diff options
| -rw-r--r-- | python/risk/tranches.py | 113 |
1 files changed, 78 insertions, 35 deletions
diff --git a/python/risk/tranches.py b/python/risk/tranches.py index 2040b494..d70fbee9 100644 --- a/python/risk/tranches.py +++ b/python/risk/tranches.py @@ -1,8 +1,9 @@ import numpy as np +import pandas as pd from pyisda.date import cds_accrued from serenitas.analytics.api import Portfolio, DualCorrTranche from serenitas.analytics.index import BasketIndex -from serenitas.analytics.index_data import hist_skews, on_the_run +from serenitas.analytics.index_data import hist_spreads, hist_skews, on_the_run from serenitas.analytics.dates import prev_business_day from serenitas.analytics.utils import get_fx from serenitas.analytics.yieldcurve import get_curve, hist_curves @@ -248,25 +249,52 @@ def insert_tranche_risk(portf, conn): conn.commit() -def skew_diff(prev_skew, curr_skew) -> dict[str, int]: +def skew_shocks(skew_hist, d_prev, d_curr): r = {} - for index, skews in curr_skew.items(): - prev_skews = prev_skew[index] - for serie, (otr, skew) in skews.items(): - if serie in prev_skews: - dS = skew - prev_skews[serie][1] - r[index, otr] = dS + for index_type in ("IG", "EU", "HY", "XO"): + if d_curr in skew_hist[index_type]: + S_curr = skew_hist[index_type][d_curr] + i = 0 + d = d_prev + while i < 9: + if d in skew_hist[index_type]: + S_prev = skew_hist[index_type][d] + break + else: + i += 1 + d = prev_business_day(d) + else: + raise ValueError + + for serie, (otr, skew) in S_curr.items(): + if serie in S_prev: + dS = skew - S_prev[serie][1] + r[index_type, otr] = dS + else: + for i in range(10): + r[index_type, i] = None return r -def VaR(conn, portf: Portfolio, quantile=0.05, years: int = 5): - """let's do IR VaR for now""" +def VaR( + conn, + portf: Portfolio, + years: int | None = 5, + start_date=None, + end_date=None, + d=None, +): + """run historical VaR on 3 factors: rates, spreads and skews""" value_date = portf.value_date + if end_date is None: + end_date = value_date curves = ( - hist_curves("USD", delta_in_years=years), - hist_curves("EUR", delta_in_years=years), + hist_curves("USD", start_date, end_date, delta_in_years=years), + hist_curves("EUR", start_date, end_date, delta_in_years=years), ) - skew_hist = hist_skews(conn, end_date=value_date, lookback=years) + skew_hist = hist_skews(conn, start_date, end_date=end_date, lookback=years) + index_types = tuple(set(t.index_type for t in portf)) + spread_returns = hist_spreads(start_date, end_date, index_types, ["5yr"], years) yc_hist = [] for (d1, c1), (d2, c2) in zip(*curves): if d1 != d2: @@ -275,35 +303,50 @@ def VaR(conn, portf: Portfolio, quantile=0.05, years: int = 5): yc_hist.append((d1, c1, c2)) orig_usd, orig_eur = get_curve(value_date, "USD"), get_curve(value_date, "EUR") - l = [] - d = [] + if d is None: + d = {} otr = {k: on_the_run(k, value_date) for k in ("EU", "XO", "IG", "HY")} - skew_prev = yc_hist[0][0] + # store current spreads + old_spreads = {k: float(v.spread()) for k, v in BasketIndex._cache.items()} + for prev, curr in zip(yc_hist, yc_hist[1:]): d_curr, curr_usd, curr_eur = curr d_prev, prev_usd, prev_eur = prev - if not skew_hist[d_curr]: - dS = None - skew_prev = d_prev - else: - dS = skew_diff(skew_hist[skew_prev], skew_hist[d_curr]) - skew_prev = d_curr print(d_curr) + dS = skew_shocks(skew_hist, d_prev, d_curr) usd_shock = curr_usd - prev_usd eur_shock = curr_eur - prev_eur - for k, v in BasketIndex._cache.items(): - if k[0] in ("HY", "IG"): + spread_shocks = spread_returns.xs(pd.Timestamp(d_curr)) + for (index_type, series, tenor), v in BasketIndex._cache.items(): + if index_type in ("HY", "IG"): v.yc = orig_usd + usd_shock - elif k[0] in ("XO", "EU"): + elif index_type in ("XO", "EU"): v.yc = orig_eur + eur_shock - for t in portf.trades: - if dS is not None: - for i in range(3): - v = otr[t.index_type] - t.series - i - if (t.index_type, v) in dS: - t.rho = (t._skew + dS[t.index_type, v])(t.moneyness) - break + ss = float(spread_shocks.loc[index_type, otr[index_type] - series]) + new_spread = old_spreads[index_type, series, tenor] * (1 + ss) + if index_type == "HY": + ref = 100 * ( + 1 + - v._snacpv( + new_spread * 1e-4, v.coupons[0], v.recovery, v.maturities[0] + ) + ) + else: + ref = new_spread + v.tweak([ref]) + for tid, t in portf.items(): + # we shock skews + for i in range(-1, 8): + v = otr[t.index_type] - t.series - i + if (t.index_type, v) in dS: + t.rho = (t._skew + dS[t.index_type, v])(t.moneyness) + break + else: + logging.error("Couldn't find a suitable skew mapping") + t.rho = t._skew(t.moneyness) + # we shock rates t.cs.df = t._index.yc.discount_factor(t.cs.payment_dates) - l.append(portf.pv) - d.append(d_curr) - return l, d + d[d_curr] = pd.DataFrame.from_records( + [(*tid, t.pv) for tid, t in portf.items()], columns=["strat", "tid", "pv"] + ).set_index(["strat", "tid"]) + return pd.concat(d) |