diff options
Diffstat (limited to 'python/analytics/tranche_basket.py')
| -rw-r--r-- | python/analytics/tranche_basket.py | 24 |
1 files changed, 20 insertions, 4 deletions
diff --git a/python/analytics/tranche_basket.py b/python/analytics/tranche_basket.py index dab528c6..1af4d4eb 100644 --- a/python/analytics/tranche_basket.py +++ b/python/analytics/tranche_basket.py @@ -13,9 +13,11 @@ from pyisda.date import cds_accrued from scipy.optimize import brentq from scipy.interpolate import CubicSpline, PchipInterpolator from scipy.special import logit, expit + import datetime import pandas as pd import numpy as np +import analytics class DualCorrTranche(): @@ -175,7 +177,8 @@ class DualCorrTranche(): @property def pv(self): - return self._pv() + pl, cl = self._pv() + return float(-pl - cl + self._accrued) def _pv(self, epsilon=0.): """ computes coupon leg, protection leg and bond price. @@ -192,7 +195,7 @@ class DualCorrTranche(): dK = np.diff(self.K) pl = np.diff(pl) / dK cl = np.diff(cl) / dK * self.tranche_running * 1e-4 - return float(-pl - cl + self._accrued) + return pl, cl @property def upfront(self): @@ -246,7 +249,7 @@ class DualCorrTranche(): self._index.tweak_portfolio(ss, self.maturity, False) for corrs in corr_shock: #also need to map skew - self.rho = np.fmin(1, orig_rho * (1 + corrs)) + self.rho = orig_rho * (1 + corrs) r.append([getattr(self, p) for p in actual_params]) self._index.curves = orig_curves self.rho = orig_rho @@ -283,6 +286,18 @@ class DualCorrTranche(): self._index.factor @property + def duration(self): + return self._pv()[1] - self._accrued + + @property + def hy_equiv(self): + risk = self.notional * self.delta * float(self._index.duration()) / \ + analytics._ontr.risky_annuity + if self.index_type != 'HY': + risk *= analytics._beta[self.index_type] + return risk + + @property def delta(self): calc = self._greek_calc() factor = self.tranche_factor / self._index.factor @@ -306,7 +321,8 @@ class DualCorrTranche(): bp = [self.pv] for tweak in [eps, -eps, 2*eps]: indexbp.append(self.tranche_legs(1., None, tweak).bond_price) - bp.append(self._pv(tweak)) + pl, cl = self._pv(tweak) + bp.append(float(-pl - cl + self._accrued)) return {'indexbp': indexbp, 'bp': bp} class TrancheBasket(BasketIndex): |