diff options
| -rw-r--r-- | python/calibrate_tranches_BC.py | 4 | ||||
| -rw-r--r-- | sql/serenitasdb.sql | 4 |
2 files changed, 7 insertions, 1 deletions
diff --git a/python/calibrate_tranches_BC.py b/python/calibrate_tranches_BC.py index b72ebbcb..1c2f4130 100644 --- a/python/calibrate_tranches_BC.py +++ b/python/calibrate_tranches_BC.py @@ -208,6 +208,10 @@ if __name__ == "__main__": df["corr_at_detach"] = tranche_index.rho[1:] df["corr01"] = tranche_index.tranche_corr01() del df["fwd_gamma"] + df["quote_price"] = ( + 1 - tranche_index.tranche_quotes.quotes.values - tranche_index._accrued + ) + df["calibrated_price"] = tranche_index.tranche_pvs().bond_price data[d] = df if data: diff --git a/sql/serenitasdb.sql b/sql/serenitasdb.sql index 67fd9e9d..96a9d8c0 100644 --- a/sql/serenitasdb.sql +++ b/sql/serenitasdb.sql @@ -771,7 +771,9 @@ CREATE TABLE tranche_risk( corr01 float,
duration float,
spread float,
- expected_loss float);
+ expected_loss float,
+ quote_price float,
+ calibrated_price float);
GRANT ALL ON tranche_risk to serenitas_user;
|