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Market Data & Derivatives Pricing Tutorial based on Jupyter notebooks
In C++ there are several constructors for BondSpecification. The one that is swigged is insufficient as it does not distinguish between fixing dates and payment dates. In other words, it...
- Throw an error message if the number of coupons is not equal to the number of coupon dates. - Avoid kernel shutdown if coupon dates, but no coupons (i.e....
- Throw error message if not(Issue Date < Expiry Date). - Seek for consistency in the argument lists: currently we have - at least - the following inconsistency: > BondSpecification():...
- Extend BondSpecification() by two more arguments for lists of caps and/or floors. - Verify the error messages for the wrong number of arguments (-2, -1, +1, +2).
Ensure SecuritizationLevel being serialised in BaseSpecification.
For roll convention 'Preceding' the end date might be unchanged even thought the last coupon date (at the same day) was rolled. It seems that the roll convention is not...
While enums offers the roll convention MODIFIED_PRECEDING, the C++ code has no corresponding implementation.
The method InstrumentSpec.get_deposit_spec in pyvacon.marketdata.bootstrapping.py should be replaced by def get_deposit_spec(self): """ Specification for deposits """ # start date of the accrual period startDate = get_end_date(self.refDate, self.spotLag) startDate_p = converter.getLTime(startDate)...
Provide 'BondPricer' as default pricer for pyvacon.pricing.BondPricingData() 'BondPricer'. Thereafter we can remove the pricer configuration in the notebooks to use them for testing purposes only.