diff options
Diffstat (limited to 'python/analytics/tranche_basket.py')
| -rw-r--r-- | python/analytics/tranche_basket.py | 42 |
1 files changed, 27 insertions, 15 deletions
diff --git a/python/analytics/tranche_basket.py b/python/analytics/tranche_basket.py index 8e484a32..65451e57 100644 --- a/python/analytics/tranche_basket.py +++ b/python/analytics/tranche_basket.py @@ -81,22 +81,25 @@ class DualCorrTranche(): @classmethod def from_tradeid(cls, trade_id): - r = dawn_engine.execute("SELECT * FROM cds LEFT JOIN index_desc " - "ON security_id = redindexcode AND " - "cds.maturity = index_desc.maturity " - "WHERE id=%s", (trade_id,)) + r = dawn_engine.execute( + "SELECT cds.*, index_desc.index, index_desc.series, " + "index_desc.tenor FROM cds " + "LEFT JOIN index_desc " + "ON security_id = redindexcode AND " + "cds.maturity = index_desc.maturity " + "WHERE id=%s", (trade_id,)) rec = r.fetchone() - instance = cls(rec['index'], rec['series'], rec['tenor'], - attach=rec['orig_attach'], - detach=rec['orig_detach'], - corr_attach=rec['corr_attach'], - corr_detach=rec['corr_detach'], - notional=rec['notional'], - tranche_running=rec['fixed_rate']*100, - value_date=rec['trade_date']) - instance.direction = rec['protection'] - if rec['index_ref'] is not None: - instance._index.tweak([rec['index_ref']]) + instance = cls(rec.index, rec.series, rec.tenor, + attach=rec.orig_attach, + detach=rec.orig_detach, + corr_attach=rec.corr_attach, + corr_detach=rec.corr_detach, + notional=rec.notional, + tranche_running=rec.fixed_rate*100, + value_date=rec.trade_date) + instance.direction = rec.protection + if rec.index_ref is not None: + instance._index.tweak([rec.index_ref]) instance.reset_pv() return instance @@ -387,6 +390,15 @@ class DualCorrTranche(): return (calc['bp'][1] - calc['bp'][2]) / \ (calc['indexbp'][1] - calc['indexbp'][2]) * factor + def tranche_thetas(self, complement=False, shortened=4, method='ATM'): + bp = self.tranche_pvs(complement=complement).bond_price + rho_saved = self.rho + self.rho = self.map_skew(self, method, shortened) + bpshort = self.tranche_pvs(complement=complement, shortened=shortened).bond_price + self.rho = rho_saved + thetas = bpshort - bp + self.tranche_running + return pd.Series(thetas, index=self._row_names, name='theta') + @property def gamma(self): calc = self._greek_calc() |