diff options
Diffstat (limited to 'python/analytics')
| -rw-r--r-- | python/analytics/basket_index.py | 13 | ||||
| -rw-r--r-- | python/analytics/tranche_basket.py | 5 |
2 files changed, 13 insertions, 5 deletions
diff --git a/python/analytics/basket_index.py b/python/analytics/basket_index.py index 8bf5a8a2..138090a4 100644 --- a/python/analytics/basket_index.py +++ b/python/analytics/basket_index.py @@ -6,6 +6,7 @@ from pyisda.credit_index import CreditIndex from typing import List import numpy as np import pandas as pd +from math import exp import datetime from scipy.optimize import brentq from pandas.tseries.offsets import BDay @@ -124,16 +125,20 @@ class BasketIndex(CreditIndex): def coupon(self, maturity): return self.index_desc.loc[maturity, 'coupon'] - def tweak(self): + def tweak(self, *args): """ tweak the singlename curves to match index quotes""" - quotes = self._get_quotes() + quotes = self._get_quotes(*args) self.tweaks = [] for m, index_quote in quotes.items(): lo, hi = -0.3, 0.3 - while lo > -1: + hi_tilde = exp(hi) -1 + while hi_tilde < 5: + # map range to (-1, +inf) + lo_tilde = exp(lo) -1 + hi_tilde = exp(hi) -1 try: eps = brentq(lambda epsilon: self.pv(m, epsilon) - - index_quote, lo, hi) + index_quote, lo_tilde, hi_tilde) except ValueError: lo *= 1.1 hi *= 1.1 diff --git a/python/analytics/tranche_basket.py b/python/analytics/tranche_basket.py index c11798a8..58d09365 100644 --- a/python/analytics/tranche_basket.py +++ b/python/analytics/tranche_basket.py @@ -65,7 +65,10 @@ class TrancheBasket(BasketIndex): def tranche_factors(self): return np.diff(self.K) / np.diff(self.K_orig) * self.factor - def _get_quotes(self): + def _get_quotes(self, spread=None): + if spread is not None: + return {self.maturity: + self._snacpv(spread * 1e-4, self.coupon(self.maturity), self.recovery)} refprice = self.tranche_quotes.indexrefprice.iat[0] refspread = self.tranche_quotes.indexrefspread.iat[0] if refprice is not None: |