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https://github.com/OpenBB-finance/OpenBB.git
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c66935d51e
* refactor openbb-cftc for v5 * add SHIBOR to fixings --------- Co-authored-by: deeleeramone <>
604 lines
17 KiB
Python
604 lines
17 KiB
Python
"""CFTC provider constants."""
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reports_dict = {
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"legacy_futures_only": "6dca-aqww",
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"legacy_combined": "jun7-fc8e",
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"disaggregated_futures_only": "72hh-3qpy",
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"disaggregated_combined": "kh3c-gbw2",
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"tff_futures_only": "gpe5-46if",
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"tff_combined": "yw9f-hn96",
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"supplemental": "4zgm-a668",
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}
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PPD_API_URL = "https://pddata.dtcc.com/ppd/api"
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JURISDICTION = "CFTC"
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ASSET_CLASSES = {
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"rates": "IR",
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"credits": "CR",
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"equities": "EQ",
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"forex": "FX",
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"commodities": "CO",
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}
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PPD_EARLIEST_DATE = "2023-12-29"
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PPD_RETENTION_DAYS = 366
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DAY_COUNT_CODES = {
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"A001": "30/360 (ISDA)",
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"A002": "30/365",
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"A003": "30/Actual",
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"A004": "ACT/360",
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"A005": "ACT/365F",
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"A006": "ACT/ACT (ICMA)",
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"A007": "30E/360 (Eurobond)",
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"A008": "ACT/ACT (ISDA)",
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"A009": "ACT/365L",
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"A010": "ACT/ACT (AFB)",
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"A011": "30/360 (ICMA)",
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"A012": "30E2/360",
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"A013": "30E3/360",
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"A014": "ACT/365 (NL)",
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"NARR": "Narrative",
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}
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DAY_COUNT_BASIS = {
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"A004": 360.0,
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"A005": 365.0,
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"A009": 365.0,
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"A014": 365.0,
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"A001": 365.0,
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"A011": 365.0,
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"A006": 365.0,
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"A008": 365.0,
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"A007": 365.0,
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}
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def day_count_basis(code: str | None, default: str) -> float:
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"""Resolve a fixed-leg day count code to its accrual denominator."""
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resolved = (code or "").strip() or default
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return DAY_COUNT_BASIS.get(resolved, DAY_COUNT_BASIS.get(default, 365.0))
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SOFR_OIS_FISN = "NA/Swap OIS USD"
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SOFR_FIXED_FLOAT_FISN = "NA/Swap Fxd Flt USD"
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OIS_INDICES: dict[str, dict[str, str]] = {
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"USD": {"index": "SOFR", "central_bank": "Federal Reserve", "day_count": "A004"},
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"EUR": {
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"index": "ESTR",
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"central_bank": "European Central Bank",
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"day_count": "A004",
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},
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"GBP": {"index": "SONIA", "central_bank": "Bank of England", "day_count": "A005"},
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"JPY": {"index": "TONA", "central_bank": "Bank of Japan", "day_count": "A005"},
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"CAD": {"index": "CORRA", "central_bank": "Bank of Canada", "day_count": "A005"},
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"CHF": {
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"index": "SARON",
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"central_bank": "Swiss National Bank",
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"day_count": "A004",
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},
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"MXN": {"index": "TIIE", "central_bank": "Banco de Mexico", "day_count": "A004"},
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"SGD": {
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"index": "SORA",
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"central_bank": "Monetary Authority of Singapore",
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"day_count": "A005",
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},
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"INR": {
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"index": "MIBOR",
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"central_bank": "Reserve Bank of India",
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"day_count": "A005",
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},
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"COP": {
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"index": "IBR",
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"central_bank": "Banco de la Republica",
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"day_count": "A004",
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},
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"ZAR": {
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"index": "ZARONIA",
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"central_bank": "South African Reserve Bank",
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"day_count": "A005",
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},
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"CLP": {
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"index": "ICP",
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"central_bank": "Banco Central de Chile",
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"day_count": "A004",
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},
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"THB": {"index": "THOR", "central_bank": "Bank of Thailand", "day_count": "A005"},
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"ILS": {"index": "SHIR", "central_bank": "Bank of Israel", "day_count": "A005"},
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"AUD": {
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"index": "AONIA",
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"central_bank": "Reserve Bank of Australia",
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"day_count": "A005",
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},
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"NZD": {
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"index": "NZIONA",
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"central_bank": "Reserve Bank of New Zealand",
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"day_count": "A005",
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},
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"BRL": {
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"index": "CDI",
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"central_bank": "Banco Central do Brasil",
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"day_count": "A005",
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},
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}
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def ois_fisn(currency: str) -> str:
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"""Return the UPI FISN of a currency's overnight index swap."""
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return f"NA/Swap OIS {currency.upper()}"
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def currency_basis(currency: str) -> float:
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"""Money-market accrual basis for a currency's rate leg, from its OIS day count."""
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return day_count_basis(
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OIS_INDICES.get(currency.upper(), {}).get("day_count"), "A004"
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)
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FIXED_FLOAT_CURVE_SPECS: dict[str, dict[str, str]] = {
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"CNY": {
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"index": "FR007",
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"central_bank": "People's Bank of China",
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"day_count": "A005",
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"fisn": "NA/Swap Fxd Flt CNY",
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"overnight_index": "SHIBOR",
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},
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}
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def curve_spec(currency: str) -> dict[str, str]:
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"""Return the benchmark spec a currency's rate curve is built against."""
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ccy = (currency or "").strip().upper()
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return OIS_INDICES.get(ccy) or FIXED_FLOAT_CURVE_SPECS[ccy]
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def curve_fisn(currency: str) -> str:
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"""Return the FISN a currency's rate curve is built from."""
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spec = curve_spec(currency)
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return spec.get("fisn") or ois_fisn(currency)
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def rate_curve_fisns(currency: str) -> list[str]:
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"""Swap families that could price a currency's rate curve, deepest source first."""
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ccy = (currency or "").strip().upper()
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candidates = [ois_fisn(ccy)] if ccy in OIS_INDICES else []
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candidates.append(f"NA/Swap Fxd Flt {ccy}")
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candidates.append(f"NA/Swap Fxd Flt {ccy} USD")
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return candidates
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CDS_INDEX_FISNS = ("NA/CDS Corp Idx", "NA/CDS Corp Idx Tra", "NA/CDS Sov Idx")
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CDS_INDEX_UNDERLIERS = (
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"CDX.NA.HY",
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"CDX.NA.IG",
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"ITRAXX EUROPE",
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"ITRAXX EUROPE CROSSOVER",
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"CDX.EM",
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"ITRAXX EUROPE SENIOR FINANCIALS",
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"CMBX.NA.BBB-",
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"IBOXX USD LIQUID LEVERAGED LOANS INDEX",
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"ITRAXX ASIA EX-JAPAN IG",
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"CMBX.NA.BB",
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"ITRAXX JAPAN",
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"ITRAXX EUROPE SUB FINANCIALS",
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"CMBX.NA.AAA",
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"CDX.FINANCIALS",
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"ITRAXX AUSTRALIA",
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)
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CDS_STANDARD_TENORS = (1.0, 2.0, 3.0, 5.0, 7.0, 10.0)
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CDS_TENOR_TOLERANCE_YEARS = 1.0
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DAYS_PER_YEAR = 365.25
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FX_PAIRS: dict[str, dict] = {
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"EURUSD": {
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"base": "EUR",
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"quote": "USD",
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"invert": False,
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"pip": 10_000.0,
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"forward_fisn": "NA/Fwd EUR USD",
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"swap_fisn": "NA/Swaps EUR USD",
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},
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"GBPUSD": {
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"base": "GBP",
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"quote": "USD",
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"invert": False,
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"pip": 10_000.0,
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"forward_fisn": "NA/Fwd GBP USD",
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"swap_fisn": "NA/Swaps GBP USD",
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},
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"AUDUSD": {
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"base": "AUD",
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"quote": "USD",
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"invert": False,
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"pip": 10_000.0,
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"forward_fisn": "NA/Fwd AUD USD",
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"swap_fisn": "NA/Swaps AUD USD",
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},
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"NZDUSD": {
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"base": "NZD",
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"quote": "USD",
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"invert": False,
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"pip": 10_000.0,
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"forward_fisn": "NA/Fwd NZD USD",
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"swap_fisn": "NA/Swaps NZD USD",
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},
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"USDJPY": {
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"base": "JPY",
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"quote": "USD",
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"invert": True,
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"pip": 100.0,
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"forward_fisn": "NA/Fwd JPY USD",
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"swap_fisn": "NA/Swaps JPY USD",
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},
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"USDCHF": {
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"base": "CHF",
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"quote": "USD",
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"invert": True,
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"pip": 10_000.0,
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"forward_fisn": "NA/Fwd CHF USD",
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"swap_fisn": "NA/Swaps CHF USD",
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},
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"USDCAD": {
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"base": "CAD",
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"quote": "USD",
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"invert": True,
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"pip": 10_000.0,
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"forward_fisn": "NA/Fwd CAD USD",
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"swap_fisn": "NA/Swaps CAD USD",
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},
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"USDKRW": {
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"base": "USD",
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"quote": "KRW",
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"invert": False,
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"ndf": True,
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"pip": 100.0,
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"forward_fisn": "NA/Fwd NDF KRW USD",
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"swap_fisn": "NA/Swaps NDS KRW USD",
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},
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"USDINR": {
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"base": "USD",
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"quote": "INR",
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"invert": False,
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"ndf": True,
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"pip": 10_000.0,
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"forward_fisn": "NA/Fwd NDF INR USD",
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"swap_fisn": "NA/Swaps NDS INR USD",
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},
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"USDBRL": {
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"base": "USD",
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"quote": "BRL",
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"invert": False,
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"ndf": True,
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"pip": 10_000.0,
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"forward_fisn": "NA/Fwd NDF BRL USD",
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"swap_fisn": "NA/Swaps NDS BRL USD",
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},
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"USDTWD": {
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"base": "USD",
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"quote": "TWD",
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"invert": False,
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"ndf": True,
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"pip": 1_000.0,
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"forward_fisn": "NA/Fwd NDF TWD USD",
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"swap_fisn": "NA/Swaps NDS TWD USD",
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},
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"USDIDR": {
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"base": "USD",
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"quote": "IDR",
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"invert": False,
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"ndf": True,
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"pip": 100.0,
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"forward_fisn": "NA/Fwd NDF IDR USD",
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"swap_fisn": "NA/Swaps NDS IDR USD",
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},
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"USDPHP": {
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"base": "USD",
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"quote": "PHP",
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"invert": False,
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"ndf": True,
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"pip": 1_000.0,
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"forward_fisn": "NA/Fwd NDF PHP USD",
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"swap_fisn": "NA/Swaps NDS PHP USD",
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},
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"USDCLP": {
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"base": "USD",
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"quote": "CLP",
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"invert": False,
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"ndf": True,
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"pip": 100.0,
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"forward_fisn": "NA/Fwd NDF CLP USD",
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"swap_fisn": "NA/Swaps NDS CLP USD",
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},
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"USDCOP": {
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"base": "USD",
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"quote": "COP",
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"invert": False,
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"ndf": True,
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"pip": 100.0,
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"forward_fisn": "NA/Fwd NDF COP USD",
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"swap_fisn": "NA/Swaps NDS COP USD",
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},
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"USDCNY": {
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"base": "USD",
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"quote": "CNY",
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"invert": False,
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"ndf": True,
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"pip": 10_000.0,
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"forward_fisn": "NA/Fwd NDF CNY USD",
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"swap_fisn": "NA/Swaps NDS CNY USD",
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},
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"USDPEN": {
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"base": "USD",
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"quote": "PEN",
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"invert": False,
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"ndf": True,
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"pip": 10_000.0,
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"forward_fisn": "NA/Fwd NDF PEN USD",
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"swap_fisn": "NA/Swaps NDS PEN USD",
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},
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"USDMYR": {
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"base": "USD",
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"quote": "MYR",
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"invert": False,
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"ndf": True,
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"pip": 10_000.0,
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"forward_fisn": "NA/Fwd NDF MYR USD",
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"swap_fisn": "NA/Swaps NDS MYR USD",
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},
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"USDHKD": {
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"base": "HKD",
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"quote": "USD",
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"invert": True,
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"ndf": False,
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"pip": 10_000.0,
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"forward_fisn": "NA/Fwd HKD USD",
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"swap_fisn": "NA/Swaps HKD USD",
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},
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"USDMXN": {
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"base": "MXN",
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"quote": "USD",
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"invert": True,
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"ndf": False,
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"pip": 10_000.0,
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"forward_fisn": "NA/Fwd MXN USD",
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"swap_fisn": "NA/Swaps MXN USD",
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},
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"USDTHB": {
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"base": "THB",
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"quote": "USD",
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"invert": True,
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"ndf": False,
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"pip": 1_000.0,
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"forward_fisn": "NA/Fwd THB USD",
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"swap_fisn": "NA/Swaps THB USD",
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},
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"EURCHF": {
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"base": "CHF",
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"quote": "EUR",
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"invert": True,
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"ndf": False,
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"pip": 10_000.0,
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"forward_fisn": "NA/Fwd CHF EUR",
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"swap_fisn": "NA/Swaps CHF EUR",
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},
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"AUDCNY": {
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"base": "AUD",
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"quote": "CNY",
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"invert": False,
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"ndf": True,
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"pip": 10_000.0,
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"forward_fisn": "NA/Fwd NDF AUD CNY",
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"swap_fisn": "NA/Swaps NDS AUD CNY",
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},
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}
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MAJOR_FX_PAIRS: dict[str, dict] = {
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"EURUSD": {"base": "EUR", "quote": "USD", "pip": 10_000.0},
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"GBPUSD": {"base": "GBP", "quote": "USD", "pip": 10_000.0},
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"USDJPY": {"base": "USD", "quote": "JPY", "pip": 100.0},
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"USDCHF": {"base": "USD", "quote": "CHF", "pip": 10_000.0},
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"USDCAD": {"base": "USD", "quote": "CAD", "pip": 10_000.0},
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"EURGBP": {"base": "EUR", "quote": "GBP", "pip": 10_000.0},
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"EURJPY": {"base": "EUR", "quote": "JPY", "pip": 100.0},
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"EURCHF": {"base": "EUR", "quote": "CHF", "pip": 10_000.0},
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"EURCAD": {"base": "EUR", "quote": "CAD", "pip": 10_000.0},
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"GBPJPY": {"base": "GBP", "quote": "JPY", "pip": 100.0},
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"GBPCHF": {"base": "GBP", "quote": "CHF", "pip": 10_000.0},
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"CADJPY": {"base": "CAD", "quote": "JPY", "pip": 100.0},
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"CHFJPY": {"base": "CHF", "quote": "JPY", "pip": 100.0},
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"USDBRL": {"base": "USD", "quote": "BRL", "pip": 10_000.0, "ndf": True},
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"USDKRW": {"base": "USD", "quote": "KRW", "pip": 100.0, "ndf": True},
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"USDINR": {"base": "USD", "quote": "INR", "pip": 10_000.0, "ndf": True},
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"USDTWD": {"base": "USD", "quote": "TWD", "pip": 1_000.0, "ndf": True},
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"USDCOP": {"base": "USD", "quote": "COP", "pip": 100.0, "ndf": True},
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}
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FX_TENOR_BUCKETS: list[tuple[str, int, int]] = [
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("SPOT", 0, 2),
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("1W", 3, 9),
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("2W", 10, 20),
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("1M", 21, 45),
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("2M", 46, 75),
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("3M", 76, 110),
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("6M", 111, 200),
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("9M", 201, 290),
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("1Y", 291, 400),
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("2Y", 401, 800),
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]
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BENCHMARK_TENORS: list[tuple[str, int]] = [
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("1W", 7),
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("2W", 14),
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("1M", 30),
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("2M", 61),
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("3M", 91),
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("4M", 122),
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("6M", 182),
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("9M", 273),
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("1Y", 365),
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("18M", 548),
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("2Y", 730),
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("3Y", 1095),
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("4Y", 1461),
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("5Y", 1826),
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("6Y", 2191),
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("7Y", 2556),
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("8Y", 2922),
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("9Y", 3287),
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("10Y", 3652),
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("12Y", 4383),
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("15Y", 5478),
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("20Y", 7305),
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("25Y", 9131),
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("30Y", 10957),
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]
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MAX_CURVE_DAYS = round(BENCHMARK_TENORS[-1][1] * 1.02)
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_TENOR_DAYS: dict[str, int] = dict(BENCHMARK_TENORS)
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def tenor_to_years(label: str) -> float:
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"""Convert a benchmark tenor label to a year fraction."""
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from openbb_core.app.model.abstract.error import OpenBBError
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days = _TENOR_DAYS.get((label or "").strip().upper())
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if days is None:
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raise OpenBBError(
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f"Invalid tenor '{label}'. Valid tenors are: "
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+ ", ".join(t for t, _ in BENCHMARK_TENORS)
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)
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return days / 365.0
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OIS_PAYMENT_PERIOD_DAYS = 365
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ZERO_RATE_BASIS = 365.0
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SINGLE_PAYMENT_MAX_DAYS = 370
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MAX_ABS_ZERO_RATE = 1.0
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SLICE_HEADERS: tuple[str, ...] = (
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"Dissemination Identifier",
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"Original Dissemination Identifier",
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"Action type",
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"Event type",
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"Event timestamp",
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|
"Amendment indicator",
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"Asset Class",
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"Product name",
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"Cleared",
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"Mandatory clearing indicator",
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"Execution Timestamp",
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"Effective Date",
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"Expiration Date",
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|
"Maturity date of the underlier",
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|
"Non-standardized term indicator",
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|
"Platform identifier",
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|
"Prime brokerage transaction indicator",
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"Block trade election indicator",
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|
"Large notional off-facility swap election indicator",
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"Notional amount-Leg 1",
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"Notional amount-Leg 2",
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"Notional currency-Leg 1",
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|
"Notional currency-Leg 2",
|
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"Notional quantity-Leg 1",
|
|
"Notional quantity-Leg 2",
|
|
"Total notional quantity-Leg 1",
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|
"Total notional quantity-Leg 2",
|
|
"Quantity frequency multiplier-Leg 1",
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|
"Quantity frequency multiplier-Leg 2",
|
|
"Quantity unit of measure-Leg 1",
|
|
"Quantity unit of measure-Leg 2",
|
|
"Quantity frequency-Leg 1",
|
|
"Quantity frequency-Leg 2",
|
|
"Notional amount in effect on associated effective date-Leg 1",
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|
"Notional amount in effect on associated effective date-Leg 2",
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|
"Effective date of the notional amount-Leg 1",
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|
"Effective date of the notional amount-Leg 2",
|
|
"End date of the notional amount-Leg 1",
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|
"End date of the notional amount-Leg 2",
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"Call amount",
|
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"Call currency",
|
|
"Put amount",
|
|
"Put currency",
|
|
"Exchange rate",
|
|
"Exchange rate basis",
|
|
"First exercise date",
|
|
"Fixed rate-Leg 1",
|
|
"Fixed rate-Leg 2",
|
|
"Option Premium Amount",
|
|
"Option Premium Currency",
|
|
"Price",
|
|
"Price unit of measure",
|
|
"Spread-Leg 1",
|
|
"Spread-Leg 2",
|
|
"Spread currency-Leg 1",
|
|
"Spread currency-Leg 2",
|
|
"Strike Price",
|
|
"Strike price currency/currency pair",
|
|
"Post-priced swap indicator",
|
|
"Price currency",
|
|
"Price notation",
|
|
"Spread notation-Leg 1",
|
|
"Spread notation-Leg 2",
|
|
"Strike price notation",
|
|
"Fixed rate day count convention-leg 1",
|
|
"Fixed rate day count convention-leg 2",
|
|
"Floating rate day count convention-leg 1",
|
|
"Floating rate day count convention-leg 2",
|
|
"Floating rate reset frequency period-leg 1",
|
|
"Floating rate reset frequency period-leg 2",
|
|
"Floating rate reset frequency period multiplier-leg 1",
|
|
"Floating rate reset frequency period multiplier-leg 2",
|
|
"Other payment amount",
|
|
"Fixed rate payment frequency period-Leg 1",
|
|
"Floating rate payment frequency period-Leg 1",
|
|
"Fixed rate payment frequency period-Leg 2",
|
|
"Floating rate payment frequency period-Leg 2",
|
|
"Fixed rate payment frequency period multiplier-Leg 1",
|
|
"Floating rate payment frequency period multiplier-Leg 1",
|
|
"Fixed rate payment frequency period multiplier-Leg 2",
|
|
"Floating rate payment frequency period multiplier-Leg 2",
|
|
"Other payment type",
|
|
"Other payment currency",
|
|
"Settlement currency-Leg 1",
|
|
"Settlement currency-Leg 2",
|
|
"Settlement location",
|
|
"Collateralisation category",
|
|
"Custom basket indicator",
|
|
"Index factor",
|
|
"Underlier ID-Leg 1",
|
|
"Underlier ID-Leg 2",
|
|
"Underlier ID source-Leg 1",
|
|
"Underlying Asset Name",
|
|
"Underlying asset subtype or underlying contract subtype-Leg 1",
|
|
"Underlying asset subtype or underlying contract subtype-Leg 2",
|
|
"Embedded Option type",
|
|
"Option Type",
|
|
"Option Style",
|
|
"Package indicator",
|
|
"Package transaction price",
|
|
"Package transaction price currency",
|
|
"Package transaction price notation",
|
|
"Package transaction spread",
|
|
"Package transaction spread currency",
|
|
"Package transaction spread notation",
|
|
"Physical delivery location-Leg 1",
|
|
"Delivery Type",
|
|
"Unique Product Identifier",
|
|
"UPI FISN",
|
|
"UPI Underlier Name",
|
|
)
|