diff options
| -rw-r--r-- | python/analytics/tranche_basket.py | 25 |
1 files changed, 23 insertions, 2 deletions
diff --git a/python/analytics/tranche_basket.py b/python/analytics/tranche_basket.py index 38114670..b2faecea 100644 --- a/python/analytics/tranche_basket.py +++ b/python/analytics/tranche_basket.py @@ -1,3 +1,4 @@ +from __future__ import annotations from .basket_index import BasketIndex from .tranche_functions import ( credit_schedule, @@ -45,6 +46,14 @@ import warnings logger = logging.getLogger(__name__) +class dSkew: + __slots__ = ("s1", "s2") + + def __init__(self, skew1: CubicSpline, skew2: CubicSpline): + self.s1 = skew1.skew_fun + self.s2 = skew2.skew_fun + + class Skew: _cache = LRU(64) @@ -56,8 +65,20 @@ class Skew: yield self.el yield self.skew_fun - def __call__(self, k): - return expit(self.skew_fun(np.log(k))) + def __call__(self, moneyness): + return expit(self.skew_fun(np.log(moneyness))) + + def __add__(self, dS: dSkew) -> Callable: + def newSkew(moneyness): + lmoneyness = np.log(moneyness) + return expit( + self.skew_fun(lmoneyness) + dS.s2(lmoneyness) - dS.s1(lmoneyness) + ) + + return newSkew + + def __sub__(self, other: Skew) -> dSkew: + return dSkew(other, self) @classmethod def from_desc( |