Assets

The ASSETS component of the dataset describes the forwards of each asset that would be required to value a contract. This includes

• the base asset (currency) in which the contract is valued
• any asset (currency, equity, commodity) received by the contract
• any asset value used in a snapper, or in a model

In the present version the following schemas are supported to describe the forwards. This list will be extended in coming versions.

Zero Rates

You can describe the base asset using a two-column (N X 2) numpy array, where the first column is time, and the second represents term zero rates, e.g.

[[0.   0.04]
 [1.   0.04]
 [5.   0.05]]

It can be created like

discount_data = ("ZERO_RATES", np.array([[0.0, 0.04], [1.0, .04], [5.0, 0.05]]))
dataset = {
    "BASE": "USD",
    "PRICING_TS": ..
    "ASSETS": {"USD": discount_data},
}

Or alternatively, using np.column_stack from two arrays

times = np.array([0.0, 1.0, 5.0])
rates = np.array([0.04, 0.04, 0.05])
discount_data = ("ZERO_RATES", np.column_stack((times, rates)))

Forwards

You can describe any asset using a two-column (N X 2) numpy array, where the first column is time, and the second represents forwards, e.g.

spot = 2900
div_rate = 0.01
times = np.array([0.0, 1.0, 2.0, 5.0])
rates = np.array([0.04, 0.04, 0.045, 0.05])
fwds = spot * np.exp((rates - div_rate) * times)
fwd_data = ("FORWARDS", np.column_stack((times, fwds)))

dataset = {
    "BASE": "USD",
    "PRICING_TS": ..
    "ASSETS": {"SPX": fwd_data},
}