diff options
| -rw-r--r-- | python/notebooks/swaption_scenarios.ipynb | 52 |
1 files changed, 38 insertions, 14 deletions
diff --git a/python/notebooks/swaption_scenarios.ipynb b/python/notebooks/swaption_scenarios.ipynb index 13639918..e632d922 100644 --- a/python/notebooks/swaption_scenarios.ipynb +++ b/python/notebooks/swaption_scenarios.ipynb @@ -34,42 +34,48 @@ "source": [ "portf = get_swaption_portfolio(datetime.date.today() - pd.offsets.BDay(), conn, source_list=['GS'])\n", "\n", - "hedges = pd.read_sql_query(\"SELECT security_desc, notional FROM list_cds_positions_by_strat(%s) \"\n", + "hedges = pd.read_sql_query(\"SELECT security_id as redcode, maturity, notional, folder FROM list_cds_positions_by_strat(%s) \"\n", " \"WHERE folder in ('IGOPTDEL', 'HYOPTDEL')\",\n", " conn, params=(datetime.date.today(),))\n", "\n", "for i, r in hedges.iterrows():\n", - " portf.add_trade(CreditIndex(r['security_desc'].split(\" \")[1],\n", - " r['security_desc'].split(\" \")[3][1:],\n", - " '5yr', value_date=datetime.date.today() - pd.offsets.BDay(),\n", - " notional = r['notional']), ('delta', i))\n", + " strategy = r.pop(\"folder\")\n", + " trade_index = CreditIndex(**r, value_date=datetime.date.today() - pd.offsets.BDay())\n", + " trade_index.mark()\n", + " portf.add_trade(trade_index, (strategy, i))\n", "\n", "vol_surface = {}\n", "for trade in portf.swaptions:\n", - " vs = BlackSwaptionVolSurface(trade.index.index_type, trade.index.series, \n", - " value_date=datetime.date.today(), interp_method = \"bivariate_linear\")\n", - " vol_surface[(trade.index.index_type, trade.index.series, trade.option_type)] = vs[vs.list(source='GS', option_type=trade.option_type)[-1]]\n", + " k = (trade.index.index_type, trade.index.series, trade.option_type)\n", + " if k not in vol_surface:\n", + " vs = BlackSwaptionVolSurface(trade.index.index_type, trade.index.series, \n", + " value_date=datetime.date.today(), interp_method = \"bivariate_linear\")\n", + " vol_surface[k] = vs[vs.list('GS', option_type=trade.option_type)[-1]]\n", "\n", "#Set original_pv as of yesterday's EOD levels, don't reset PV after this time\n", - "portf.mark(interp_method=\"bivariate_linear\", source_list=['GS'])\n", "portf.reset_pv()\n", "\n", "#set ref to today's levels\n", "portf.value_date = datetime.date.today()\n", - "portf.mark(interp_method=\"bivariate_linear\", source_list=['GS'])\n", - "\n", + "portf.mark(interp_method=\"bivariate_linear\", source_list=['GS'])" + ] + }, + { + "cell_type": "code", + "execution_count": null, + "metadata": {}, + "outputs": [], + "source": [ "spread_shock = np.round(np.arange(-.1, .1, .01), 4)\n", "scens = run_portfolio_scenarios(portf, [datetime.datetime.now()], params=['pnl', 'hy_equiv', 'sigma'],\n", " spread_shock=spread_shock,\n", " vol_shock=[0],\n", - " corr_shock=[0],\n", " vol_surface=vol_surface)\n", "pnl = scens.xs('pnl', level = 2, axis=1).sum(axis=1)\n", "hy_equiv = scens.xs('hy_equiv', level = 2, axis=1).sum(axis=1)\n", "\n", "ig = CreditIndex('IG', 32, '5yr')\n", "ig.mark()\n", - "\n", "pnl.index = pnl.index.set_levels((1+pnl.index.get_level_values('spread_shock')) * ig.spread, level = 'spread_shock')\n", "hy_equiv.index = pnl.index" ] @@ -80,6 +86,24 @@ "metadata": {}, "outputs": [], "source": [ + "pnl.reset_index([\"date\", \"vol_shock\"], drop=True).to_frame(\"pnl\").plot()" + ] + }, + { + "cell_type": "code", + "execution_count": null, + "metadata": {}, + "outputs": [], + "source": [ + "hy_equiv.reset_index([\"date\", \"vol_shock\"], drop=True).to_frame(\"hy_equiv\").plot()" + ] + }, + { + "cell_type": "code", + "execution_count": null, + "metadata": {}, + "outputs": [], + "source": [ "pnl, hy_equiv" ] }, @@ -424,7 +448,7 @@ "name": "python", "nbconvert_exporter": "python", "pygments_lexer": "ipython3", - "version": "3.7.3" + "version": "3.7.4" } }, "nbformat": 4, |