diff options
| -rw-r--r-- | etc/runs.yml | 60 | ||||
| -rw-r--r-- | python/calibrate_tranches_BC.py | 6 |
2 files changed, 29 insertions, 37 deletions
diff --git a/etc/runs.yml b/etc/runs.yml index 5d35f854..df4cdcb6 100644 --- a/etc/runs.yml +++ b/etc/runs.yml @@ -1,36 +1,26 @@ runs: - #- [hy19, 5yr] - #- [hy21, 5yr] - #- [ig19, 5yr] - - [ig19, 7yr] - #- [ig21, 5yr] - #- [ig9, 10yr] - #- [ig23, 3yr] - - [ig23, 5yr] - #- [ig25, 3yr] - - [ig25, 5yr] - - [ig27, 3yr] - - [ig27, 5yr] - - [ig29, 3yr] - - [ig29, 5yr] - - [ig31, 3yr] - - [ig31, 5yr] - #- [hy23, 3yr] - - [hy23, 5yr] - #- [hy25, 3yr] - - [hy25, 5yr] - - [hy27, 3yr] - - [hy27, 5yr] - - [hy29, 3yr] - - [hy29, 5yr] - - [hy31, 3yr] - - [hy31, 5yr] - - [xo24, 5yr] - - [xo26, 5yr] - - [xo28, 5yr] - - [xo30, 5yr] - #- [eu9, 10yr] - - [eu24, 5yr] - - [eu26, 5yr] - - [eu28, 5yr] - - [eu30, 5yr] + - [ig19, 7yr, "bottomup"] + - [ig23, 5yr, "bottomup"] + - [ig25, 5yr, "bottomup"] + - [ig27, 3yr, "bottomup"] + - [ig27, 5yr, "bottomup"] + - [ig29, 3yr, "bottomup"] + - [ig29, 5yr, "bottomup"] + - [ig31, 3yr, "bottomup"] + - [ig31, 5yr, "bottomup"] + - [hy23, 5yr, "bottomup"] + - [hy25, 5yr, "topdown"] + - [hy27, 3yr, "bottomup"] + - [hy27, 5yr, "bottomup"] + - [hy29, 3yr, "bottomup"] + - [hy29, 5yr, "bottomup"] + - [hy31, 3yr, "bottomup"] + - [hy31, 5yr, "bottomup"] + - [xo24, 5yr, "bottomup"] + - [xo26, 5yr, "bottomup"] + - [xo28, 5yr, "bottomup"] + - [xo30, 5yr, "bottomup"] + - [eu24, 5yr, "bottomup"] + - [eu26, 5yr, "bottomup"] + - [eu28, 5yr, "bottomup"] + - [eu30, 5yr, "bottomup"] diff --git a/python/calibrate_tranches_BC.py b/python/calibrate_tranches_BC.py index 1e1b2512..d4317f32 100644 --- a/python/calibrate_tranches_BC.py +++ b/python/calibrate_tranches_BC.py @@ -93,6 +93,7 @@ if __name__ == "__main__": "ig27": datetime.date(2016, 9, 27), "ig29": datetime.date(2017, 9, 26), "ig31": datetime.date(2018, 9, 25), + "ig33": datetime.date(2019, 9, 25), "xo22": datetime.date(2014, 10, 20), "xo24": datetime.date(2015, 9, 28), "xo26": datetime.date(2016, 9, 27), @@ -105,6 +106,7 @@ if __name__ == "__main__": "eu26": datetime.date(2016, 9, 27), "eu28": datetime.date(2017, 9, 28), "eu30": datetime.date(2018, 9, 25), + "eu32": datetime.date(2019, 9, 25), "xo30": datetime.date(2018, 9, 25), } @@ -117,7 +119,7 @@ if __name__ == "__main__": with (CODE_DIR / "etc" / args.config).open("r") as fh: config = full_load(fh) - for index, tenor in config["runs"]: + for index, tenor, skewtype in config["runs"]: begin_date = None index, series = index[:2].upper(), int(index[2:]) if args.start_from is not None: @@ -157,7 +159,7 @@ if __name__ == "__main__": logger.error(e) break try: - tranche_index.build_skew() + tranche_index.build_skew(skewtype) except ValueError as e: logger.error(e) continue |