diff options
| -rw-r--r-- | R/calibrate_tranches_BC.R | 8 | ||||
| -rw-r--r-- | R/tranche_functions.R | 10 | ||||
| -rw-r--r-- | python/dates.py | 2 | ||||
| -rw-r--r-- | python/pnl_explain.py | 4 |
4 files changed, 13 insertions, 11 deletions
diff --git a/R/calibrate_tranches_BC.R b/R/calibrate_tranches_BC.R index 37a44e2a..c52ec88d 100644 --- a/R/calibrate_tranches_BC.R +++ b/R/calibrate_tranches_BC.R @@ -3,7 +3,7 @@ code.dir <- Sys.getenv("CODE_DIR") tranchedata.dir <- file.path(Sys.getenv("BASE_DIR"), "Tranche_data") library(logging) basicConfig() -if(!interactive()){ +if(!interactive()) { removeHandler('basic.stdout') addHandler(writeToFile, file=file.path(Sys.getenv("LOG_DIR"), "calibrate_tranches_BC.log")) library(optparse) @@ -18,12 +18,12 @@ if(!interactive()){ help="last date to run [default %default]")) args <- parse_args(OptionParser(option_list=option_list)) ## default values - if(is.null(args$config)){ - if(is.null(args$index)){ + if(is.null(args$config)) { + if(is.null(args$index)) { stop("Please provide an index name") } config <- list(runs=list(c(args$index, args$tenor))) - }else{ + } else { config <- yaml::yaml.load_file(file.path(code.dir, "etc", args$config)) } } else { diff --git a/R/tranche_functions.R b/R/tranche_functions.R index b33ec339..41d55295 100644 --- a/R/tranche_functions.R +++ b/R/tranche_functions.R @@ -214,7 +214,7 @@ adjust.skew <- function(index1, index2, method=c("ATM", "TLP", "PM")) { pmax(pmin(x, 0.99), 0.01) } - if(method=="ATM") { + if(method == "ATM") { K1eq <- el1/el2 * K2 } else if(method == "TLP") { K1eq <- c() @@ -280,6 +280,8 @@ BCtranche.delta <- function(index, complement=FALSE) { deltas <- (bp[,2]-bp[,3])/(indexbp[2]-indexbp[3])*tranche.factor(index)/index$factor deltasplus <- (bp[,4]-bp[,1])/(indexbp[4]-indexbp[1])*tranche.factor(index)/index$factor + print(deltas) + print(deltasplus) gammas <- (deltasplus-deltas)/(indexbp[2]-indexbp[1])/100 return( data.frame(delta=deltas, gamma=gammas) ) @@ -354,10 +356,10 @@ EL <- function(index, discounted=TRUE, shortened=0) { df <- index$cs$df[1:(Ncol-shortened)] } ELvec <- as.numeric(crossprod(index$issuerweights * (1-index$recov), DP)) - if(!discounted){ + if(!discounted) { return( ELvec[length(ELvec)] ) - }else{ - return( sum(df*diff(c(0, ELvec))) ) + } else { + return( sum(df*diff(c(0, ELvec))) ) } } diff --git a/python/dates.py b/python/dates.py index fbdc7d98..025949b6 100644 --- a/python/dates.py +++ b/python/dates.py @@ -11,7 +11,7 @@ bond_cal = HolidayCalendarFactory('BondCalendar', fed_cal, GoodFriday) bus_day = CustomBusinessDay(calendar=bond_cal()) def imm_dates(start_date, end_date): - start_date = bus_day.rollback(start_date)-19*Day() + start_date = bus_day.rollback(start_date) - 19 * Day() start_date = QuarterBegin(startingMonth=3).rollback(start_date) #should be close=left I think return (pd.date_range(start_date, end_date, freq='QS-MAR', closed=None). diff --git a/python/pnl_explain.py b/python/pnl_explain.py index 0be46854..25af238e 100644 --- a/python/pnl_explain.py +++ b/python/pnl_explain.py @@ -4,7 +4,7 @@ import pandas as pd from db import dbengine from dates import bus_day, imm_dates, yearfrac -def get_daycount(identifier, engine = dbengine("dawndb")): +def get_daycount(identifier, engine=dbengine("dawndb")): """ retrieve daycount and paydelay for a given identifier""" conn = engine.raw_connection() with conn.cursor() as c: @@ -19,7 +19,7 @@ def get_daycount(identifier, engine = dbengine("dawndb")): return a, b def pnl_explain(identifier, start_date = None, end_date = None, - engine = dbengine("dawndb")): + engine=dbengine("dawndb")): """ if start_date is None, pnl since inception""" trades = pd.read_sql_query("SELECT * FROM bonds where identifier=%s", engine, params=(identifier,), parse_dates=['trade_date', 'settle_date']) |