diff options
| -rw-r--r-- | python/risk/indices.py | 20 |
1 files changed, 4 insertions, 16 deletions
diff --git a/python/risk/indices.py b/python/risk/indices.py index 267e0181..022eb6b3 100644 --- a/python/risk/indices.py +++ b/python/risk/indices.py @@ -2,7 +2,7 @@ import datetime import logging import pandas as pd from serenitas.analytics.api import Portfolio, CreditIndex -from serenitas.analytics.index_data import on_the_run, index_returns +from serenitas.analytics.index_data import on_the_run, hist_spreads from math import sqrt from psycopg import Connection from typing import Iterable, Tuple, Union @@ -75,21 +75,9 @@ def get_index_portfolio( def VaR(portf: Portfolio, quantile=0.05, years: int = 5, period="monthly"): index_types = tuple(set(t.index_type for t in portf)) - df = index_returns( - index=index_types, - years=years, - end_date=portf.value_date, - tenor=["3yr", "5yr", "7yr", "10yr"], + returns = hist_spreads( + portf.value_date, index_types, ["3yr", "5yr", "7yr", "10yr"], years ) - df = df.reorder_levels(["date", "index", "series", "tenor"]) - returns = df.spread_return.dropna().reset_index("series") - returns["dist_on_the_run"] = returns.groupby(["date", "index"])["series"].transform( - lambda x: x.max() - x - ) - del returns["series"] - returns = returns.set_index("dist_on_the_run", append=True).unstack("tenor") - returns.columns = returns.columns.droplevel(0) - portf.reset_pv() spreads = pd.DataFrame( @@ -149,7 +137,7 @@ def insert_index_risk(d: datetime.date, conn: Connection, fund: str = "SERCGMAST df = pd.read_sql_query( "SELECT * FROM list_cds_positions_by_strat(%s, %s)", conn, - params=(d, "SERCGMAST"), + params=(d, fund), ) to_insert = [] for t in df.itertuples(index=False): |