1 files changed, 34 insertions, 0 deletions
diff --git a/python/analytics/scenarios.py b/python/analytics/scenarios.py
new file mode 100644
index 00000000..45db5096
--- /dev/null
+++ b/python/analytics/scenarios.py
@@ -0,0 +1,34 @@
+from analytics import ATMstrike
+import pandas as pd
+
+def run_swaption_scenarios(swaption, date_range, spread_shock, vol_shock, vol_surface):
+    """computes the pv of a swaption for a range of scenarios
+
+    Parameters
+    ----------
+    swaption : Swaption
+    date_range : `pandas.Datetime.Index`
+    spread_shock : `np.array`
+    vol_shock : `np.array`
+    vol_surface
+    """
+    r = []
+    spread_start = swaption.index.spread
+    for date in date_range:
+        swaption.index.trade_date = date.date()
+        T = swaption.T
+        for ss in spread_shock:
+            spread = spread_start * (1 + ss)
+            swaption.index.ref = spread
+            swaption._update()
+            atm_strike = ATMstrike(swaption.index, swaption.exercise_date)
+            moneyness = (swaption.index.spread / atm_strike)
+            curr_vol = float(vol_surface.ev(T, moneyness))
+            for vs in vol_shock:
+                vol = curr_vol * (1 + vs)
+                swaption.sigma = vol
+                r.append([date, ss, vs, swaption.pv_black])
+    swaption.index.spread = spread_start
+    df = pd.DataFrame.from_records(r, columns=['date', 'spread_shock',
+                                               'vol_shock', 'pv'])
+    return df.set_index('date')