diff options
| -rw-r--r-- | python/cds_curve.py | 64 |
1 files changed, 34 insertions, 30 deletions
diff --git a/python/cds_curve.py b/python/cds_curve.py index 7b08bb62..ac4ba8e7 100644 --- a/python/cds_curve.py +++ b/python/cds_curve.py @@ -33,7 +33,7 @@ def build_curve(r, today_date, yc, start_date, step_in_date, value_date, end_dat sc = SpreadCurve(today_date, yc, start_date, step_in_date, value_date, end_dates, spread_curve, upfront_curve, recovery_curve, ticker=r['cds_ticker']) - if np.any(np.isnan(upfront_curve)): + if len(sc) != end_dates.shape[0]: sc = fill_curve(sc, end_dates) except ValueError as e: print(e) @@ -64,7 +64,7 @@ def get_singlenames_curves(index_type, series, trade_date): step_in_date = trade_date + datetime.timedelta(days=1) value_date = pd.Timestamp(trade_date) + 3* BDay() args = (trade_date, jp_yc, start_date, step_in_date, value_date, end_dates) - curves = build_curves_dist(sn_quotes, args) + curves = build_curves(sn_quotes, args) return curves, args def all_curves_pv(curves, today_date, jp_yc, start_date, step_in_date, value_date, maturities): @@ -114,15 +114,13 @@ def calibrate_portfolio(index_type, series, tenors=['3yr', '5yr', '7yr', '10yr'] issue_date = index_desc.issue_date[0] index_desc = index_desc.set_index('maturity') maturities = index_quotes.columns.sort_values().to_pydatetime() - - curves, _ = get_singlenames_curves(index_type, series, start_date or issue_date) + start_date = start_date or index_quotes.index.get_level_values(0)[0] + index_quotes = index_quotes[start_date:] + curves, _ = get_singlenames_curves(index_type, series, start_date) index = CreditIndex(issue_date, maturities, curves) r = {} - lo, hi = -0.5, 0.5 for k, s in index_quotes.iterrows(): trade_date, version = k - if start_date and trade_date < start_date: - continue curves, args = get_singlenames_curves(index_type, series, trade_date) _, jp_yc, _, step_in_date, value_date, _ = args index.curves = curves @@ -130,24 +128,31 @@ def calibrate_portfolio(index_type, series, tenors=['3yr', '5yr', '7yr', '10yr'] s.name = 'index_quote' quotes = pd.concat([index_desc, s], axis=1).dropna() for m, coupon, index_quote in quotes[['coupon', 'index_quote']].itertuples(): - try: - eps = brentq(lambda epsilon: index.pv(step_in_date, value_date, - m, jp_yc, recovery, - coupon, epsilon) - - index_quote, lo, hi) - except ValueError: + lo, hi = -0.3, 0.3 + while lo > -1: + try: + eps = brentq(lambda epsilon: index.pv(step_in_date, value_date, + m, jp_yc, recovery, + coupon, epsilon) - + index_quote, lo, hi) + except ValueError: + lo *= 1.1 + hi *= 1.1 + else: + break + else: print("couldn't calibrate for date: {} and maturity: {}". - format(trade_date,m)) + format(trade_date.date(), m.date())) tweak.append(np.NaN) duration.append(np.NaN) theta.append(np.NaN) - else: - #tweak the curves in place - index.tweak_portfolio(eps, m) - duration.append(index.duration(step_in_date, value_date, m, jp_yc)) - theta.append(index.theta(step_in_date, value_date, + continue + #tweak the curves in place + index.tweak_portfolio(eps, m) + duration.append(index.duration(step_in_date, value_date, m, jp_yc)) + theta.append(index.theta(step_in_date, value_date, m, jp_yc, recovery, coupon)) - tweak.append(eps) + tweak.append(eps) r[trade_date] = pd.DataFrame({'duration': duration, 'theta': theta, 'tweak': tweak}, index=tenors) @@ -155,13 +160,12 @@ def calibrate_portfolio(index_type, series, tenors=['3yr', '5yr', '7yr', '10yr'] if __name__=="__main__": enable_logging() - df = calibrate_portfolio("IG", 22, ['3yr', '5yr', '7yr', '10yr'], - start_date=pd.Timestamp('2014-06-20')) - conn = dbconn('serenitasdb') - with conn.cursor() as c: - for k, s in df.iterrows(): - c.execute("UPDATE index_quotes SET duration2=%s, theta2=%s "\ - "WHERE date=%s AND tenor=%s AND index=%s AND series=%s", - (s.duration, s.theta, k[0], k[1], "IG", 22)) - conn.commit() - conn.close() + df = calibrate_portfolio("HY", 25, ['3yr', '5yr', '7yr', '10yr']) + # conn = dbconn('serenitasdb') + # with conn.cursor() as c: + # for k, s in df.iterrows(): + # c.execute("UPDATE index_quotes SET duration2=%s, theta2=%s "\ + # "WHERE date=%s AND tenor=%s AND index=%s AND series=%s", + # (s.duration, s.theta, k[0], k[1], "IG", 22)) + # conn.commit() + # conn.close() |