diff options
Diffstat (limited to 'python/analytics')
| -rw-r--r-- | python/analytics/tranche_basket.py | 34 |
1 files changed, 24 insertions, 10 deletions
diff --git a/python/analytics/tranche_basket.py b/python/analytics/tranche_basket.py index 65451e57..73e222a6 100644 --- a/python/analytics/tranche_basket.py +++ b/python/analytics/tranche_basket.py @@ -44,7 +44,6 @@ class DualCorrTranche(): self._index = BasketIndex(index_type, series, [tenor], value_date=value_date) - self.maturity = self._index.maturities[0] self.index_type = index_type self.series = series self.tenor = tenor @@ -64,6 +63,16 @@ class DualCorrTranche(): self._tranche_id = None self._ignore_hash = set(['_Z', '_w', 'cs', '_cache', '_Legs', '_ignore_hash']) + @property + def maturity(self): + return self._index.maturities[0] + + @maturity.setter + def maturity(self, m): + self._index.maturities = [m] + self.cs = credit_schedule(self.value_date, None, + 1., self._index.yc, m) + def _default_prob(self, epsilon=0.): return 1 - self._index.survival_matrix( self.cs.index.to_numpy("M8[D]").view("int") + 134774, epsilon)[0] @@ -304,7 +313,10 @@ class DualCorrTranche(): self.tenor, args.get("source", "MKIT"))) params = (self.value_date, self.index_type, self.series, self.tenor, args.get("source", "MKIT")) - spread, = c.fetchone() + try: + spread, = c.fetchone() + except TypeError: + raise ValueError("No quote for that date") self._index.tweak([spread]) if 'skew' in args: @@ -390,14 +402,16 @@ 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') + def theta(self, skew, method='ATM'): + pv_orig = self.pv + rho_orig = self.rho + y, m, d = self.maturity.year, self.maturity.month, self.maturity.day + self.maturity = datetime.date(y - 1, m, d) + self.mark(skew=skew) + r = self.pv - pv_orig + self.rho = rho_orig + self.maturity = datetime.date(y, m, d) + return r/abs(self.notional) @property def gamma(self): |