diff options
| -rw-r--r-- | python/notebooks/Curve Trades.ipynb | 36 |
1 files changed, 25 insertions, 11 deletions
diff --git a/python/notebooks/Curve Trades.ipynb b/python/notebooks/Curve Trades.ipynb index 05b05f89..28c62bd9 100644 --- a/python/notebooks/Curve Trades.ipynb +++ b/python/notebooks/Curve Trades.ipynb @@ -16,7 +16,9 @@ "from ipywidgets import widgets\n", "from analytics.scenarios import run_curve_scenarios\n", "from scipy.optimize import brentq\n", - "from db import dbengine" + "from utils.db import dbengine\n", + "\n", + "%matplotlib inline" ] }, { @@ -41,7 +43,7 @@ "outputs": [], "source": [ "index = w.value\n", - "report_date = (pd.datetime.today() - pd.offsets.BDay(5)).date()" + "report_date = (pd.datetime.today() - pd.offsets.BDay(1)).date()" ] }, { @@ -123,13 +125,13 @@ " cum_ret = (ret+1).cumprod()\n", " return cum_ret[col_a][-1] - cum_ret[col_b + ' lev'][-1]\n", "\n", - "curve_lev = brentq(aux, 0.01, 3 * lev, args=(ret, '5yr long lev', '3-5-10'))\n", + "curve_lev = brentq(aux, 0.01, 3 * lev, args=(ret, '5yr long lev', '5-10'))\n", "other_lev = brentq(aux, 0.01, 3 * lev, args=(ret, '5yr long lev', col_name))\n", "\n", - "ret['3-5-10 lev'] = curve_lev * ret['3-5-10']\n", + "ret['5-10 lev'] = curve_lev * ret['5-10']\n", "ret[col_name + ' lev'] = other_lev * ret[col_name]\n", "cum_ret = (ret+1).cumprod()\n", - "cum_ret_ax = cum_ret[['5yr long lev', '3-5-10 lev', col_name + ' lev']].plot()\n", + "cum_ret_ax = cum_ret[['5yr long lev', '5-10 lev', col_name + ' lev']].plot()\n", "cum_ret_ax.figure.savefig(\"/home/serenitas/edwin/PythonGraphs/curve_trades_cum_return.png\", bbox_inches='tight')" ] }, @@ -277,10 +279,10 @@ "outputs": [], "source": [ "#plot steepness scenario at current spread\n", - "df_plot = df.set_index(['spread', 'curve_per'], append=True)\n", - "df_plot = df_plot.xs(round(spread_df.iloc[0][0], 2), level = 'spread')\n", - "df_plot.name = 'pnl'\n", - "g.plot_color_map(df_plot, spread_range)" + "#df_plot = df.set_index(['spread', 'curve_per'], append=True)\n", + "#df_plot = df_plot.xs(round(spread_df.iloc[0][0], 2), level = 'spread')\n", + "#df_plot.name = 'pnl'\n", + "#g.plot_color_map(df_plot, spread_range)" ] }, { @@ -364,6 +366,18 @@ "execution_count": null, "metadata": {}, "outputs": [], + "source": [ + "from exploration.VaR import hist_var\n", + "IG = ct.curve_pos(report_date, 'IG')\n", + "ITRX = ct.curve_pos(report_date, 'EU')\n", + "VaR = hist_var(IG, 'IG') + hist_var(ITRX, 'EU')" + ] + }, + { + "cell_type": "code", + "execution_count": null, + "metadata": {}, + "outputs": [], "source": [] } ], @@ -383,9 +397,9 @@ "name": "python", "nbconvert_exporter": "python", "pygments_lexer": "ipython3", - "version": "3.7.1" + "version": "3.7.3" } }, "nbformat": 4, - "nbformat_minor": 2 + "nbformat_minor": 4 } |