diff options
Diffstat (limited to 'python/analytics/tranche_basket.py')
| -rw-r--r-- | python/analytics/tranche_basket.py | 24 |
1 files changed, 14 insertions, 10 deletions
diff --git a/python/analytics/tranche_basket.py b/python/analytics/tranche_basket.py index ff46c74e..f09cfedb 100644 --- a/python/analytics/tranche_basket.py +++ b/python/analytics/tranche_basket.py @@ -27,15 +27,14 @@ class DualCorrTranche(): value_date: pd.Timestamp=pd.Timestamp.today().normalize()): self._index = BasketIndex(index_type, series, [tenor], value_date=value_date) - # def get_quotes(self, spread): - # index = self. - - # maturity = self._index.maturities[0] - # return {maturity: - # self._snacpv(spread * 1e-4, self.coupon(maturity), self.recovery, - # maturity)} - # # monkey patch _get_quotes (don't try it at home) - # BasketIndex._get_quotes = get_quotes + def get_quotes(self, spread): + maturity = self.maturities[0] + return {maturity: + self._snacpv(spread * 1e-4, self.coupon(maturity), self.recovery, + maturity)} + # monkey patch _get_quotes (don't try it at home) + # but it works...: replaces _get_quotes with this simpler one + BasketIndex._get_quotes = get_quotes self.maturity = self._index.maturities[0] self.index_type = index_type self.series = series @@ -195,7 +194,7 @@ class DualCorrTranche(): return "\n".join(s) def shock(self, params=['pnl'], *, spread_shock, corr_shock, **kwargs): - orig_spread, orig_rho = self._index.spread()[0], self.rho + orig_rho = self.rho r = [] actual_params = [p for p in params if hasattr(self, p)] for ss in spread_shock: @@ -213,6 +212,11 @@ class DualCorrTranche(): index=pd.MultiIndex.from_product([spread_shock, corr_shock], names=['spread_shock', 'corr_shock'])) + def mark(self, **args): + #mark BasketIndex + #mark correlation + pass + class TrancheBasket(BasketIndex): def __init__(self, index_type: str, series: int, tenor: str, *, |