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| -rw-r--r-- | python/exploration/VaR.py | 8 |
1 files changed, 8 insertions, 0 deletions
diff --git a/python/exploration/VaR.py b/python/exploration/VaR.py new file mode 100644 index 00000000..6b8d6d66 --- /dev/null +++ b/python/exploration/VaR.py @@ -0,0 +1,8 @@ +import datetime +from analytics.curve_trades import curve_pos +from analytics.index_data import index_returns +portf = curve_pos(datetime.date(2018, 5, 3), "IG") + +df = index_returns(index="IG", years=5, tenor=['3yr', '5yr', '7yr', '10yr']) +df = df.reset_index().set_index(['date', 'series', 'tenor']) +returns = df.spread_return.dropna().unstack(-1).groupby(level='date').nth(-1) |