diff options
| -rw-r--r-- | python/analytics/index.py | 13 | ||||
| -rw-r--r-- | python/analytics/scenarios.py | 4 | ||||
| -rw-r--r-- | python/exploration/swaption_calendar_spread.py | 10 |
3 files changed, 17 insertions, 10 deletions
diff --git a/python/analytics/index.py b/python/analytics/index.py index 1aa2ccc8..400c381f 100644 --- a/python/analytics/index.py +++ b/python/analytics/index.py @@ -279,6 +279,17 @@ class Index(object): if self._spread is not None: self._update() + @property + def pnl(self): + if self._original_clean_pv is None: + raise ValueError("original pv not set") + else: + ## TODO: handle factor change + days_accrued = (self.trade_date - self._original_trade_date).days / 360 + return - self._direction * self.notional * self.factor * \ + (self._clean_pv - self._original_clean_pv - + days_accrued * self.fixed_rate * 1e-4) + @classmethod def from_name(cls, index, series, tenor, trade_date=datetime.date.today(), notional=10_000_000): @@ -327,6 +338,8 @@ class Index(object): instance.direction = rec.protection instance.trade_date = rec.trade_date instance.pv = rec.upfront + instance._original_clean_pv = instance._clean_pv + instance._original_trade_date = rec.trade_date return instance def __repr__(self): diff --git a/python/analytics/scenarios.py b/python/analytics/scenarios.py index 9564556b..fe921e4c 100644 --- a/python/analytics/scenarios.py +++ b/python/analytics/scenarios.py @@ -45,8 +45,6 @@ def run_index_scenarios(index, date_range, spread_shock): index.trade_date = date.date() for s in spread: index.spread = s - scen_pv = index.clean_pv + - index.notional * (date.date()-starting_date).days /360 * index.fixed_rate * 1e-4 - starting_pv - r.append([date, s, scen_pv]) + r.append([date, s, index.pnl]) df = pd.DataFrame.from_records(r, columns=['date', 'spread', 'pnl']) return df.set_index('date') diff --git a/python/exploration/swaption_calendar_spread.py b/python/exploration/swaption_calendar_spread.py index 1584fe17..11ad145a 100644 --- a/python/exploration/swaption_calendar_spread.py +++ b/python/exploration/swaption_calendar_spread.py @@ -106,15 +106,11 @@ def plot_color_map(df, spread_shock, vol_shock, attr="pv", path="."): fig.colorbar(chart, shrink=.8) fig.savefig(os.path.join(path, "payer_swap_{}.png".format(val_date))) - -trade_date = datetime.date(2017, 2, 23) -ig27 = Index.from_name("IG", 27, '5yr', trade_date=trade_date) -ig27.ref = 62 -ig27.notional = 13e6 +option_delta = Index.from_tradeid(870) payer1 = BlackSwaption(ig27, datetime.date(2017, 4, 19), 65) payer2 = BlackSwaption(ig27, datetime.date(2017, 5, 17), 72) -payer1.notional = 100e6 -payer2.notional = 100e6 +payer1.notional = 100_000_000 +payer2.notional = 100_000_000 date_range = pd.bdate_range(trade_date, pd.Timestamp('2017-04-19') - BDay(), freq = '5B') vol_shock = np.arange(-0.15, 0.3, 0.01) spread_shock = np.arange(-0.2, 0.3, 0.01) |