diff options
Diffstat (limited to 'python/analytics')
| -rw-r--r-- | python/analytics/index.py | 29 |
1 files changed, 16 insertions, 13 deletions
diff --git a/python/analytics/index.py b/python/analytics/index.py index 262e41bd..d5f9e835 100644 --- a/python/analytics/index.py +++ b/python/analytics/index.py @@ -39,7 +39,7 @@ def g(index, spread, exercise_date, forward_yc=None, pv=0.): class Index(object): """ minimal class to represent a credit index """ def __init__(self, start_date, end_date, recovery, fixed_rate, - notional = 10e6, quote_is_price=False): + notional = 10e6, quote_is_price=False, issue_date=None): """ start_date : :class:`datetime.date` index start_date (Could be issue date, or last imm date) @@ -66,6 +66,7 @@ class Index(object): self._spread = None self._price = None self.name = None + self.issue_date = issue_date self._quote_is_price = quote_is_price @property @@ -147,7 +148,7 @@ class Index(object): def pv(self, val): self._pv = val / (self.notional * self.factor) self._clean_pv = self._pv + self._accrued * self.fixed_rate * 1e-4 - self.price = 100 * (1- self._clean_pv) + self.price = 100 * (1 - self._clean_pv) @property def accrued(self): @@ -294,19 +295,20 @@ class Index(object): def from_name(cls, index=None, series=None, tenor=None, trade_date=datetime.date.today(), notional=10_000_000, redcode=None, maturity=None): if all([index, series, tenor]): - sql_str = "SELECT indexfactor, lastdate, maturity, coupon " \ + sql_str = "SELECT indexfactor, lastdate, maturity, coupon, issue_date " \ "FROM index_desc WHERE index=%s AND series=%s AND tenor = %s " \ "ORDER BY lastdate ASC" params = (index.upper(), series, tenor) elif all([redcode, maturity]): - sql_str = "SELECT index, series, indexfactor, lastdate, maturity, coupon " \ + sql_str = "SELECT index, series, indexfactor, lastdate, maturity, " \ + "coupon, issue_date " \ "FROM index_desc WHERE redindexcode=%s AND maturity=%s" params = (redcode, maturity) else: raise ValueError("Not enough information to load the index.") try: df = pd.read_sql_query(sql_str, - engine, parse_dates=['lastdate'], + engine, parse_dates=['lastdate', 'issue_date'], params=params) maturity = df.maturity[0] coupon = df.coupon[0] @@ -321,7 +323,7 @@ class Index(object): else: recovery = 0.4 if index_type == "IG" else 0.3 instance = cls(trade_date, maturity, recovery, coupon, notional, - index_type=="HY") + index_type=="HY", df.issue_date[0]) instance.factor = factor instance.direction = "Buyer" instance.name = "MARKIT CDX.NA.{}.{} {:%m/%y} ".format( @@ -364,13 +366,14 @@ class Index(object): "{:<20}\t{:>15}".format("Trade Date", ('{:%m/%d/%y}'. format(self.trade_date))), "{:<20}\t{:>15.2f}\t\t{:<20}\t{:>10,.2f}".format("Trd Sprd (bp)", - self.spread, - "Coupon (bp)", - self.fixed_rate), - "{:<20}\t{:>15.2f}\t\t{:<20}\t{:>10}".format("1st Accr Start", - self.spread, - "Payment Freq", - "Quarterly"), + self.spread, + "Coupon (bp)", + self.fixed_rate), + "{:<20}\t{:>15}\t\t{:<20}\t{:>10}".format("1st Accr Start", + '{:%m/%d/%y}'. + format(self.issue_date), + "Payment Freq", + "Quarterly"), "{:<20}\t{:>15}\t\t{:<20}\t{:>10.2f}".format("Maturity Date", ('{:%m/%d/%y}'. format(self.end_date)), |