Price class

Price.py

'''
Created on Nov 26, 2011

@author: tlmaloney
'''

import Payment

class Price(object):
    '''
    Price objects are produced from a Market.
    
    In general, prices in the market can be represented by yields, implied
    volatility, and spreads, but they should all be expressible as a cash price.
    '''
    
    def __init__(self, target_asset, price_level, settle_currency, time_stamp, settle_date):
        '''
        Constructor
        
        Keyword arguments:
        target_asset -- asset that is being priced
        price_level -- level of price
        settle_date-- date on which transfer of ownership occurs
        settle_currency -- currency in which settlement amount is denominated
        time_stamp -- date/time when price was observed
        '''
        self.target_asset = target_asset
        self.price_level = price_level
        self.settle_date = settle_date
        self.settle_currency = settle_currency
        self.time_stamp = time_stamp
    
    def calc_cash_amount(self, market):
        '''
        Method to convert any Price object to a CurrencyPayment.
        Refers to one unit of the target asset.
        Implementation will be child-class specific.
        '''
        pass
    
    def equals(self, price, market):
        """
        Two prices are equal if:
        They are for the same target Asset
        For the same settlement date
        Produce the same cash payment
        
        Keyword arguments:
        price -- Price instance
        market -- Market instance
        """
        
        try:
            return self.target_asset == price.target_asset and self.settle_date == price.settle_date and self.calc_cash_amount(market) == price.calc_cash_market(market)
        except Exception:
            return False
    
    def __repr__(self):
        """Return a string representation of this class.
        """
        return self.__class__.__name__ + "(" + repr(self.target_asset) + "," + repr(self.price_level) + ", " + repr(self.settle_currency) + ", " + repr(self.time_stamp) + ", " + repr(self.settle_date) + ")"
    
    def __str__(self):
        """Return a human-friendly string for this class.
        """
        return "The price of " + str(self.target_asset) + " is " + str(self.price_level) + " of " + str(self.settle_currency) + " on " + str(self.time_stamp) + " settled on " + str(self.settle_date)


class CashPrice(Price):
    '''
    Price the target asset in terms of a price level of settle currency.
    '''
    
    def __init__(self, target_asset, price_level, settle_currency, time_stamp, settle_date):
        '''
        Constructor
        
        Keyword arguments:
        target_asset -- asset that is being priced
        price_level -- level of price
        settle_date-- date on which transfer of ownership occurs
        settle_currency -- currency in which settlement amount is denominated
        time_stamp -- date/time when price was observed
        '''
        self.target_asset = target_asset
        self.price_level = price_level
        self.settle_date = settle_date
        self.settle_currency = settle_currency
        self.time_stamp = time_stamp
        
    def calc_cash_amount(self, market=None):
        '''
        Method to convert CashPrice object to a CurrencyPayment.
        Refers to one unit of the target asset.
        In this case, market is not necessary.
        '''
        return Payment.make_currency_payment(self.settle_date, self.settle_currency, self.price_level)


def make_cash_price(target_asset, price_level, settle_currency, time_stamp, settle_date=None):
    '''
    Makes a new CashPrice instance
    
    Keyword arguments:
    target_asset -- asset that is being priced
    price_level -- level of price
    settle_date -- date on which transfer of ownership occurs, optional
    settle_currency -- currency in which settlement amount is denominated
    time_stamp -- date/time when price was observed
    '''
    return CashPrice(target_asset, price_level, settle_currency, time_stamp, settle_date)

TestPrice.py

'''
Created on Nov 28, 2011

@author: tlmaloney
'''
import unittest
import Price
import fimero.time.SerialDate as SD
import Asset

target_asset = Asset.make('Asset1')
price_level = 1.0
settle_currency = Asset.make('Currency')
time_stamp = SD.make(20110101)
price = Price.make_cash_price(target_asset, price_level, settle_currency, time_stamp)

time_stamp2 = SD.make(20110102)
price2 = Price.make_cash_price(target_asset, price_level, settle_currency, time_stamp2)
class TestPrice(unittest.TestCase):

    def test_variables(self):
        self.assertEqual(target_asset, price.target_asset)
        self.assertEqual(price_level, price.price_level)
        self.assertEqual(time_stamp, price.time_stamp)
        self.assertEqual(settle_currency, price.settle_currency)
        
    def test_equals(self):
        self.assertFalse(price.equals(price2))