Set Up Accrual Methods

finmath/RateUtils/RateUtils.py

@@ -0,0 +1,45 @@
+import numpy as np
+import pandas as pd
+
+from calendars import DayCounts
+
+
+class RateUtils:
+
+    accrual_methods = ['BUS', 'ACT']
+
+    def __init__(self, dc='BUS/252', calendar='anbima'):
+        self.dc = DayCounts(dc, calendar=calendar)
+        self.accrual_methods_map = {
+            'BUS': self.__accrual_bus,
+            'ACT': self.__accrual_act
+        }
+
+    @staticmethod
+    def __accrual(rates):
+        return (1 + rates).cumprod()
+
+    def __accrual_act(self, rates, dates):
+        n_days = [self.dc.days(t0, t1) for t0, t1 in zip(dates[1:], dates[:-1])]
+        accrual = n_days * (rates/100)/365
+        return self.__accrual(accrual)
+
+    def __accrual_bus(self, rates, dates):
+        return self.__accrual((rates/100)/252)
+
+    def accrual(self, rates: pd.Series, dates: pd.Series, method: str):
+        try:
+            return self.accrual_methods_map[method](rates, dates)
+        except KeyError:
+            print(f'Accrual method: {method} is not supported! Supported values: {RateUtils.accrual_methods}')
+            raise
+
+
+if __name__ == "__main__":
+    cdi = pd.read_excel('../../datasets/data/CDI.xlsx')
+    # reverse CDI
+    cdi = cdi[::-1].reset_index()
+    utils = RateUtils()
+
+    acc = utils.accrual(cdi['CDI (taxa)'], cdi['Date'], 'BUS')
+    print(acc)