Source code for tensorquant.markethandles.utils

from enum import Enum
from tensorflow import Tensor




[docs]
class Position(Enum):
    """Enum to represent trading position types.

    Attributes:
        Long (int): Represents a long position with a value of 1.
        Short (int): Represents a short position with a value of -1.
    """

    Long = 1
    Short = -1






[docs]
class SwapType(Enum):
    """Enum to represent types of swaps in a financial context.

    Attributes:
        Payer (int): Represents a payer swap with a value of 1.
        Receiver (int): Represents a receiver swap with a value of -1.
    """

    Payer = 1
    Receiver = -1






[docs]
class Currency(Enum):
    """Enum to represent currency codes.

    Attributes:
        EUR (str): Euro currency code.
        USD (str): US Dollar currency code.
        GBP (str): British Pound currency code.
        JPY (str): Japanese Yen currency code.
        CAD (str): Canadian Dollar currency code.
        CHF (str): Swiss Franc currency code.
        AUD (str): Australian Dollar currency code.
    """

    EUR = "EUR"
    USD = "USD"
    GBP = "GBP"
    JPY = "JPY"
    CAD = "CAD"
    CHF = "CHF"
    AUD = "AUD"



[docs]
    def __str__(self):
        """Return the string representation of the currency.

        Returns:
            str: The currency code (e.g., 'EUR', 'USD').
        """
        return self.value








[docs]
def extract_value(x):
    """Extracts the underlying value from a TensorFlow Tensor or returns the input if it is not a Tensor.

    Args:
        x (Union[Tensor, Any]): Input value, which can be a TensorFlow `Tensor` or any other type.

    Returns:
        Any: The extracted value from the Tensor if `x` is a Tensor, otherwise returns `x` as is.
    """
    if isinstance(x, Tensor):
        return x.numpy()  # Extract value from TensorFlow tensor
    else:
        return x






[docs]
class OptionType(Enum):
    Call = 1
    Put = -1

    def __str__(self):
        return self.value






[docs]
class PayoffType(Enum):
    PlainVanilla = "PlainVanilla"
    AssetOrNothing = "AssetOrNothing"
    CashOrNothing = "CashOrNothing"

    def __str__(self):
        return self.value






[docs]
class ExerciseType(Enum):
    American = 0
    Bermudan = 1
    European = 2

    def __str__(self):
        return self.name




# curve_map = {
#     "EUR": {"ON": "EUR:ESTR", "3M": "EUR:3M", "6M": "EUR:6M"},
#     "USD": {"ON": "USD:SOFR", "3M": "USD:3M", "6M": "USD:6M"},
# }


# New market_map structure: RiskFactor:CCY:TICKER -> {SPOT: ..., VOL: ...}
market_map = {
    # Interest Rate curves
    "IR:EUR:ESTR": {
        "SPOT": "IR:EUR:ESTR:SPOT",
    },
    "IR:EUR:3M": {
        "SPOT": "IR:EUR:3M:SPOT",
    },
    "IR:EUR:6M": {
        "SPOT": "IR:EUR:6M:SPOT",
    },
    "IR:USD:SOFR": {
        "SPOT": "IR:USD:SOFR:SPOT",
    },
    "IR:USD:3M": {
        "SPOT": "IR:USD:3M:SPOT",
    },
    "IR:USD:6M": {
        "SPOT": "IR:USD:6M:SPOT",
    },
    # Equity spots and volatilities
    "EQ:EUR:DEFAULT": {
        "SPOT": "EQ:EUR:DEFAULT:SPOT",
        "VOL": "EQ:EUR:DEFAULT:VOL",
    },
    "EQ:EUR:SX5E": {
        "SPOT": "EQ:EUR:SX5E:SPOT",
        "VOL": "EQ:EUR:SX5E:VOL",
    },
}