diff options
| -rw-r--r-- | python/exploration/VaR.py | 36 |
1 files changed, 23 insertions, 13 deletions
diff --git a/python/exploration/VaR.py b/python/exploration/VaR.py index d4ea72e3..cf47c71c 100644 --- a/python/exploration/VaR.py +++ b/python/exploration/VaR.py @@ -1,24 +1,34 @@ import datetime -from analytics.curve_trades import curve_pos +from analytics.curve_trades import curve_pos, on_the_run from analytics.index_data import index_returns +import numpy as np import pandas as pd -portf = curve_pos(datetime.date(2018, 5, 3), "ITRX") +index_type = "IG" +portf = curve_pos(datetime.date(2018, 5, 3), index_type) -df = index_returns(index="EU", years=5, tenor=['3yr', '5yr', '7yr', '10yr']) +df = index_returns(index=index_type, years=5, + tenor=['3yr', '5yr', '7yr', '10yr']) df = (df.reset_index(['index'], drop=True). reorder_levels(['date', 'series', 'tenor'])) -returns_otr = (df.spread_return.dropna(). - unstack(-1). - groupby(level='date', as_index=False). - nth(-1)) - +returns = df.spread_return.dropna().reset_index('series') +returns['dist_on_the_run'] = (returns. + groupby('date')['series']. + transform(lambda x: x.max() - x)) +del returns['series'] +returns = returns.set_index('dist_on_the_run', append=True).unstack('tenor') +returns.columns = returns.columns.droplevel(0) portf.reset_pv() -spreads = pd.DataFrame({'spread': portf.spread, - 'tenor': [ind.tenor for ind in portf.indices]}) +otr = on_the_run(index_type) +spreads = pd.DataFrame({'spread': portf.spread, + 'tenor': [ind.tenor for ind in portf.indices], + 'dist_on_the_run': [otr - ind.series for ind in portf.indices]}) +spreads = spreads.set_index(['dist_on_the_run', 'tenor']) r = [] -for k, v in returns_otr.iterrows(): - portf.spread = spreads.spread.values * (1 + v.loc[spreads.tenor]) - r.append((k[0], portf.pnl)) +for k, g in returns.groupby(level='date', as_index=False): + shocks = g.reset_index('date', drop=True).stack('tenor') + shocks.name = 'shocks' + portf.spread = spreads.spread * (1 + spreads.join(shocks).shocks) + r.append((k, portf.pnl)) pnl = pd.DataFrame.from_records(r, columns=['date', 'pnl'], index=['date']) |