A little demonstration of using Quant API REST Calls to value an Overnight Index Swaps in AppSmith. The whole application can be build in ~15 minutes!
This is how to do it:
- Construct the data for building the yield curve by:
{{
Table1.tableData.map( r => {return {"tenor" : r.Term, "rate" : r.MidRate, "settleDays": 2, "index" : "Sofr"}})
}}- Table with input market data are created by:
[
{
"Term": "1M",
"MidRate": 0.01
},
{
"Term": "6M",
"MidRate": 0.01
},
{
"Term": "1Y",
"MidRate": 0.01
},
{
"Term": "18M",
"MidRate": 0.01
}
]- The build Yield Curve can be presented as:
{{YC.data.dates.map( function (r,i) { return { "Date": r, "Rate": YC.data.rates[i]} } ) }}- Construct the call to OIS pricer with:
{{ { "swap" : { "startDate" : RefDate.formattedDate,
"notional": Input1.text,
"fixedRate": Input2.text,
"index" : "Sofr",
"schedule" : { "dates" : [DatePicker1.formattedDate, DatePicer2.formattedDate]},
"fixedDC" : DayCount.selectedOptionValue},
"curve": YC.data
}
}}- Day counts are defined in the selection box, e.g.:
[
{
"label": "Actual360",
"value": "Actual360"
},
{
"label": "Actual365Fixe",
"value": "Actual365Fixe"
}
]Here is what it looks like:
