Annuity class

Annuity.py

'''
Created on Dec 8, 2011

@author: tlmaloney
'''

import Asset

class Annuity(Asset.Asset):
    '''
    An annuity is a collection of Payment objects. Let the collection
    be a dictionary keyed by payment_date.
    '''

    def __init__(self, asset_id, name, payments):
        '''
        Constructor
        
        Keyword arguments:
        asset_id -- Unique identifier
        name -- Name of the asset
        payments -- A dictionary of Payment objects
        '''
        super(Annuity, self).__init__(asset_id, name)
        self.payments = payments
        
    def set_payment(self, payment):
        '''
        Add/changes a payment
        
        Keyword arguments:
        payment -- Currency payment instance
        '''
        self.payments[payment.payment_date] = payment
        
    def get_payment(self, payment_date):
        '''
        Returns a payment on a specificpayment_date
        
        Keyword arguments:
        payment_date -- SerialDate instance
        '''
        return self.payments[payment_date]
    
    def pv(self, market, slice_date):
        '''
        Returns the present value of a payment
        
        Keyword arguments:
        market -- the market which holds the discount factor curve, Market instance
        slice_date -- the date of transfer of ownership
        '''
        pv = 0.0
        for payment_date, payment in self.payments.iteritems():
            if slice_date.serial_day_number <= payment_date.serial_day_number:
                pv = pv + self.units * self.asset.pv(market, payment_date)
        return pv
                
    def fv(self, market, slice_date):
        '''
        Returns the future value of a payment
        
        Keyword arguments:
        market -- the market which holds the discount factor curve, Market instance
        slice_date -- the date of transfer of ownership
        '''
        fv = 0.0
        for payment_date, payment in self.payments.iteritems():
            pv = payment.pv(market, slice_date)
            # we only have one discount factor curve
            dfc = market.get_observable('DFC.USD')
            df = dfc.calc_df(slice_date)
            fv = fv + pv / df.discount_factor
        return fv

def make(asset_id, name, payments={}):
    '''
    Makes a new Annuity instance
    
    Keyword arguments:
    asset_id -- Unique identifier
    name -- Name of the asset
    payments -- a dictionary of Payment objects
    '''
    return Annuity(asset_id, name, payments)