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refactor
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@attack68
attack68 committed Dec 9, 2024
1 parent d588162 commit 9556706
Showing 1 changed file with 137 additions and 99 deletions.
236 changes: 137 additions & 99 deletions python/rateslib/scheduling.py
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Original file line number Diff line number Diff line change
Expand Up @@ -277,113 +277,49 @@ def __init__(
self.payment_lag: int = _drb(defaults.payment_lag, payment_lag)
self.calendar: CalTypes = get_calendar(calendar)
self.frequency: str = _validate_frequency(frequency)
self.effective: datetime = _validate_effective(
effective, self.eval_mode, self.eval_date, self.modifier, self.calendar, roll
)
self.termination: datetime = _validate_termination(
termination, self.effective, self.modifier, self.calendar, roll, self.eom
)

if isinstance(effective, str):
if isinstance(self.eval_date, NoInput):
raise ValueError(
"For `effective` given as string tenor, must also supply a `base_eval` date.",
)
if self.eval_mode == "swaps_align":
# effective date is calculated as unadjusted
effective_: datetime = add_tenor(
self.eval_date,
effective,
"NONE",
NoInput(0),
roll,
)
elif self.eval_mode == "swaptions_align":
effective_ = add_tenor(
self.eval_date,
effective,
self.modifier,
self.calendar,
roll,
)
if self.frequency == "Z":
# Then stubs cannot exist so pre-populate schedule data before attribution.
self.ueffective: datetime = self.effective
self.utermination: datetime = self.termination
self.stub: str = defaults.stub
self.front_stub: datetime | NoInput = NoInput(0)
self.back_stub: datetime | NoInput = NoInput(0)
self.roll: str | int | NoInput = NoInput(0)
self.uschedule: list[datetime] = [self.effective, self.termination]
else:
effective_ = effective
self.effective: datetime = effective_

if isinstance(termination, str):
if _is_day_type_tenor(termination):
termination_: datetime = add_tenor(
start=self.effective,
tenor=termination,
modifier=self.modifier,
calendar=self.calendar,
roll=NoInput(0),
settlement=False,
mod_days=False,
)
# will attempt to populate stubs via inference over all parameters
self.stub: str = _validate_stub(stub, front_stub, back_stub)
if "FRONT" in self.stub and "BACK" in self.stub:
self._dual_sided_stub_parsing(front_stub, back_stub, roll)
elif "FRONT" in self.stub:
self._front_sided_stub_parsing(front_stub, back_stub, roll)
elif "BACK" in self.stub:
self._back_sided_stub_parsing(front_stub, back_stub, roll)
else:
# if termination is string the end date is calculated as unadjusted, which will
# be used later according to roll inference rules, for monthly and yearly tenors.
if (
self.eom
and isinstance(roll, NoInput)
and _is_eom_cal(self.effective, self.calendar)
):
roll_: str | int | NoInput = 31
else:
roll_ = roll
termination_ = add_tenor(
self.effective,
termination,
"NONE",
self.calendar, # calendar is unused for NONE type modifier
roll_,
raise ValueError(
"`stub` should be combinations of {'SHORT', 'LONG'} with {'FRONT', 'BACK'}.",
)
else:
termination_ = termination
self.termination: datetime = termination_

if self.termination <= self.effective:
raise ValueError("`termination` must be after `effective`.")

if self.frequency == "Z":
self.ueffective = NoInput(0)
self.utermination = NoInput(0)
self.stub = NoInput(0)
self.front_stub = NoInput(0)
self.back_stub = NoInput(0)
self.roll = NoInput(0)
self.uschedule = [self.effective, self.termination]
self._attribute_schedules()
return None

if isinstance(stub, NoInput):
# if specific stub dates are given we cannot know if these are long or short
if front_stub is NoInput.blank:
stub = defaults.stub if back_stub is NoInput.blank else "BACK"
else:
stub = "FRONT" if back_stub is NoInput.blank else "FRONTBACK"
else:
stub = stub.upper()
self.stub = stub

if "FRONT" in stub and "BACK" in stub:
self._dual_sided_stub_parsing(front_stub, back_stub, roll)
elif "FRONT" in stub:
self._front_sided_stub_parsing(front_stub, back_stub, roll)
elif "BACK" in stub:
self._back_sided_stub_parsing(front_stub, back_stub, roll)
else:
raise ValueError(
"`stub` should be combinations of {'SHORT', 'LONG'} with {'FRONT', 'BACK'}.",
self.uschedule = list(
_generate_irregular_schedule_unadjusted(
self.ueffective,
self.utermination,
self.frequency,
self.roll,
self.front_stub,
self.back_stub,
),
)

self.uschedule = list(
_generate_irregular_schedule_unadjusted(
self.ueffective,
self.utermination,
self.frequency,
self.roll,
self.front_stub,
self.back_stub,
),
)
self._attribute_schedules()
return None


def _dual_sided_stub_parsing(self, front_stub, back_stub, roll):
"""This is called when the provided `stub` argument implies dual sided stubs."""
Expand Down Expand Up @@ -1533,6 +1469,108 @@ def _validate_frequency(frequency: str) -> str:
raise ValueError("`frequency` must be in {M, B, Q, T, S, A, Z}.")
return frequency

def _validate_effective(
effective: datetime | str,
eval_mode: str,
eval_date: datetime | NoInput,
modifier: str,
calendar: CalTypes,
roll: int | str | NoInput,
) -> datetime:
"""
Determine the effective date of a schedule if it is given in string form from
other parameters such as the eval date and the eval mode.
"""
if isinstance(effective, str):
if isinstance(eval_date, NoInput):
raise ValueError(
"For `effective` given as string tenor, must also supply a base `eval_date`.",
)
if eval_mode == "swaps_align":
# effective date is calculated as unadjusted
return add_tenor(
eval_date,
effective,
"NONE",
NoInput(0),
roll,
)
else: # eval_mode == "swaptions_align":
return add_tenor(
eval_date,
effective,
modifier,
calendar,
roll,
)
else:
return effective

def _validate_termination(
termination: datetime | str,
effective: datetime,
modifier: str,
calendar: CalTypes,
roll: int | str | NoInput,
eom: bool,
) -> datetime:
"""
Determine the termination date of a schedule if it is given in string form from
"""
if isinstance(termination, str):
if _is_day_type_tenor(termination):
termination_: datetime = add_tenor(
start=effective,
tenor=termination,
modifier=modifier,
calendar=calendar,
roll=NoInput(0),
settlement=False,
mod_days=False,
)
else:
# if termination is string the end date is calculated as unadjusted, which will
# be used later according to roll inference rules, for monthly and yearly tenors.
if eom and isinstance(roll, NoInput) and _is_eom_cal(effective, calendar):
roll_: str | int | NoInput = 31
else:
roll_ = roll
termination_ = add_tenor(
effective,
termination,
"NONE",
calendar, # calendar is unused for NONE type modifier
roll_,
)
else:
termination_ = termination

if termination_ <= effective:
raise ValueError("Schedule `termination` must be after `effective`.")
return termination_

def _validate_stub(
stub: str | NoInput,
front_stub: datetime | NoInput,
back_stub: datetime | NoInput
) -> str:
"""
Sets a default type stub depending upon the `front_stub` and `back_stub` values.
"""
if isinstance(stub, NoInput):
# if specific stub dates are given we cannot know if these are long or short
if isinstance(front_stub, NoInput) and isinstance(back_stub, NoInput):
stub_: str = defaults.stub
elif isinstance(front_stub, NoInput):
stub_ = "BACK"
elif isinstance(back_stub, NoInput):
stub_ = "FRONT"
else:
stub_ = "FRONTBACK"
else:
stub_ = stub.upper()
return stub_

# Licence: Creative Commons - Attribution-NonCommercial-NoDerivatives 4.0 International
# Commercial use of this code, and/or copying and redistribution is prohibited.
# Contact rateslib at gmail.com if this code is observed outside its intended sphere.

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