diff options
Diffstat (limited to 'python/analytics')
| -rw-r--r-- | python/analytics/tranche_basket.py | 16 |
1 files changed, 9 insertions, 7 deletions
diff --git a/python/analytics/tranche_basket.py b/python/analytics/tranche_basket.py index da1b85d8..9049505e 100644 --- a/python/analytics/tranche_basket.py +++ b/python/analytics/tranche_basket.py @@ -129,7 +129,8 @@ class TrancheBasket(BasketIndex): bp = -pl -cl else: bp = 1 + pl + cl - return cl, pl, bp + Pvs = namedtuple('TranchePvs', 'coupon_leg, protection_leg, bond_price') + return Pvs(cl, pl, bp) def index_pv(self, discounted=True, shortened=0): if shortened > 0: @@ -150,7 +151,8 @@ class TrancheBasket(BasketIndex): pl = - np.diff(np.hstack((0., ELvec))) @ df cl = coupons @ (sizeadj * df) bp = 1 + cl * self.coupon(self.maturity) + pl - return cl, pl, bp + Pvs = namedtuple('IndexPvs', 'coupon_leg, protection_leg, bond_price') + return Pvs(cl, pl, bp) def expected_loss(self, discounted=True, shortened=0): if shortened > 0: @@ -201,7 +203,7 @@ class TrancheBasket(BasketIndex): return np.array([c.recovery_rates[0] for c in self.curves]) def tranche_durations(self, complement=False): - cl, _, _ = self.tranche_pvs(complement=complement) + cl = self.tranche_pvs(complement=complement).coupon_leg durations = (cl - cds_accrued(self.trade_date, self.tranche_quotes.running)) / \ self.tranche_quotes.running durations.index = self._row_names @@ -215,10 +217,10 @@ class TrancheBasket(BasketIndex): return [f"{a}-{d}" for a, d in zip(ad, ad[1:])] def tranche_thetas(self, complement=False, shortened=4, method='ATM'): - _, _, bp = self.tranche_pvs(complement=complement) + 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) + bpshort = self.tranche_pvs(complement=complement, shortened=shortened).bond_price self.rho = rho_saved thetas = bpshort - bp + self.tranche_quotes.running.values return pd.Series(thetas, index=self._row_names, name='theta') @@ -246,8 +248,8 @@ class TrancheBasket(BasketIndex): indexbp = np.empty(len(index_list)) for i, index in enumerate(index_list): - indexbp[i] = index.index_pv()[2] - bp[i] = index.tranche_pvs()[2] + indexbp[i] = index.index_pv().bond_price + bp[i] = index.tranche_pvs().bond_price factor = self.tranche_factors() / self.factor deltas = (bp[1] - bp[2]) / (indexbp[1] - indexbp[2]) * factor |