1 files changed, 36 insertions, 0 deletions
diff --git a/python/analytics/tranche_basket.py b/python/analytics/tranche_basket.py
new file mode 100644
index 00000000..67327e00
--- /dev/null
+++ b/python/analytics/tranche_basket.py
@@ -0,0 +1,36 @@
+from .basket_index import BasketIndex
+from .db import _engine
+from .tranche_functions import credit_schedule
+from index_data import get_singlenames_curves, get_tranche_quotes
+from pyisda.cdsone import upfront_charge
+from pandas.tseries.offsets import BDay
+
+import pandas as pd
+
+class TrancheBasket(BasketIndex):
+    def __init__(self, index_type: str, series: int, tenor: str, *args,
+                 trade_date: pd.Timestamp=pd.Timestamp.today().normalize() - BDay()):
+        super().__init__(index_type, series, [tenor], *args, trade_date)
+        self.tranche_quotes = get_tranche_quotes(index_type, series, tenor, trade_date.date())
+        index_desc = self.index_desc.reset_index('maturity').set_index('tenor')
+        self.maturity = index_desc.loc[tenor].maturity
+        self.start_date, self.cs = credit_schedule(trade_date, tenor[:-1], 1, self.yc)
+        self.K_orig = [0] + [q['detach'] for q in self.tranche_quotes]
+        #self.K = adjust_attachments(self.K_orig, self
+
+    def _get_quotes(self):
+        refprice = self.tranche_quotes[0]['indexrefprice']
+        refspread = self.tranche_quotes[0]['indexrefspread']
+        if refprice is not None:
+            return {self.maturity: 1 - refprice / 100}
+        if refspread is not None:
+            return {self.maturity:
+                    upfront_charge(self.trade_date, self.value_date, self.start_date,
+                                   self.step_in_date, self.start_date, self.maturity,
+                                   self.coupon(self.maturity), self.yc,
+                                   refspread * 1e-4, self.recovery)}
+            raise ValueError("ref is missing")
+
+    @property
+    def survival_matrix(self):
+        return super().survival_matrix(self.cs.index.values.astype('M8[D]').view('int') + 134774)