V1/features/instruments/FundingLeg Valuation with compounding interests.ipynb

{
 "cells": [
  {
   "cell_type": "code",
   "execution_count": 1,
   "metadata": {
    "pycharm": {
     "name": "#%%\n"
    }
   },
   "outputs": [
    {
     "data": {
      "text/html": [
       "\n",
       "    <form action=\"javascript:code_toggle()\"><input type=\"submit\" id=\"toggleButton\" value=\"Toggle Docstring\"></form>\n",
       "    \n",
       "         <script>\n",
       "         function code_toggle() {\n",
       "             if ($('div.cell.code_cell.rendered.selected div.input').css('display')!='none'){\n",
       "                 $('div.cell.code_cell.rendered.selected div.input').hide();\n",
       "             } else {\n",
       "                 $('div.cell.code_cell.rendered.selected div.input').show();\n",
       "             }\n",
       "         }\n",
       "         </script>\n",
       "\n",
       "     "
      ],
      "text/plain": [
       "<IPython.core.display.HTML object>"
      ]
     },
     "metadata": {},
     "output_type": "display_data"
    }
   ],
   "source": [
    "from lusidtools.jupyter_tools import toggle_code\n",
    "\n",
    "\"\"\"FundingLeg - Valuation with daily resets\n",
    "\n",
    "Attributes\n",
    "----------\n",
    "FundingLeg\n",
    "Compounding\n",
    "recipes\n",
    "valuations\n",
    "\"\"\"\n",
    "\n",
    "toggle_code(\"Toggle Docstring\")"
   ]
  },
  {
   "cell_type": "markdown",
   "metadata": {},
   "source": [
    "## Table of Contents\n",
    "* [1. Setup](#setup)\n",
    "    * [1.1 Create FundingLeg Instrument](#create-fundingleg-instrument)\n",
    "    * [1.2 Setting up Market Data](#setting-up-market-data)\n",
    "    * [1.3 Create Portfolio](#create-portfolio)\n",
    "    * [1.4 Book Transactions](#book-transactions)\n",
    "* [2. Valuation](#valuation)\n",
    "    * [2.1 Configure the valuation recipe](#configure-the-valuation-recipe)\n",
    "    * [2.2 Aggregation](#aggregation)"
   ]
  },
  {
   "cell_type": "markdown",
   "metadata": {},
   "source": [
    "# Computing FundingLeg PV with daily resets and monthly payment\n",
    "In this Notebook, we demonstrate how to compute monthly interest amounts using daily ESTER rates.\n",
    "Monthly payments should be equal to the sum of daily interest amounts computed from ESTER quotes.\n",
    "Discounting cash flows is not applicable in this example as we are using a recipe with \"ConstantTimeValueOfMoney\"."
   ]
  },
  {
   "cell_type": "code",
   "execution_count": 2,
   "metadata": {
    "scrolled": true
   },
   "outputs": [
    {
     "data": {
      "text/html": [
       "<style>.container { width:90% !important; }</style>"
      ],
      "text/plain": [
       "<IPython.core.display.HTML object>"
      ]
     },
     "metadata": {},
     "output_type": "display_data"
    }
   ],
   "source": [
    "# Import generic non-LUSID packages\n",
    "import os\n",
    "import pandas as pd\n",
    "import numpy as np\n",
    "from datetime import datetime, timedelta, time\n",
    "import json\n",
    "import pytz\n",
    "from dateutil.parser import parse\n",
    "from IPython.core.display import HTML\n",
    "\n",
    "# Import key modules from the LUSID package\n",
    "import lusid\n",
    "import lusid.models as lm\n",
    "\n",
    "\n",
    "# Import key functions from Lusid-Python-Tools and other packages\n",
    "from lusidtools.pandas_utils.lusid_pandas import lusid_response_to_data_frame\n",
    "from lusidtools.cocoon.cocoon import load_from_data_frame\n",
    "from lusidtools.cocoon.cocoon_printer import (\n",
    "    format_portfolios_response,\n",
    "    format_quotes_response,\n",
    ")\n",
    "from lusidjam import RefreshingToken\n",
    "\n",
    "# Set DataFrame display formats\n",
    "pd.set_option(\"display.max_columns\", None)\n",
    "pd.set_option(\"display.max_rows\", None)\n",
    "pd.options.display.float_format = \"{:,.4f}\".format\n",
    "display(HTML(\"<style>.container { width:90% !important; }</style>\"))\n",
    "\n",
    "# Set the secrets path\n",
    "secrets_path = os.getenv(\"FBN_SECRETS_PATH\")\n",
    "\n",
    "# For running the notebook locally\n",
    "if secrets_path is None:\n",
    "    secrets_path = os.path.join(os.path.dirname(os.getcwd()), \"secrets.json\")\n",
    "\n",
    "api_factory = lusid.utilities.ApiClientFactory(\n",
    "        token=RefreshingToken(),\n",
    "        api_secrets_filename = secrets_path,\n",
    "        app_name=\"LusidJupyterNotebook\")"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": 3,
   "metadata": {},
   "outputs": [],
   "source": [
    "# LUSID Variable Definitions\n",
    "portfolio_api = api_factory.build(lusid.api.PortfoliosApi)\n",
    "properties_api = api_factory.build(lusid.api.PropertyDefinitionsApi)\n",
    "transaction_portfolio_api = api_factory.build(lusid.api.TransactionPortfoliosApi)\n",
    "instruments_api = api_factory.build(lusid.api.InstrumentsApi)\n",
    "quotes_api = api_factory.build(lusid.api.QuotesApi)\n",
    "configuration_recipe_api = api_factory.build(lusid.api.ConfigurationRecipeApi)\n",
    "aggregation_api = api_factory.build(lusid.api.AggregationApi)"
   ]
  },
  {
   "cell_type": "markdown",
   "metadata": {},
   "source": [
    "# 1. Setup <a class=\"anchor\" id=\"setup\"></a>"
   ]
  },
  {
   "cell_type": "markdown",
   "metadata": {},
   "source": [
    "## 1.1 Create FundingLeg Instrument <a class=\"anchor\" id=\"create-fundingleg-instrument\"></a>\n",
    "\n",
    "We begin by defining the details of the funding leg with the following characteristics:\n",
    "\n",
    "- Inception Date: 2022-01-02\n",
    "- Maturity Date: 2030-12-12\n",
    "- Currency: EUR\n",
    "- Initial Notional: 0\n",
    "- Index: EUR.ESTER.1D\n",
    "- Spread: 50 bp\n",
    "\n",
    "\n",
    "Notice that the initial notional is set to zero, as we will be booking this later on in the transactions. For accruals, the funding leg will store the notional history and accrue accordingly."
   ]
  },
  {
   "cell_type": "code",
   "execution_count": 4,
   "metadata": {},
   "outputs": [],
   "source": [
    "# Set swap details for start date and maturity\n",
    "start_date = datetime(2022, 1, 1, 0, 0, tzinfo=pytz.utc)\n",
    "\n",
    "effective_delta = 1\n",
    "\n",
    "# Funding leg specifications\n",
    "market_data_scope = \"FBN\"\n",
    "effective_at = start_date\n",
    "end_date = datetime(2030, 12, 12, 0, 0, tzinfo=pytz.utc)\n",
    "currency = \"EUR\"\n",
    "initial_notional = 0\n",
    "spread = 0.005 # 50bp\n",
    "leg_identifier=\"FundingLeg001\"\n",
    "identifier_type = \"ClientInternal\"\n",
    "leg_name = \"Funding Leg EUR.ESTER.1D.ESTER\"\n",
    "\n",
    "# The market data supplier\n",
    "market_supplier = \"Lusid\""
   ]
  },
  {
   "cell_type": "code",
   "execution_count": 5,
   "metadata": {},
   "outputs": [
    {
     "name": "stdout",
     "output_type": "stream",
     "text": [
      "Instrument Funding Leg EUR.ESTER.1D.ESTER was successfully upserted into LUSID\n",
      "Instrument created with LUID:LUID_0004E3SH\n"
     ]
    }
   ],
   "source": [
    "# Define the flow conventions of the floating leg\n",
    "floating_leg_convention = lm.FlowConventions(\n",
    "    currency=currency,\n",
    "    payment_frequency=\"1M\",\n",
    "    day_count_convention=\"Act360\",\n",
    "    roll_convention=\"ModifiedFollowing\",\n",
    "    payment_calendars=[],\n",
    "    reset_calendars=[],\n",
    "    settle_days=0,\n",
    "    reset_days=0\n",
    ")\n",
    "\n",
    "# Define the flow conventions of the underlying index\n",
    "floating_leg_idx_convention = lm.IndexConvention(\n",
    "    currency=currency,\n",
    "    code=\"ESTER\",\n",
    "    payment_tenor=\"1D\",\n",
    "    fixing_reference=\"EUR.ESTER.1D.ESTER\",\n",
    "    publication_day_lag=0,\n",
    "    day_count_convention=\"Act360\"\n",
    ")\n",
    "\n",
    "compounding_1d = lm.Compounding(\n",
    "    calculation_shift_method = \"NoShift\",\n",
    "    compounding_method = \"None\",\n",
    "    reset_frequency = \"1D\",\n",
    "    spread_compounding_method = \"None\",\n",
    ")\n",
    "\n",
    "# Set the leg definition and side\n",
    "floating_leg_definition = lm.LegDefinition(\n",
    "    conventions=floating_leg_convention,\n",
    "    index_convention = floating_leg_idx_convention,\n",
    "    notional_exchange_type = \"None\",\n",
    "    pay_receive = \"Pay\",\n",
    "    rate_or_spread = spread,\n",
    "    reset_convention = \"InArrears\",\n",
    "    stub_type = \"Back\",\n",
    "    compounding = compounding_1d\n",
    ")\n",
    "\n",
    "# Define the funding leg\n",
    "funding_leg = lm.FundingLeg(\n",
    "    start_date=start_date,\n",
    "    maturity_date=end_date,\n",
    "    notional=initial_notional,\n",
    "    leg_definition=floating_leg_definition,\n",
    "    instrument_type=\"FundingLeg\"\n",
    ")\n",
    "\n",
    "# Upsert the instrument to LUSID\n",
    "instrument_definition = lusid.models.InstrumentDefinition(\n",
    "    name=leg_name,\n",
    "    identifiers={f\"{identifier_type}\": lusid.models.InstrumentIdValue(f\"{leg_identifier}\")},\n",
    "    definition=funding_leg\n",
    ")\n",
    "upsert_request = {f\"{leg_identifier}\": instrument_definition}\n",
    "\n",
    "# Upserts the instrument to LUSID\n",
    "response = instruments_api.upsert_instruments(scope=market_data_scope,\n",
    "    request_body=upsert_request)\n",
    "\n",
    "if response.failed == {}:\n",
    "    print(f\"Instrument {instrument_definition.name} was successfully upserted into LUSID\")\n",
    "    print(f\"Instrument created with LUID:{response.values[leg_identifier].lusid_instrument_id}\")\n",
    "else:\n",
    "    print(\"An error occurred with the above upsert_instruments call, see error message:\", response.failed)\n",
    "\n"
   ]
  },
  {
   "cell_type": "markdown",
   "metadata": {},
   "source": [
    "## 1.2 Setting up Market Data <a class=\"anchor\" id=\"setting-up-market-data\"></a>\n",
    "\n",
    "We load ESTER rates into lusid, from 2022-01-02 to 2022-03-02."
   ]
  },
  {
   "cell_type": "code",
   "execution_count": 6,
   "metadata": {},
   "outputs": [
    {
     "data": {
      "text/html": [
       "<div>\n",
       "<style scoped>\n",
       "    .dataframe tbody tr th:only-of-type {\n",
       "        vertical-align: middle;\n",
       "    }\n",
       "\n",
       "    .dataframe tbody tr th {\n",
       "        vertical-align: top;\n",
       "    }\n",
       "\n",
       "    .dataframe thead th {\n",
       "        text-align: right;\n",
       "    }\n",
       "</style>\n",
       "<table border=\"1\" class=\"dataframe\">\n",
       "  <thead>\n",
       "    <tr style=\"text-align: right;\">\n",
       "      <th></th>\n",
       "      <th>Date</th>\n",
       "      <th>Price</th>\n",
       "      <th>Ticker</th>\n",
       "    </tr>\n",
       "  </thead>\n",
       "  <tbody>\n",
       "    <tr>\n",
       "      <th>0</th>\n",
       "      <td>2022-01-01</td>\n",
       "      <td>0.5000</td>\n",
       "      <td>EUR.ESTER.1D.ESTER</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>1</th>\n",
       "      <td>2022-01-02</td>\n",
       "      <td>0.5000</td>\n",
       "      <td>EUR.ESTER.1D.ESTER</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>2</th>\n",
       "      <td>2022-01-03</td>\n",
       "      <td>0.5000</td>\n",
       "      <td>EUR.ESTER.1D.ESTER</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>3</th>\n",
       "      <td>2022-01-04</td>\n",
       "      <td>0.5000</td>\n",
       "      <td>EUR.ESTER.1D.ESTER</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>4</th>\n",
       "      <td>2022-01-05</td>\n",
       "      <td>0.5000</td>\n",
       "      <td>EUR.ESTER.1D.ESTER</td>\n",
       "    </tr>\n",
       "  </tbody>\n",
       "</table>\n",
       "</div>"
      ],
      "text/plain": [
       "        Date  Price              Ticker\n",
       "0 2022-01-01 0.5000  EUR.ESTER.1D.ESTER\n",
       "1 2022-01-02 0.5000  EUR.ESTER.1D.ESTER\n",
       "2 2022-01-03 0.5000  EUR.ESTER.1D.ESTER\n",
       "3 2022-01-04 0.5000  EUR.ESTER.1D.ESTER\n",
       "4 2022-01-05 0.5000  EUR.ESTER.1D.ESTER"
      ]
     },
     "execution_count": 6,
     "metadata": {},
     "output_type": "execute_result"
    }
   ],
   "source": [
    "# Read quotes and adjust date objects\n",
    "df = pd.read_csv(\"data/ester_rates.csv\")\n",
    "df[\"Date\"] = pd.to_datetime(df[\"Date\"], dayfirst=False)\n",
    "df.head()"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": 7,
   "metadata": {},
   "outputs": [
    {
     "data": {
      "text/html": [
       "<div>\n",
       "<style scoped>\n",
       "    .dataframe tbody tr th:only-of-type {\n",
       "        vertical-align: middle;\n",
       "    }\n",
       "\n",
       "    .dataframe tbody tr th {\n",
       "        vertical-align: top;\n",
       "    }\n",
       "\n",
       "    .dataframe thead th {\n",
       "        text-align: right;\n",
       "    }\n",
       "</style>\n",
       "<table border=\"1\" class=\"dataframe\">\n",
       "  <thead>\n",
       "    <tr style=\"text-align: right;\">\n",
       "      <th></th>\n",
       "      <th>success</th>\n",
       "      <th>failed</th>\n",
       "      <th>errors</th>\n",
       "    </tr>\n",
       "  </thead>\n",
       "  <tbody>\n",
       "    <tr>\n",
       "      <th>0</th>\n",
       "      <td>61</td>\n",
       "      <td>0</td>\n",
       "      <td>0</td>\n",
       "    </tr>\n",
       "  </tbody>\n",
       "</table>\n",
       "</div>"
      ],
      "text/plain": [
       "   success  failed  errors\n",
       "0       61       0       0"
      ]
     },
     "metadata": {},
     "output_type": "display_data"
    }
   ],
   "source": [
    "# Create a quotes mapping for Lusid Python Tools\n",
    "quotes_mapping = {\n",
    "    \"quote_id.quote_series_id.instrument_id_type\": \"$RIC\",\n",
    "    \"quote_id.effective_at\": \"Date\",\n",
    "    \"quote_id.quote_series_id.field\": \"$mid\",\n",
    "    \"quote_id.quote_series_id.provider\": \"$Lusid\",\n",
    "    \"quote_id.quote_series_id.quote_type\": \"$Rate\",\n",
    "    \"quote_id.quote_series_id.instrument_id\": \"Ticker\",\n",
    "    \"metric_value.value\": \"Price\",\n",
    "    \"metric_value.unit\": \"$EUR\",\n",
    "    \"scale_factor\":100\n",
    "}\n",
    "\n",
    "result = load_from_data_frame(\n",
    "    api_factory = api_factory,\n",
    "    scope=market_data_scope,\n",
    "    data_frame=df,\n",
    "    mapping_required=quotes_mapping,\n",
    "    mapping_optional={},\n",
    "    file_type=\"quotes\"\n",
    ")\n",
    "\n",
    "succ, failed, errors = format_quotes_response(result)\n",
    "display(pd.DataFrame(data=[{\"success\": len(succ), \"failed\": len(failed), \"errors\": len(errors)}]))"
   ]
  },
  {
   "cell_type": "markdown",
   "metadata": {},
   "source": [
    "## 1.3 Create Portfolio <a class=\"anchor\" id=\"create-portfolio\"></a>"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": 8,
   "metadata": {},
   "outputs": [
    {
     "name": "stdout",
     "output_type": "stream",
     "text": [
      "Could not create a portfolio with id 'FundingLeg_Portfolio_EUR' because it already exists in scope 'FBN'.\n"
     ]
    }
   ],
   "source": [
    "portfolio_code = \"FundingLeg_Portfolio_EUR\"\n",
    "\n",
    "try:\n",
    "    portfolio = transaction_portfolio_api.create_portfolio(\n",
    "        scope=market_data_scope,\n",
    "        create_transaction_portfolio_request=lm.CreateTransactionPortfolioRequest(\n",
    "            display_name=portfolio_code,\n",
    "            instrument_scopes=[market_data_scope],\n",
    "            code=portfolio_code,\n",
    "            base_currency=\"EUR\",\n",
    "            created=\"2010-01-01\",\n",
    "            sub_holding_keys=[],\n",
    "        ),\n",
    "    )\n",
    "        \n",
    "    print(f\"Portfolio {portfolio.id} was successfully upserted into LUSID\")\n",
    "\n",
    "except lusid.ApiException as e:\n",
    "    print(json.loads(e.body)[\"title\"])"
   ]
  },
  {
   "cell_type": "markdown",
   "metadata": {},
   "source": [
    "## 1.4 Book Transactions <a class=\"anchor\" id=\"book-transactions\"></a>\n",
    "With the portfolio in LUSID, we can book a transaction against our FundingLeg \"FundingLeg001\"."
   ]
  },
  {
   "cell_type": "code",
   "execution_count": 9,
   "metadata": {},
   "outputs": [],
   "source": [
    "primary_instrument_identifier = { \"Instrument/default/ClientInternal\": leg_identifier }\n",
    "\n",
    "upsert_transactions = transaction_portfolio_api.upsert_transactions(\n",
    "        scope=market_data_scope,\n",
    "        code=portfolio_code,\n",
    "        transaction_request=[\n",
    "            lm.TransactionRequest(\n",
    "                transaction_id=\"txn_test\",\n",
    "                type=\"Buy\",\n",
    "                instrument_identifiers=primary_instrument_identifier,\n",
    "                transaction_date=\"2022-01-01\",\n",
    "                settlement_date=\"2022-01-02\",\n",
    "                units=1000000, # FundingLeg Notional 1'000'000\n",
    "                transaction_price=lm.TransactionPrice(\n",
    "                    price=0, type=\"Price\"\n",
    "                ),\n",
    "                total_consideration=lm.CurrencyAndAmount(\n",
    "                    amount=0, currency=\"EUR\"\n",
    "                ),\n",
    "                properties={\n",
    "                    f\"Transaction/default/RequiresFundingLegHistory\": lm.ModelProperty(\n",
    "                        key=\"Transaction/default/RequiresFundingLegHistory\",\n",
    "                        value=lm.PropertyValue(label_value=\"true\"),\n",
    "                    ),\n",
    "                },\n",
    "            )\n",
    "        ],\n",
    "    )"
   ]
  },
  {
   "cell_type": "markdown",
   "metadata": {},
   "source": [
    "# 2. Valuation <a class=\"anchor\" id=\"valuation\"></a>\n",
    "For interacting with the valuation engine, we will need a configuration recipe, which are a set of steps that define how a valuation is to be carried out. Generally, this is part of LUSID configuration that requires a one time setup, below we will be focusing on the _FundingLeg_ instrument.\n",
    "\n",
    "## 2.1 Configure the valuation recipe <a class=\"anchor\" id=\"configure-the-valuation-recipe\"></a>\n",
    "We begin by defining the pricing context under which valuation will be done, this allows to select the model under which we can value the instrument. In our case we have selected _\"ConstantTimeValueOfMoney\"_, which will use a deterministic pricer to calculate our portfolio PV/Accrual."
   ]
  },
  {
   "cell_type": "code",
   "execution_count": 10,
   "metadata": {},
   "outputs": [],
   "source": [
    "# Define instrument model config\n",
    "\n",
    "\n",
    "model_option = {\n",
    "    \"expectedFundingLegNotional\": \"Zero\",\n",
    "    \"modelOptionsType\": \"FundingLegModelOptions\"\n",
    "}\n",
    "\n",
    "def create_pricing_context(market_supplier: str):\n",
    "    \n",
    "    model_rules = [\n",
    "        lm.VendorModelRule(\n",
    "                supplier=market_supplier,\n",
    "                model_name=\"ConstantTimeValueOfMoney\",\n",
    "                instrument_type=\"FundingLeg\",\n",
    "                parameters=\"{}\",\n",
    "                model_options = model_option\n",
    "            )\n",
    "    ]\n",
    "    \n",
    "    return lm.PricingContext(\n",
    "        model_rules = model_rules,\n",
    "         options=lm.PricingOptions(\n",
    "            model_selection=lm.ModelSelection(\n",
    "                        library=market_supplier,\n",
    "                        model=\"SimpleStatic\"\n",
    "                    )\n",
    "         )\n",
    "    )\n",
    "\n",
    "# Create the pricing context for the recipe\n",
    "pricing_context = create_pricing_context(market_supplier)\n"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": 11,
   "metadata": {},
   "outputs": [],
   "source": [
    "def create_market_context(market_data_scope, supplier):\n",
    "    return lm.MarketContext(\n",
    "        # Set rules for where we should resolve our rates and equity data.\n",
    "        # looking for quotes given a list of identifier types (clientInternal, RIC..)\n",
    "        market_rules=[\n",
    "            lm.MarketDataKeyRule(\n",
    "                key='Quote.ClientInternal.*',\n",
    "                data_scope=market_data_scope,\n",
    "                supplier=supplier,\n",
    "                quote_type='Price',\n",
    "                field='mid',\n",
    "                quote_interval=\"2D.0D\"),# looking for the most recent quote value within a 2-days window\n",
    "             lm.MarketDataKeyRule(\n",
    "                key='Quote.RIC.*',\n",
    "                data_scope=market_data_scope,\n",
    "                supplier=supplier,\n",
    "                quote_type='Rate',\n",
    "                field='mid',\n",
    "                quote_interval=\"2D.0D\"),\n",
    "            lm.MarketDataKeyRule(\n",
    "                key='Quote.RIC.*',\n",
    "                data_scope=market_data_scope,\n",
    "                supplier=supplier,\n",
    "                quote_type='Price',\n",
    "                field='mid',\n",
    "                quote_interval=\"2D.0D\"),\n",
    "\n",
    "        ],\n",
    "        # Control default options for resolving market data.\n",
    "        options=lm.MarketOptions(\n",
    "            default_supplier=supplier,\n",
    "            default_instrument_code_type=\"ClientInternal\",\n",
    "            default_scope=market_data_scope)\n",
    "     )\n",
    "\n",
    "    return market_context\n",
    "\n",
    "# In our case simply default to the LUSID market_supplier.\n",
    "market_context = create_market_context(market_data_scope, market_supplier)"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": 12,
   "metadata": {},
   "outputs": [],
   "source": [
    "def create_pricing_recipe(scope, market_context, pricing_context):\n",
    "\n",
    "    return lm.ConfigurationRecipe(\n",
    "        scope=market_data_scope,\n",
    "        code=\"FundingLeg\",\n",
    "        description=\"Funding leg pricing recipe\",\n",
    "        market=market_context,\n",
    "        pricing=pricing_context\n",
    "    )\n",
    "\n",
    "# Create the funding leg pricing recipe using our market_data_scope\n",
    "pricing_recipe = create_pricing_recipe(market_data_scope, market_context, pricing_context)"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": 13,
   "metadata": {},
   "outputs": [
    {
     "name": "stdout",
     "output_type": "stream",
     "text": [
      "Recipe upserted at 2022-11-15 15:16:28.506181+00:00\n"
     ]
    }
   ],
   "source": [
    "def upsert_recipe(recipe):\n",
    "    recipe_request = lm.UpsertRecipeRequest(\n",
    "        configuration_recipe = recipe\n",
    "    )\n",
    "    \n",
    "    return configuration_recipe_api.upsert_configuration_recipe(\n",
    "    upsert_recipe_request = recipe_request)\n",
    "\n",
    "# Upsert the previously created recipe to be used in valuation\n",
    "response = upsert_recipe(pricing_recipe)\n",
    "print(f\"Recipe upserted at {response.value}\")"
   ]
  },
  {
   "cell_type": "markdown",
   "metadata": {},
   "source": [
    "## 2.2 Aggregation <a class=\"anchor\" id=\"aggregation\"></a>\n",
    "aggregate_pricing() function when given a start date & end date along with a portfolio returns a series of valuations on held FundingLeg. These valuations therefore enable you to know the current unsettled interest amount between and on reset dates."
   ]
  },
  {
   "cell_type": "code",
   "execution_count": 14,
   "metadata": {},
   "outputs": [],
   "source": [
    "def aggregate_pricing(portfolio_scope, portfolio_code, recipe_scope, recipe_code, metrics, effective_at, effective_from=None, group_by=[]):\n",
    "    valuation_request = lm.ValuationRequest(\n",
    "        recipe_id=lm.ResourceId(\n",
    "            scope=recipe_scope,\n",
    "            code=recipe_code\n",
    "        ),\n",
    "        metrics=metrics,\n",
    "            portfolio_entity_ids=[\n",
    "                lm.PortfolioEntityId(scope=portfolio_scope, code=portfolio_code)\n",
    "            ],\n",
    "            valuation_schedule=lm.ValuationSchedule(\n",
    "                effective_from=effective_from.isoformat(),\n",
    "                effective_at=effective_at.isoformat()\n",
    "            ),\n",
    "        sort=[\n",
    "            lm.OrderBySpec(key='Analytic/default/ValuationDate',\n",
    "            sort_order='Ascending')\n",
    "        ],\n",
    "        group_by=group_by\n",
    "        )\n",
    "    return aggregation_api.get_valuation(\n",
    "    valuation_request= valuation_request\n",
    "    )"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": 15,
   "metadata": {
    "pycharm": {
     "name": "#%%%\n"
    }
   },
   "outputs": [],
   "source": [
    "# Create the metrics list for the desired data\n",
    "metrics = [\n",
    "        lm.AggregateSpec(key='Valuation/PV',\n",
    "                             op='Value'),\n",
    "        lm.AggregateSpec(key='Instrument/default/Name',\n",
    "                             op='Value'),\n",
    "        lm.AggregateSpec(key='Holding/default/Units',\n",
    "                             op='Value'),\n",
    "        lm.AggregateSpec(key='Valuation/Accrued',\n",
    "                             op='Value'),\n",
    "        lm.AggregateSpec(key='Analytic/default/ValuationDate',\n",
    "                             op='Value'),\n",
    "        ]\n",
    "# Store results\n",
    "results = aggregate_pricing(market_data_scope, portfolio_code, market_data_scope, \"FundingLeg\", metrics, start_date + timedelta(days=32), start_date)"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": 16,
   "metadata": {},
   "outputs": [],
   "source": [
    "def valuation_response_to_df(results: lusid.ListAggregationResponse) -> pd.DataFrame:\n",
    "    \"\"\"\"\n",
    "    This Function returns a pandas Data Frame from a LUSID valuation\n",
    "    response object\n",
    "    :param lusid.ListAggregationResponse: LUSID response object\n",
    "    :return: pandas.DataFrame\n",
    "    \"\"\"\n",
    "    headers = set(results.data[0].keys())\n",
    "\n",
    "    data = {\n",
    "        header: [result[header] for result in results.data] for header in headers\n",
    "    }\n",
    "    return pd.DataFrame(data)"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": 17,
   "metadata": {
    "pycharm": {
     "name": "#%%\n"
    }
   },
   "outputs": [
    {
     "data": {
      "text/html": [
       "<div>\n",
       "<style scoped>\n",
       "    .dataframe tbody tr th:only-of-type {\n",
       "        vertical-align: middle;\n",
       "    }\n",
       "\n",
       "    .dataframe tbody tr th {\n",
       "        vertical-align: top;\n",
       "    }\n",
       "\n",
       "    .dataframe thead th {\n",
       "        text-align: right;\n",
       "    }\n",
       "</style>\n",
       "<table border=\"1\" class=\"dataframe\">\n",
       "  <thead>\n",
       "    <tr style=\"text-align: right;\">\n",
       "      <th></th>\n",
       "      <th>Valuation/PV</th>\n",
       "      <th>Valuation/Accrued</th>\n",
       "      <th>Instrument/default/Name</th>\n",
       "      <th>Holding/default/Units</th>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>Analytic/default/ValuationDate</th>\n",
       "      <th></th>\n",
       "      <th></th>\n",
       "      <th></th>\n",
       "      <th></th>\n",
       "    </tr>\n",
       "  </thead>\n",
       "  <tbody>\n",
       "    <tr>\n",
       "      <th>03/01/2022</th>\n",
       "      <td>0.0000</td>\n",
       "      <td>0.0000</td>\n",
       "      <td>Funding Leg EUR.ESTER.1D.ESTER</td>\n",
       "      <td>1,000,000.0000</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>04/01/2022</th>\n",
       "      <td>-55.5556</td>\n",
       "      <td>-55.5556</td>\n",
       "      <td>Funding Leg EUR.ESTER.1D.ESTER</td>\n",
       "      <td>1,000,000.0000</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>05/01/2022</th>\n",
       "      <td>-111.1111</td>\n",
       "      <td>-111.1111</td>\n",
       "      <td>Funding Leg EUR.ESTER.1D.ESTER</td>\n",
       "      <td>1,000,000.0000</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>06/01/2022</th>\n",
       "      <td>-166.6667</td>\n",
       "      <td>-166.6667</td>\n",
       "      <td>Funding Leg EUR.ESTER.1D.ESTER</td>\n",
       "      <td>1,000,000.0000</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>07/01/2022</th>\n",
       "      <td>-222.2222</td>\n",
       "      <td>-222.2222</td>\n",
       "      <td>Funding Leg EUR.ESTER.1D.ESTER</td>\n",
       "      <td>1,000,000.0000</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>10/01/2022</th>\n",
       "      <td>-388.8889</td>\n",
       "      <td>-388.8889</td>\n",
       "      <td>Funding Leg EUR.ESTER.1D.ESTER</td>\n",
       "      <td>1,000,000.0000</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>11/01/2022</th>\n",
       "      <td>-444.4444</td>\n",
       "      <td>-444.4444</td>\n",
       "      <td>Funding Leg EUR.ESTER.1D.ESTER</td>\n",
       "      <td>1,000,000.0000</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>12/01/2022</th>\n",
       "      <td>-500.0000</td>\n",
       "      <td>-500.0000</td>\n",
       "      <td>Funding Leg EUR.ESTER.1D.ESTER</td>\n",
       "      <td>1,000,000.0000</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>13/01/2022</th>\n",
       "      <td>-555.5556</td>\n",
       "      <td>-555.5556</td>\n",
       "      <td>Funding Leg EUR.ESTER.1D.ESTER</td>\n",
       "      <td>1,000,000.0000</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>14/01/2022</th>\n",
       "      <td>-611.1111</td>\n",
       "      <td>-611.1111</td>\n",
       "      <td>Funding Leg EUR.ESTER.1D.ESTER</td>\n",
       "      <td>1,000,000.0000</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>17/01/2022</th>\n",
       "      <td>-777.7778</td>\n",
       "      <td>-777.7778</td>\n",
       "      <td>Funding Leg EUR.ESTER.1D.ESTER</td>\n",
       "      <td>1,000,000.0000</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>18/01/2022</th>\n",
       "      <td>-833.3333</td>\n",
       "      <td>-833.3333</td>\n",
       "      <td>Funding Leg EUR.ESTER.1D.ESTER</td>\n",
       "      <td>1,000,000.0000</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>19/01/2022</th>\n",
       "      <td>-888.8889</td>\n",
       "      <td>-888.8889</td>\n",
       "      <td>Funding Leg EUR.ESTER.1D.ESTER</td>\n",
       "      <td>1,000,000.0000</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>20/01/2022</th>\n",
       "      <td>-944.4444</td>\n",
       "      <td>-944.4444</td>\n",
       "      <td>Funding Leg EUR.ESTER.1D.ESTER</td>\n",
       "      <td>1,000,000.0000</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>21/01/2022</th>\n",
       "      <td>-1,000.0000</td>\n",
       "      <td>-1,000.0000</td>\n",
       "      <td>Funding Leg EUR.ESTER.1D.ESTER</td>\n",
       "      <td>1,000,000.0000</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>24/01/2022</th>\n",
       "      <td>-1,166.6667</td>\n",
       "      <td>-1,166.6667</td>\n",
       "      <td>Funding Leg EUR.ESTER.1D.ESTER</td>\n",
       "      <td>1,000,000.0000</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>25/01/2022</th>\n",
       "      <td>-1,222.2222</td>\n",
       "      <td>-1,222.2222</td>\n",
       "      <td>Funding Leg EUR.ESTER.1D.ESTER</td>\n",
       "      <td>1,000,000.0000</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>26/01/2022</th>\n",
       "      <td>-1,277.7778</td>\n",
       "      <td>-1,277.7778</td>\n",
       "      <td>Funding Leg EUR.ESTER.1D.ESTER</td>\n",
       "      <td>1,000,000.0000</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>27/01/2022</th>\n",
       "      <td>-1,333.3333</td>\n",
       "      <td>-1,333.3333</td>\n",
       "      <td>Funding Leg EUR.ESTER.1D.ESTER</td>\n",
       "      <td>1,000,000.0000</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>28/01/2022</th>\n",
       "      <td>-1,388.8889</td>\n",
       "      <td>-1,388.8889</td>\n",
       "      <td>Funding Leg EUR.ESTER.1D.ESTER</td>\n",
       "      <td>1,000,000.0000</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>31/01/2022</th>\n",
       "      <td>-1,555.5556</td>\n",
       "      <td>-1,555.5556</td>\n",
       "      <td>Funding Leg EUR.ESTER.1D.ESTER</td>\n",
       "      <td>1,000,000.0000</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>01/02/2022</th>\n",
       "      <td>0.0000</td>\n",
       "      <td>0.0000</td>\n",
       "      <td>Funding Leg EUR.ESTER.1D.ESTER</td>\n",
       "      <td>1,000,000.0000</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>02/02/2022</th>\n",
       "      <td>-58.3333</td>\n",
       "      <td>-58.3333</td>\n",
       "      <td>Funding Leg EUR.ESTER.1D.ESTER</td>\n",
       "      <td>1,000,000.0000</td>\n",
       "    </tr>\n",
       "  </tbody>\n",
       "</table>\n",
       "</div>"
      ],
      "text/plain": [
       "                                Valuation/PV  Valuation/Accrued  \\\n",
       "Analytic/default/ValuationDate                                    \n",
       "03/01/2022                            0.0000             0.0000   \n",
       "04/01/2022                          -55.5556           -55.5556   \n",
       "05/01/2022                         -111.1111          -111.1111   \n",
       "06/01/2022                         -166.6667          -166.6667   \n",
       "07/01/2022                         -222.2222          -222.2222   \n",
       "10/01/2022                         -388.8889          -388.8889   \n",
       "11/01/2022                         -444.4444          -444.4444   \n",
       "12/01/2022                         -500.0000          -500.0000   \n",
       "13/01/2022                         -555.5556          -555.5556   \n",
       "14/01/2022                         -611.1111          -611.1111   \n",
       "17/01/2022                         -777.7778          -777.7778   \n",
       "18/01/2022                         -833.3333          -833.3333   \n",
       "19/01/2022                         -888.8889          -888.8889   \n",
       "20/01/2022                         -944.4444          -944.4444   \n",
       "21/01/2022                       -1,000.0000        -1,000.0000   \n",
       "24/01/2022                       -1,166.6667        -1,166.6667   \n",
       "25/01/2022                       -1,222.2222        -1,222.2222   \n",
       "26/01/2022                       -1,277.7778        -1,277.7778   \n",
       "27/01/2022                       -1,333.3333        -1,333.3333   \n",
       "28/01/2022                       -1,388.8889        -1,388.8889   \n",
       "31/01/2022                       -1,555.5556        -1,555.5556   \n",
       "01/02/2022                            0.0000             0.0000   \n",
       "02/02/2022                          -58.3333           -58.3333   \n",
       "\n",
       "                                       Instrument/default/Name  \\\n",
       "Analytic/default/ValuationDate                                   \n",
       "03/01/2022                      Funding Leg EUR.ESTER.1D.ESTER   \n",
       "04/01/2022                      Funding Leg EUR.ESTER.1D.ESTER   \n",
       "05/01/2022                      Funding Leg EUR.ESTER.1D.ESTER   \n",
       "06/01/2022                      Funding Leg EUR.ESTER.1D.ESTER   \n",
       "07/01/2022                      Funding Leg EUR.ESTER.1D.ESTER   \n",
       "10/01/2022                      Funding Leg EUR.ESTER.1D.ESTER   \n",
       "11/01/2022                      Funding Leg EUR.ESTER.1D.ESTER   \n",
       "12/01/2022                      Funding Leg EUR.ESTER.1D.ESTER   \n",
       "13/01/2022                      Funding Leg EUR.ESTER.1D.ESTER   \n",
       "14/01/2022                      Funding Leg EUR.ESTER.1D.ESTER   \n",
       "17/01/2022                      Funding Leg EUR.ESTER.1D.ESTER   \n",
       "18/01/2022                      Funding Leg EUR.ESTER.1D.ESTER   \n",
       "19/01/2022                      Funding Leg EUR.ESTER.1D.ESTER   \n",
       "20/01/2022                      Funding Leg EUR.ESTER.1D.ESTER   \n",
       "21/01/2022                      Funding Leg EUR.ESTER.1D.ESTER   \n",
       "24/01/2022                      Funding Leg EUR.ESTER.1D.ESTER   \n",
       "25/01/2022                      Funding Leg EUR.ESTER.1D.ESTER   \n",
       "26/01/2022                      Funding Leg EUR.ESTER.1D.ESTER   \n",
       "27/01/2022                      Funding Leg EUR.ESTER.1D.ESTER   \n",
       "28/01/2022                      Funding Leg EUR.ESTER.1D.ESTER   \n",
       "31/01/2022                      Funding Leg EUR.ESTER.1D.ESTER   \n",
       "01/02/2022                      Funding Leg EUR.ESTER.1D.ESTER   \n",
       "02/02/2022                      Funding Leg EUR.ESTER.1D.ESTER   \n",
       "\n",
       "                                Holding/default/Units  \n",
       "Analytic/default/ValuationDate                         \n",
       "03/01/2022                             1,000,000.0000  \n",
       "04/01/2022                             1,000,000.0000  \n",
       "05/01/2022                             1,000,000.0000  \n",
       "06/01/2022                             1,000,000.0000  \n",
       "07/01/2022                             1,000,000.0000  \n",
       "10/01/2022                             1,000,000.0000  \n",
       "11/01/2022                             1,000,000.0000  \n",
       "12/01/2022                             1,000,000.0000  \n",
       "13/01/2022                             1,000,000.0000  \n",
       "14/01/2022                             1,000,000.0000  \n",
       "17/01/2022                             1,000,000.0000  \n",
       "18/01/2022                             1,000,000.0000  \n",
       "19/01/2022                             1,000,000.0000  \n",
       "20/01/2022                             1,000,000.0000  \n",
       "21/01/2022                             1,000,000.0000  \n",
       "24/01/2022                             1,000,000.0000  \n",
       "25/01/2022                             1,000,000.0000  \n",
       "26/01/2022                             1,000,000.0000  \n",
       "27/01/2022                             1,000,000.0000  \n",
       "28/01/2022                             1,000,000.0000  \n",
       "31/01/2022                             1,000,000.0000  \n",
       "01/02/2022                             1,000,000.0000  \n",
       "02/02/2022                             1,000,000.0000  "
      ]
     },
     "metadata": {},
     "output_type": "display_data"
    }
   ],
   "source": [
    "# Display PVs\n",
    "valuations = valuation_response_to_df(results)\n",
    "valuations['Analytic/default/ValuationDate'] = valuations['Analytic/default/ValuationDate'].apply(lambda x : parse(x).strftime('%d/%m/%Y'))\n",
    "valuations.set_index('Analytic/default/ValuationDate', inplace=True)\n",
    "display(valuations)"
   ]
  },
  {
   "cell_type": "markdown",
   "metadata": {},
   "source": [
    "The valuation above shows how PV accrues every day until the monthly Leg reset. On each valuation date, the effecive ESTER quote is used to compute interest amounts: Notional * (quote + spread) * (1/360)"
   ]
  }
 ],
 "metadata": {
  "kernelspec": {
   "display_name": "Python 3",
   "language": "python",
   "name": "python3"
  },
  "language_info": {
   "codemirror_mode": {
    "name": "ipython",
    "version": 3
   },
   "file_extension": ".py",
   "mimetype": "text/x-python",
   "name": "python",
   "nbconvert_exporter": "python",
   "pygments_lexer": "ipython3",
   "version": "3.7.6"
  },
  "vscode": {
   "interpreter": {
    "hash": "9650cb4e16cdd4a8e8e2d128bf38d875813998db22a3c986335f89e0cb4d7bb2"
   }
  }
 },
 "nbformat": 4,
 "nbformat_minor": 2
}