Basic PAM Example
Contract Definition
import pandas as pd
from awesome_actus_lib import PAM, PublicActusService
contract = PAM(
contractID="pam01",
statusDate="2012-12-30T00:00:00",
contractDealDate="2012-12-28T00:00:00",
currency="USD",
notionalPrincipal=3000,
initialExchangeDate="2013-01-01T00:00:00",
maturityDate="2014-01-01T00:00:00",
nominalInterestRate=0.1,
cycleAnchorDateOfInterestPayment="2013-01-01T00:00:00",
cycleOfInterestPayment="P1ML0",
dayCountConvention="30E360",
endOfMonthConvention="SD",
premiumDiscountAtIED=0,
rateMultiplier=1.0,
contractRole="RPA",
creatorID="Creator-01",
counterpartyID="Counterparty-01"
)
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 | 2013-01-01T00:00 | -3000 | USD | 3000 | 0.1 | 0 | pam01 |
| IP | 2013-01-01T00:00 | 0 | USD | 3000 | 0.1 | 0 | pam01 |
| IP | 2013-02-01T00:00 | 25 | USD | 3000 | 0.1 | 0 | pam01 |
| IP | 2013-03-01T00:00 | 25 | USD | 3000 | 0.1 | 0 | pam01 |
| IP | 2013-04-01T00:00 | 25 | USD | 3000 | 0.1 | 0 | pam01 |
| IP | 2013-05-01T00:00 | 25 | USD | 3000 | 0.1 | 0 | pam01 |
| IP | 2013-06-01T00:00 | 25 | USD | 3000 | 0.1 | 0 | pam01 |
| IP | 2013-07-01T00:00 | 25 | USD | 3000 | 0.1 | 0 | pam01 |
| IP | 2013-08-01T00:00 | 25 | USD | 3000 | 0.1 | 0 | pam01 |
| IP | 2013-09-01T00:00 | 25 | USD | 3000 | 0.1 | 0 | pam01 |
| IP | 2013-10-01T00:00 | 25 | USD | 3000 | 0.1 | 0 | pam01 |
| IP | 2013-11-01T00:00 | 25 | USD | 3000 | 0.1 | 0 | pam01 |
| IP | 2013-12-01T00:00 | 25 | USD | 3000 | 0.1 | 0 | pam01 |
| IP | 2014-01-01T00:00 | 25 | USD | 3000 | 0.1 | 0 | pam01 |
| MD | 2014-01-01T00:00 | 3000 | USD | 0 | 0.1 | 0 | pam01 |