Basic NAM Example

Contract Definition

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

contract = NAM(
    contractID="nam01",
    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",
    cycleOfPrincipalRedemption="P1ML0",
    nextPrincipalRedemptionPayment=500,
    dayCountConvention="A365",
    nominalInterestRate=0.08,
    currency="USD",
    maturityDate="2013-12-01T00:00:00",
    cycleAnchorDateOfRateReset="2013-04-01T00:00:00",
    cycleOfRateReset="P3ML1",
    marketObjectCodeOfRateReset="LIBOR_USD",
    rateSpread=0.1,
    fixingDays="P0D",
    cycleAnchorDateOfInterestPayment="2013-02-01T00:00:00",
    cycleOfInterestPayment="P1ML0",
    interestCalculationBase="NT",
    interestCalculationBaseAmount=0,
    creatorID="Creator-01",
    counterpartyID="Counterparty-01"
)
rf_data_LIBOR_USD = pd.DataFrame({
    "date": ["2013-04-01", "2013-07-01", "2013-10-01", "2014-01-01", "2014-04-01", "2014-07-01", "2014-10-01", "2015-01-01", "2015-04-01", "2015-07-01", "2015-10-01"],
    "value": [0.010567901234567900, 0.011679012345679000, 0.012790123456790100, 0.013901234567901200, 0.015012345679012300, 0.016123456790123400, 0.017234567901234500, 0.018345679012345600, 0.019456790123456800, 0.020567901234567800, 0.021679012345679000]
})
rf_LIBOR_USD = ReferenceIndex(marketObjectCode="LIBOR_USD", source=rf_data_LIBOR_USD)
service = PublicActusService()
event_stream = service.generateEvents(portfolio=contract, riskFactors=[rf_LIBOR_USD])
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	nam01
PR	2013-02-01T00:00	466.027	USD	4533.97	0.08	33.9726	nam01
IP	2013-02-01T00:00	33.9726	USD	4533.97	0.08	0	nam01
PR	2013-03-01T00:00	472.175	USD	4061.8	0.08	27.8249	nam01
IP	2013-03-01T00:00	27.8249	USD	4061.8	0.08	0	nam01
PR	2013-04-01T00:00	472.402	USD	3589.4	0.08	27.598	nam01
IP	2013-04-01T00:00	27.598	USD	3589.4	0.08	0	nam01
RR	2013-04-01T00:00	0	USD	3589.4	0.110568	0	nam01
PR	2013-05-01T00:00	467.38	USD	3122.02	0.110568	32.6196	nam01
IP	2013-05-01T00:00	32.6196	USD	3122.02	0.110568	0	nam01
PR	2013-06-01T00:00	470.682	USD	2651.33	0.110568	29.3179	nam01
IP	2013-06-01T00:00	29.3179	USD	2651.33	0.110568	0	nam01
PR	2013-07-01T00:00	475.905	USD	2175.43	0.110568	24.0947	nam01
IP	2013-07-01T00:00	24.0947	USD	2175.43	0.110568	0	nam01
RR	2013-07-01T00:00	0	USD	2175.43	0.111679	0	nam01
PR	2013-08-01T00:00	479.366	USD	1696.06	0.111679	20.6341	nam01
IP	2013-08-01T00:00	20.6341	USD	1696.06	0.111679	0	nam01
PR	2013-09-01T00:00	483.913	USD	1212.15	0.111679	16.0873	nam01
IP	2013-09-01T00:00	16.0873	USD	1212.15	0.111679	0	nam01
PR	2013-10-01T00:00	488.874	USD	723.275	0.111679	11.1264	nam01
IP	2013-10-01T00:00	11.1264	USD	723.275	0.111679	0	nam01
RR	2013-10-01T00:00	0	USD	723.275	0.11279	0	nam01
PR	2013-11-01T00:00	493.071	USD	230.204	0.11279	6.92857	nam01
IP	2013-11-01T00:00	6.92857	USD	230.204	0.11279	0	nam01
IP	2013-12-01T00:00	2.13409	USD	230.204	0.11279	0	nam01
MD	2013-12-01T00:00	230.204	USD	0	0.11279	0	nam01

Basic NAM Example

Contract Definition​

Generated Events​

Contract Definition

Generated Events