diff options
| -rw-r--r-- | python/notebooks/risk_sabo.ipynb | 48 |
1 files changed, 45 insertions, 3 deletions
diff --git a/python/notebooks/risk_sabo.ipynb b/python/notebooks/risk_sabo.ipynb index 1ee43fdb..dda7b7b7 100644 --- a/python/notebooks/risk_sabo.ipynb +++ b/python/notebooks/risk_sabo.ipynb @@ -3,7 +3,11 @@ { "cell_type": "code", "execution_count": null, - "metadata": {}, + "metadata": { + "jupyter": { + "source_hidden": true + } + }, "outputs": [], "source": [ "import datetime\n", @@ -87,14 +91,52 @@ "execution_count": null, "metadata": {}, "outputs": [], - "source": [] + "source": [ + "from analytics.index_data import load_all_curves\n", + "from utils.db import serenitas_pool\n", + "conn = serenitas_pool.getconn()\n", + "surv_curves = load_all_curves(conn, spread_date)\n", + "serenitas_pool.putconn(conn)\n", + "surv_prob = pd.concat([surv_curves['curve'].apply(lambda sc: sc.survival_probability(d)) for d in jtd.columns.date], axis=1, keys=jtd.columns)\n", + "surv_prob = surv_prob.loc[jtd.index]" + ] }, { "cell_type": "code", "execution_count": null, "metadata": {}, "outputs": [], - "source": [] + "source": [ + "jtd = (1-surv_prob) * jtd\n", + "jtd = jtd.groupby(jtd.index.str.extract(\"([^_]*)\", expand=False)).sum()" + ] + }, + { + "cell_type": "code", + "execution_count": null, + "metadata": {}, + "outputs": [], + "source": [ + "jtd" + ] + }, + { + "cell_type": "code", + "execution_count": null, + "metadata": {}, + "outputs": [], + "source": [ + "ref_names = surv_curves.groupby(surv_curves.index.str.extract(\"([^_]*)\", expand=False))['name'].first()" + ] + }, + { + "cell_type": "code", + "execution_count": null, + "metadata": {}, + "outputs": [], + "source": [ + "ref_names[jtd.index]" + ] }, { "cell_type": "code", |