diff options
| -rw-r--r-- | python/analytics/__init__.py | 3 | ||||
| -rw-r--r-- | python/analytics/tranche_basket.py | 23 | ||||
| -rw-r--r-- | python/risk/__main__.py | 4 | ||||
| -rw-r--r-- | python/risk/tranches.py | 1 |
4 files changed, 17 insertions, 14 deletions
diff --git a/python/analytics/__init__.py b/python/analytics/__init__.py index 62cd168c..d32c88ec 100644 --- a/python/analytics/__init__.py +++ b/python/analytics/__init__.py @@ -3,6 +3,7 @@ import sys sys.path.append("..") # indicates whether we use local pricing _local = True +_include_todays_cashflow = False from utils.db import serenitas_engine, dawn_engine, dbconn, DataError, serenitas_pool from functools import lru_cache from .index import CreditIndex, ForwardIndex @@ -35,7 +36,7 @@ def on_the_run(index: str, value_date: datetime.date = datetime.date.today()) -> f"AND issue_date {interval}<= %s", (index, value_date), ) - series, = r.fetchone() + (series,) = r.fetchone() return series diff --git a/python/analytics/tranche_basket.py b/python/analytics/tranche_basket.py index 9f3cc4fc..07af20a1 100644 --- a/python/analytics/tranche_basket.py +++ b/python/analytics/tranche_basket.py @@ -215,10 +215,10 @@ class DualCorrTranche: @maturity.setter def maturity(self, m): + # TODO: fix case of bespokes self._index.maturities = [m] - start_date = pd.Timestamp(self.value_date) + Day() self.cs = credit_schedule( - start_date, + self.value_date, 1.0, self._index.yc, m, @@ -289,13 +289,11 @@ class DualCorrTranche: def value_date(self, d: pd.Timestamp): self._index.value_date = d start_date = pd.Timestamp(d) + Day() - self.cs = credit_schedule( - start_date, - 1.0, - self._index.yc, - self.maturity, - rule=OldCDS if self.index_type == "BS" else CDS2015, - ) + if analytics._include_todays_cashflows: + self.cs = self.cs[self.cs.index >= start_date] + else: + self.cs = self.cs[self.cs.index > start_date] + self.cs.df = self.cs.payment_dates.apply(self._index.yc.discount_factor) self._accrued = ( (start_date - self.cs.start_dates[0]).days / 360 @@ -770,10 +768,13 @@ class DualCorrTranche: kbound = find_upper_bound(k, 4) moneyness_eq.append(brentq(aux, 0.0, kbound, (k, 4)) / el) self.rho = skew(moneyness_eq) - self.maturity += relativedelta(years=-1) + self._index.maturities = [self.maturity - relativedelta(years=1)] + cs = self.cs + self.cs = self.cs[:-4] r = self.pv - pv_orig self.rho = rho_orig - self.maturity += relativedelta(years=1) + self._index.maturities = [self.maturity + relativedelta(years=1)] + self.cs = cs return -r / self.notional + self.tranche_running * 1e-4 def expected_loss(self, discounted=True, shortened=0): diff --git a/python/risk/__main__.py b/python/risk/__main__.py index e609221d..dfd61eb7 100644 --- a/python/risk/__main__.py +++ b/python/risk/__main__.py @@ -19,13 +19,13 @@ else: init_ontr(workdate) -# analytics._local = False +analytics._include_todays_cashflows = True mysql_engine = dbengine("rmbs_model") mysqlcrt_engine = dbengine("crt") with dbconn("dawndb") as conn: - portf = get_swaption_portfolio(workdate, conn, source_list=["GS"]) + portf = get_swaption_portfolio(workdate, conn, source_list=["MS"]) insert_swaption_portfolio(portf, conn) for fund in ("SERCGMAST", "BOWDST"): portf = get_tranche_portfolio(workdate, conn, fund=fund) diff --git a/python/risk/tranches.py b/python/risk/tranches.py index 0f4292c4..6c7ea1e4 100644 --- a/python/risk/tranches.py +++ b/python/risk/tranches.py @@ -25,6 +25,7 @@ def get_tranche_portfolio(date, conn, by_strat=False, fund="SERCGMAST", **kwargs detach=t.orig_detach, corr_attach=None, corr_detach=None, + value_date=t.trade_date, ) for t in trade_ids ] |