Basic LAM Example

Contract Definition

import pandas as pd
from awesome_actus_lib import LAM, PublicActusService, ReferenceIndex

contract = LAM(
    contractID="lam01",
    contractRole="RPA",
    contractDealDate="2012-12-28T00:00:00",
    initialExchangeDate="2013-01-01T00:00:00",
    statusDate="2012-12-30T00:00:00",
    notionalPrincipal=5000,
    cycleAnchorDateOfPrincipalRedemption="2013-02-01T00:00:00",
    nextPrincipalRedemptionPayment=500,
    dayCountConvention="A365",
    nominalInterestRate=0.08,
    currency="USD",
    cycleOfPrincipalRedemption="P1ML0",
    cycleAnchorDateOfRateReset="2013-04-01T00:00:00",
    cycleOfRateReset="P3ML1",
    rateMultiplier=1,
    rateSpread=0.1,
    fixingDays="P0D",
    cycleAnchorDateOfInterestPayment="2013-02-01T00:00:00",
    cycleOfInterestPayment="P1ML0",
    endOfMonthConvention="SD",
    interestCalculationBase="NT",
    marketObjectCodeOfRateReset="USD.SWP",
    interestCalculationBaseAmount=0,
    creatorID="Creator-01",
    counterpartyID="Counterparty-01"
)
rf_data_USD_SWP = pd.DataFrame({
    "date": ["2013-04-01", "2013-07-01", "2013-10-01", "2014-01-01"],
    "value": [0.01056790123456790, 0.01167901234567900, 0.01279012345679010, 0.01390123456790120]
})
rf_USD_SWP = ReferenceIndex(marketObjectCode="USD.SWP", source=rf_data_USD_SWP)
service = PublicActusService()
event_stream = service.generateEvents(portfolio=contract, riskFactors=[rf_USD_SWP])
print(event_stream.events_df)

Generated Events

type	time	payoff	currency	nominalValue	nominalRate	nominalAccrued	contractId
IED	2013-01-01T00:00	-5000	USD	5000	0.08	0	lam01
PR	2013-02-01T00:00	500	USD	4500	0.08	33.9726	lam01
IP	2013-02-01T00:00	33.9726	USD	4500	0.08	0	lam01
PR	2013-03-01T00:00	500	USD	4000	0.08	27.6164	lam01
IP	2013-03-01T00:00	27.6164	USD	4000	0.08	0	lam01
PR	2013-04-01T00:00	500	USD	3500	0.08	27.1781	lam01
IP	2013-04-01T00:00	27.1781	USD	3500	0.08	0	lam01
RR	2013-04-01T00:00	0	USD	3500	0.110568	0	lam01
PR	2013-05-01T00:00	500	USD	3000	0.110568	31.8072	lam01
IP	2013-05-01T00:00	31.8072	USD	3000	0.110568	0	lam01
PR	2013-06-01T00:00	500	USD	2500	0.110568	28.1721	lam01
IP	2013-06-01T00:00	28.1721	USD	2500	0.110568	0	lam01
PR	2013-07-01T00:00	500	USD	2000	0.110568	22.7194	lam01
IP	2013-07-01T00:00	22.7194	USD	2000	0.110568	0	lam01
RR	2013-07-01T00:00	0	USD	2000	0.111679	0	lam01
PR	2013-08-01T00:00	500	USD	1500	0.111679	18.9701	lam01
IP	2013-08-01T00:00	18.9701	USD	1500	0.111679	0	lam01
PR	2013-09-01T00:00	500	USD	1000	0.111679	14.2276	lam01
IP	2013-09-01T00:00	14.2276	USD	1000	0.111679	0	lam01
PR	2013-10-01T00:00	500	USD	500	0.111679	9.1791	lam01
IP	2013-10-01T00:00	9.1791	USD	500	0.111679	0	lam01
RR	2013-10-01T00:00	0	USD	500	0.11279	0	lam01
IP	2013-11-01T00:00	4.78972	USD	500	0.11279	0	lam01
MD	2013-11-01T00:00	500	USD	0	0.11279	0	lam01