Set Up Accrual Methods

finmath/RateUtils/RateUtils.py

@@ -0,0 +1,78 @@
+import numpy as np
+import pandas as pd
+
+from calendars import DayCounts
+
+
+class RateUtils:
+
+    accrual_methods = ['BUS/252', 'ACT/360', 'ACT/365']
+
+    def __init__(self, calendar='anbima'):
+        self.currency_map = {
+            'BRL': {
+                'method': self.__bus_252,
+                'shift': 0,
+            },
+            'USD': {
+                'method': self.__act_360,
+                'shift': 1,
+            },
+            'CHF': {
+                'method': self.__act_360,
+                'shift': -1,
+            },
+            'EUR': {
+                'method': self.__act_360,
+                'shift': 0,
+            },
+            'GBP': {
+                'method': self.__act_365,
+                'shift': 0,
+            },
+            'JPY': {
+                'method': self.__act_365,
+                'shift': 1,
+            },
+        }
+        self.calendar = calendar
+        self.accrual_methods_map = {
+            'BUS/252': self.__bus_252,
+            'ACT/360': self.__act_360,
+            'ACT/365': self.__act_365
+        }
+
+    def __act_360(self, rates, dates, shift):
+        dc = DayCounts(dc='ACT/360', calendar=self.calendar)
+        rates = rates.shift(shift)
+        n_days = [dc.days(t0, t1) for t0, t1 in zip(dates[1:], dates[:-1])]
+        accrual = n_days * (rates/100)/360
+        return (1 + accrual).cumprod()
+
+    def __act_365(self, rates, dates, shift):
+        dc = DayCounts(dc='ACT/365', calendar=self.calendar)
+        rates = rates.shift(shift)
+        n_days = [dc.days(t0, t1) for t0, t1 in zip(dates[1:], dates[:-1])]
+        accrual = n_days * (rates/100)/365
+        return (1 + accrual).cumprod()
+
+    def __bus_252(self, rates, *_):
+        return ((1 + rates/100)**(1/252)).cumprod()
+
+    def currency_accrual(self, rates: pd.Series, dates: pd.Series, currency: str):
+        try:
+            curr = self.currency_map[currency]
+            return curr['method'](rates, dates, curr['shift'])
+        except KeyError:
+            print(f'Currency: {currency} is not supported! Supported values: {self.currency_map.keys()}')
+            raise
+
+
+if __name__ == "__main__":
+    cdi = pd.read_excel('../../datasets/data/CDI.xlsx')
+    # reverse CDI
+    cdi = cdi[::-1].reset_index()
+    utils = RateUtils()
+
+    acc = utils.currency_accrual(cdi['CDI (taxa)'], cdi['Date'], 'BRL')
+    print(acc)