Basic LAX Example

Contract Definition

import pandas as pd
from awesome_actus_lib import LAX, PublicActusService

contract = LAX(
    contractID="lax01",
    creatorID="Creator-01",
    counterpartyID="Counterparty-01",
    statusDate="2020-01-01T00:00:00",
    contractRole="RPA",
    calendar="NC",
    businessDayConvention="SCF",
    endOfMonthConvention="SD",
    currency="EUR",
    contractDealDate="2020-01-01T00:00:00",
    initialExchangeDate="2020-01-02T00:00:00",
    maturityDate="2024-12-31T00:00:00",
    notionalPrincipal=100,
    arrayCycleAnchorDateOfInterestPayment="2021-01-01T00:00:00",
    arrayCycleOfInterestPayment="P1YL1",
    nominalInterestRate=0.05,
    dayCountConvention='30E360',
    arrayCycleAnchorDateOfPrincipalRedemption="2021-01-01T00:00:00",
    arrayCycleOfPrincipalRedemption="P1YL1",
    arrayNextPrincipalRedemptionPayment=20,
    arrayIncreaseDecrease="DEC"
)

service = PublicActusService()
event_stream = service.generateEvents(portfolio=contract, riskFactors=[])
print(event_stream.events_df)

Generated Events

type	time	payoff	currency	nominalValue	nominalRate	nominalAccrued	contractId
IED	2020-01-02T00:00	-100	EUR	100	0.05	0	lax01
PR	2021-01-01T00:00	20	EUR	80	0.05	4.98611	lax01
IP	2021-01-01T00:00	4.98611	EUR	80	0.05	0	lax01
PR	2022-01-01T00:00	20	EUR	60	0.05	4	lax01
IP	2022-01-01T00:00	4	EUR	60	0.05	0	lax01
PR	2023-01-01T00:00	20	EUR	40	0.05	3	lax01
IP	2023-01-01T00:00	3	EUR	40	0.05	0	lax01
PR	2024-01-01T00:00	20	EUR	20	0.05	2	lax01
IP	2024-01-01T00:00	2	EUR	20	0.05	0	lax01
PR	2025-01-01T00:00	20	EUR	0	0.05	1	lax01
IP	2025-01-01T00:00	1	EUR	0	0.05	0	lax01
PR	2026-01-01T00:00	0	EUR	0	0.05	0	lax01
IP	2026-01-01T00:00	0	EUR	0	0.05	0	lax01
PR	2027-01-01T00:00	0	EUR	0	0.05	0	lax01
IP	2027-01-01T00:00	0	EUR	0	0.05	0	lax01
PR	2028-01-01T00:00	0	EUR	0	0.05	0	lax01
IP	2028-01-01T00:00	0	EUR	0	0.05	0	lax01
PR	2029-01-01T00:00	0	EUR	0	0.05	0	lax01
IP	2029-01-01T00:00	0	EUR	0	0.05	0	lax01
PR	2030-01-01T00:00	0	EUR	0	0.05	0	lax01
IP	2030-01-01T00:00	0	EUR	0	0.05	0	lax01
IP	2030-06-26T16:50:27.115721636	0	EUR	0	0.05	0	lax01
MD	2030-06-26T16:50:27.115721636	0	EUR	0	0.05	0	lax01