Configuring and running FIA
FIA can be configured in two ways, depending on how you want to call the program:
Calling FIA from the command line
To run FIA in stand-alone mode from the command prompt, you must supply data files and a configuration file.
Calling FIA from code
To call FIA from code, the information required is almost exactly the same as for stand-alone mode. The main differences are
- data must be supplied as in-memory arrays rather than CSV files;
- configuration settings are carried out in code, rather than by assinging values in a configuration file.
- Some code is required to pull everything together.
Assigning configuration settings in Python
Configuration settings are assigned using functions.
For instance, suppose we need to instruct FIA to use STB for sovereign curve decomposition. To do this we assign the string value 'STB' to the variable SovereignCurveDecomposition.
In a configuration file, we would include the line
From Python, we use the following statement:
FIA_python36.FIA_set_string ( FIA_API_constants.FT_STRING_SOVEREIGN_CURVE_DECOMPOSITION, "STB" );
Let's describe what is going on here in detail.
Firstly, SovereignCurveDecomposition takes a string value, so we use the FIA_set_string function to set its value. This function call is prefixed with 'FIA_python36' because this is the name of the module in which the function is defined. (This also requires that we have an import FIA_python36 at the start of the Python program).
The function takes two arguments: an integer that corresponds to the SOVEREIGN_CURVE_DECOMPOSITION setting, and the value "STB". However, integers are not very readable, so instead we use a symbolic constant called FT_STRING_SOVEREIGN_CURVE_DECOMPOSITION, where
- FT shows that this is a Flametree-defined constant
- STRING shows that this constant corresponds to a string value
- SOVEREIGN_CURVE_DECOMPOSITION is the variable we are assigning.
The symbolic constant is prefixed by FIA_API_constants as this is the module in which the value is defined. As above, this also requires an 'import FIA_API_constants' statement at the start of the Python program.
Assigning data arrays in Python
The starting point for a data array in Python is a Flametree-defined data structure called a stringmatrix. This structure is defined in module FIA_python36 and allows the user to initialise it in terms of lists of lists.
For instance, to set up yield curve data using static declarations, we could write
y = FIA_python36.stringmatrix() y = [
["BASE_CURVE", "2010-Jan-01", "0.0", "0.050"], ["BASE_CURVE", "2010-Jan-01", "4.0", "0.050"], ["BASE_CURVE", "2010-Jan-01", "8.0", "0.050"], ["BASE_CURVE", "2011-Jan-01", "0.0", "0.045"], ["BASE_CURVE", "2011-Jan-01", "4.0", "0.045"], ["BASE_CURVE", "2011-Jan-01", "8.0", "0.045"], ["SECTOR_CURVE", "2010-Jan-01", "0.0", "0.055"]
This data can now be assigned as described in the following section. To assign data rather than indiviudal settings, we use a different function called FIA_set_matrix.
The following function does the same as setting
in a configuration file. Instead, we write
FIA_python36.FIA_set_matrix( FIA_API_constants.FT_MATRIX_YIELDCURVE, y );
Despite the additional apparent complexity of calling FIA in this way, it carries many advantages - speed, robustness, and ease of deployment. In particular, the ability to pass large quantities of data in memory rather than via disk files means you can process your portfolio much more quickly.
Values of the configuration constants are supplied in file FIA_API_CONSTANTS.py (for Python), FIA_API_CONSTANTS.cs (for C#), and FIA_API_CONSTANTS.java (for Java). These files are always supplied with the run-time files for FIA.
When using a set of constants, it is important to ensure that you are using the correct version. As FIA is developed and improved, the mapping of some constants can change and if you use an out-of-date file, the program may not work as intended.
The constants file therefore has a first line that reads as follows:
Auto-generated constants file for calling FIA from Python DO NOT MODIFY THIS FILE Version v2.4.0-9
Please ensure that the version number supplied on the third line matches the version of FIA that you are running. You can check this from the command line by typing