diff options
| -rw-r--r-- | python/calibrate_tranches_BC.py | 52 |
1 files changed, 52 insertions, 0 deletions
diff --git a/python/calibrate_tranches_BC.py b/python/calibrate_tranches_BC.py new file mode 100644 index 00000000..7b55ae38 --- /dev/null +++ b/python/calibrate_tranches_BC.py @@ -0,0 +1,52 @@ +from db import dbconn, dbengine +from analytics import TrancheBasket +import datetime +import pandas as pd +from yaml import load + +start_dates = {'ig19': datetime.date(2013, 5, 1), + 'ig21': datetime.date(2013, 9, 26), + 'ig23': datetime.date(2014, 10, 14), + 'ig25': datetime.date(2015, 9, 22), + 'ig27': datetime.date(2016, 9, 27), + 'ig29': datetime.date(2017, 9, 26), + 'ig31': datetime.date(2018, 9, 25)} + +serenitas_engine = dbengine('serenitasdb') + +with open("/home/guillaume/projects/code/etc/runs.yml") as fh: + runs = load(fh)['runs'] + for index, tenor in runs: + print(index, tenor) + if index not in start_dates: + continue + else: + begin_date = start_dates[index] + index, series = index[:2].upper(), int(index[2:]) + tranche_index = TrancheBasket(index, series, tenor) + dr = pd.bdate_range(begin_date, "2018-10-10") + for d in dr: + print(d) + try: + tranche_index.value_date = d + except ValueError as e: + print(e) + continue + tranche_index.tweak() + tranche_index.build_skew() + df = pd.concat([tranche_index.tranche_deltas(), + tranche_index.tranche_thetas(), + tranche_index.tranche_fwd_deltas(), + tranche_index.tranche_durations(), + tranche_index.tranche_EL(), + tranche_index.tranche_spreads()], axis=1) + df['index_duration'], df['index_expected_loss'], df['index_price'] = tranche_index.index_pv() + df['index_expected_loss'] *= -1 + df['index_duration'] -= tranche_index.accrued() + df['index_basis'] = tranche_index.tweaks[0] + df['index_theta'] = tranche_index.theta()[tenor] + df['tranche_id'] = tranche_index.tranche_quotes.id.values + df['corr_at_detach'] = tranche_index.rho[1:] + df['corr01'] = tranche_index.tranche_corr01() + del df['fwd_gamma'] + df.to_sql("tranche_risk", serenitas_engine, if_exists='append', index=False) |