowList
from .payoffs import OptionCashFlowPayOff, OptionStrategyCashFlowPayOff, \
ContingentRateCashFlowPayOff
_DEFAULT_PAYOFF = (lambda *_: 0.)
[docs]class ContingentCashFlowList(_CashFlowList):
""" list of contingent cashflows """
_cashflow_details = 'cashflow', 'pay date'
def __init__(self, payment_date_list, payoff_list=None,
origin=None, payoff_model=None):
r"""generic cashflow list of expected contingent cashflows
i.e. non-deterministc cashflows like option payoffs.
:param payment_date_list: pay dates, assuming that pay dates
agree with end dates of interest accrued period
:param payoff_list: list of payoffs
:param origin: start date of first interest accrued period
:param payoff_model: payoff model to derive the expected payoff
Since expectation depends on probabilities
an approbiate **payoff_model** $m$
to estimate expectations has
to be supplied as argument to the list
and applied - again as argument - to payoffs.
Therefor any item $f_i$ in **payoff_list** has to be
either a **int** pr **float** or callable
with optional argument of a **payoff_model**
and will return the expected cashflow amount as float value
depending on the state given by the **payoff_model**.
$$f_i(m)=E\big[f_i\mid m\big]$$
This non-sense use case demonstrates the pattern of evaluating payoffs.
For more details who to use |ContingentCashFlowList|
see |OptionCashflowList|, |OptionStrategyCashflowList|
or |ContingentRateCashFlowList|.
>>> from dcf import ContingentCashFlowList
>>> p = lambda x: x*x
>>> c = ContingentCashFlowList([1,2], [p, p], payoff_model=4)
>>> c[c.domain]
[16, 16]
>>> c.payoff_model = 2
>>> c[c.domain]
[4, 4]
"""
if payoff_list is None:
payoff_list = [_DEFAULT_PAYOFF]
self.payoff_model = payoff_model
super().__init__(payment_date_list, payoff_list, origin=origin)
def __getitem__(self, item):
""" getitem does re-calc contingent cashflows """
if isinstance(item, (tuple, list)):
return list(self[i] for i in item)
else:
payoff = self._flows.get(item, 0.)
if isinstance(payoff, (int, float)):
return payoff
return payoff(self.payoff_model)
[docs]class OptionCashflowList(ContingentCashFlowList):
""" list of option cashflows """
_cashflow_details = \
'cashflow', 'pay date', 'put/call', 'long/short', \
'notional', 'strike', 'expiry date', \
'fixing date', 'forward', 'volatility', \
'time to expiry', 'valuation date'
def __init__(self, payment_date_list, amount_list=DEFAULT_AMOUNT,
strike_list=(), is_put_list=False,
fixing_offset=None, pay_offset=None,
origin=None, payoff_model=None):
r""" list of European option payoffs
:param payment_date_list: list of cashflow payment dates $t_k$
:param amount_list: list of option notional amounts $N_k$
:param strike_list: list of option strike prices $K_k$
:param is_put_list: list of boolean flags indicating
if options are put options (optional: default is **False**)
:param fixing_offset: offset $\delta$ between
underlying fixing date and cashflow end date
:param pay_offset: offset $\epsilon$ between
cashflow end date and payment date
:param origin: origin of object,
i.e. start date of the cashflow list as a product
:param payoff_model: payoff model to derive the expected payoff
List of |OptionCashFlowPayOff()|.
"""
if isinstance(amount_list, (int, float)):
amount_list = [amount_list] * len(payment_date_list)
if isinstance(strike_list, (int, float)):
strike_list = [strike_list] * len(payment_date_list)
if isinstance(is_put_list, (bool, int, float)):
is_put_list = [is_put_list] * len(payment_date_list)
payoff_list = list()
for expiry, amount, strike, is_put in \
zip(payment_date_list, amount_list, strike_list, is_put_list):
if pay_offset:
expiry -= pay_offset
if fixing_offset:
expiry -= fixing_offset
option = OptionCashFlowPayOff(
expiry=expiry,
amount=amount,
strike=strike,
is_put=is_put
)
payoff_list.append(option)
super().__init__(payment_date_list, payoff_list, origin, payoff_model)
[docs]class OptionStrategyCashflowList(ContingentCashFlowList):
""" list of option strategy cashflows """
_cashflow_details = \
'cashflow', 'pay date', \
'#0 put/call', '#0 long/short', '#0 notional', '#0 strike', \
'#1 put/call', '#1 long/short', '#1 notional', '#1 strike', \
'#2 put/call', '#2 long/short', '#2 notional', '#2 strike', \
'#3 put/call', '#3 long/short', '#3 notional', '#3 strike', \
'#4 put/call', '#4 long/short', '#4 notional', '#4 strike', \
'#5 put/call', '#5 long/short', '#5 notional', '#5 strike', \
'#6 put/call', '#6 long/short', '#6 notional', '#6 strike', \
'#7 put/call', '#7 long/short', '#7 notional', '#7 strike', \
'#8 put/call', '#8 long/short', '#8 notional', '#8 strike', \
'#9 put/call', '#9 long/short', '#9 notional', '#9 strike', \
'expiry date', 'fixing date', \
'forward', 'volatility', \
'time to expiry', 'valuation date'
def __init__(self, payment_date_list,
call_amount_list=DEFAULT_AMOUNT, call_strike_list=(),
put_amount_list=DEFAULT_AMOUNT, put_strike_list=(),
fixing_offset=None, pay_offset=None,
origin=None, payoff_model=None):
r"""series of identical option strategies
:param payment_date_list: list of cashflow payment dates $t_k$
:param call_amount_list: list of call option notional amounts $N_{i}$
:param call_strike_list: list of call option strikes $K_{i}$
:param put_amount_list: list of put option notional amounts $N_{j}$
:param put_strike_list: list of put option strikes $L_{j}$
:param fixing_offset: offset $\delta$ between
underlying fixing date and cashflow end date
:param pay_offset: offset $\epsilon$ between
cashflow end date and payment date
:param origin: origin of object,
i.e. start date of the cashflow list as a product
:param payoff_model: payoff model to derive the expected payoff
|OptionStrategyCashflowList()| object provides a list of
|OptionStrategyCashFlowPayOff()| $X_k$ objects
with payment date $t_k$.
Adjustetd by offset $X_k$ has expiry date $T_k=t_k-\delta-\epsilon$
and for all $k$ the same $N_i$, $K_i$, $N_j$, $L_j$ are used.
"""
if 10 < len(put_strike_list) + len(call_strike_list):
raise KeyError('OptionStrategyCashflowList are limited '
'to 10 options per strategy payoff not '
'%d' % len(put_strike_list) + len(call_strike_list))
payoff_list = list()
for expiry in payment_date_list:
if pay_offset:
expiry -= pay_offset
if fixing_offset:
expiry -= fixing_offset
strategy = OptionStrategyCashFlowPayOff(
expiry=expiry,
call_amount_list=call_amount_list,
call_strike_list=call_strike_list,
put_amount_list=put_amount_list,
put_strike_list=put_strike_list
)
payoff_list.append(strategy)
super().__init__(payment_date_list, payoff_list, origin, payoff_model)
[docs]class ContingentRateCashFlowList(ContingentCashFlowList):
""" list of cashflows by interest rate payments """
_cashflow_details = \
'cashflow', 'pay date', 'notional', \
'start date', 'end date', 'year fraction', \
'fixed rate', 'forward rate', 'fixing date', 'tenor', \
'floorlet', 'floorlet strike', 'floorlet volatility', \
'caplet', 'caplet strike', 'caplet volatility', \
'time to expiry', 'model valuation date'
def __init__(self, payment_date_list, amount_list=DEFAULT_AMOUNT,
origin=None, day_count=None,
fixing_offset=None, pay_offset=None,
fixed_rate=0., cap_strike=None, floor_strike=None,
payoff_model=None):
r""" list of contingend collared rate cashflows
:param payment_date_list: pay dates, assuming that pay dates agree
with end dates of interest accrued period
:param amount_list: notional amounts
:param origin: start date of first interest accrued period
:param day_count: day count convention
:param fixed_rate: agreed fixed rate
:param forward_curve:
:param fixing_offset: time difference between
interest rate fixing date and interest period payment date
:param pay_offset: time difference between
interest period end date and interest payment date
:param floor_strike: lower interest rate boundary $K$
:param cap_strike: upper interest rate boundary $L$
:param payoff_model: option valuation model to derive the
expected cashflow of option payoffs
Each object consists of a list of
|ContingentRateCashFlowPayOff()|, i.e.
of collared payoff functions
$$X_i(f(T_i)) = [\max(K, \min(f(T_i), L)) + c]\ \tau(s,e)\ N$$
with, according to a payment date $p_i$,
$p_i-\epsilon=e_i$, $e_i=s_{i+1}$ and $s_i-\delta=T_i$.
"""
if isinstance(amount_list, (int, float)):
amount_list = [amount_list] * len(payment_date_list)
if origin:
start_dates = [origin]
start_dates.extend(payment_date_list[:-1])
elif origin is None and len(payment_date_list) > 1:
step = payment_date_list[1] - payment_date_list[0]
start_dates = [payment_date_list[0] - step]
start_dates.extend(payment_date_list[:-1])
elif payment_date_list:
start_dates = payment_date_list
payoff_list = list()
for s, e, a in zip(start_dates, payment_date_list, amount_list):
if pay_offset:
e -= pay_offset
s -= pay_offset
payoff = ContingentRateCashFlowPayOff(
start=s, end=e, day_count=day_count,
fixing_offset=fixing_offset, amount=a, fixed_rate=fixed_rate,
cap_strike=cap_strike, floor_strike=floor_strike
)
payoff_list.append(payoff)
super().__init__(payment_date_list, payoff_list,
origin=origin, payoff_model=payoff_model)
self.payoff_model = payoff_model
"""model to derive the expected cashflow of an option payoff"""
@property
def fixed_rate(self):
fixed_rates = tuple(cf.fixed_rate for cf in self._flows.values())
if len(set(fixed_rates)) == 1:
return fixed_rates[0]
@fixed_rate.setter
def fixed_rate(self, value):
for cf in self._flows.values():
cf.fixed_rate = value