diff options
Diffstat (limited to 'python/analytics')
| -rw-r--r-- | python/analytics/curve_trades.py | 6 | ||||
| -rw-r--r-- | python/analytics/option.py | 11 | ||||
| -rw-r--r-- | python/analytics/portfolio.py | 6 | ||||
| -rw-r--r-- | python/analytics/sabr.py | 4 |
4 files changed, 14 insertions, 13 deletions
diff --git a/python/analytics/curve_trades.py b/python/analytics/curve_trades.py index f76f6b88..b989bd69 100644 --- a/python/analytics/curve_trades.py +++ b/python/analytics/curve_trades.py @@ -1,6 +1,6 @@ from analytics.index_data import get_index_quotes, index_returns from db import dbengine -from analytics import Index, Portfolio +from analytics import CreditIndex, Portfolio from analytics.utils import roll_date from dateutil.relativedelta import relativedelta from analytics.basket_index import MarkitBasketIndex @@ -278,8 +278,8 @@ def curve_pos(value_date, index_type='IG'): df = pd.read_sql_query(sql_string, dawndb, params=[value_date, f'SER_{index_type}CURVE']) - portf = Portfolio([Index.from_name(row.index, row.series, row.tenor, - value_date, -row.notional) + portf = Portfolio([CreditIndex(row.index, row.series, row.tenor, + value_date, -row.notional) for row in df[['index', 'tenor', 'series', 'notional']]. itertuples(index=False)]) portf.mark() diff --git a/python/analytics/option.py b/python/analytics/option.py index c0989814..34f1b7a0 100644 --- a/python/analytics/option.py +++ b/python/analytics/option.py @@ -8,7 +8,7 @@ from db import dbengine from .black import black, Nx from .sabr import sabr from .utils import GHquad, build_table -from .index import g, ForwardIndex, Index +from .index import g, ForwardIndex, CreditIndex from .db import _engine from yieldcurve import roll_yc from pandas.tseries.offsets import BDay @@ -55,7 +55,7 @@ def ATMstrike(index, exercise_date): Parameters ---------- index : - Index object + CreditIndex object exercise_date : datetime.date expiration date. price : bool, defaults to False @@ -99,7 +99,7 @@ class BlackSwaption(ForwardIndex): if rec is None: return ValueError("trade_id doesn't exist") if index is None: - index = Index.from_name(redcode=rec.security_id, maturity=rec.maturity, value_date=rec.trade_date) + index = CreditIndex(redcode=rec.security_id, maturity=rec.maturity, value_date=rec.trade_date) index.ref = rec.index_ref instance = cls(index, rec.expiration_date, rec.strike, rec.swaption_type.lower(), direction="Long" if rec.buysell else "Short") @@ -519,6 +519,7 @@ class QuoteSurface(): r.append((quotedate, quotesource)) return r + class VolSurface(QuoteSurface): def __init__(self, index_type, series, tenor='5yr', value_date=datetime.date.today()): super().__init__(index_type, series, tenor, value_date) @@ -626,7 +627,7 @@ class ModelBasedVolSurface(VolSurface): def __init__(self, index_type, series, tenor='5yr', value_date=datetime.date.today(), interp_method='bivariate_spline'): super().__init__(index_type, series, tenor, value_date) - self._index = Index.from_name(index_type, series, tenor, value_date, notional=1.) + self._index = CreditIndex(index_type, series, tenor, value_date, notional=1.) self._surfaces = {} self._index_refs = {} self._quotes = self._quotes.assign( @@ -716,7 +717,7 @@ class ProbSurface(QuoteSurface): def __init__(self, index_type, series, tenor='5yr', value_date=datetime.date.today()): super().__init__(index_type, series, tenor, value_date) self._surfaces = {} - self._index = Index.from_name(index_type, series, tenor, value_date) + self._index = CreditIndex(index_type, series, tenor, value_date) def __getitem__(self, surface_id): if surface_id not in self._surfaces: diff --git a/python/analytics/portfolio.py b/python/analytics/portfolio.py index 004288f2..3b9e1a9a 100644 --- a/python/analytics/portfolio.py +++ b/python/analytics/portfolio.py @@ -1,4 +1,4 @@ -from .index import Index +from .index import CreditIndex from .option import BlackSwaption from warnings import warn import pandas as pd @@ -36,7 +36,7 @@ class Portfolio: def __init__(self, trades, trade_ids=None): self.trades = trades self.trade_ids = trade_ids - self.indices = [t for t in trades if isinstance(t, Index)] + self.indices = [t for t in trades if isinstance(t, CreditIndex)] self.swaptions = [t for t in trades if isinstance(t, BlackSwaption)] value_dates = set(t.value_date for t in self.trades) self._keys = set([(index.index_type, index.series, index.tenor) for index in self.indices]) @@ -158,7 +158,7 @@ class Portfolio: "Vega"] rec = [] for t in self.trades: - if isinstance(t, Index): + if isinstance(t, CreditIndex): name = f"{t.index_type}{t.series} {t.tenor}" r = ("Index", name, t.notional, t.ref, "N/A", t.direction, "N/A", "N/A", None, t.pv, 1., 0., t.theta, 0.) diff --git a/python/analytics/sabr.py b/python/analytics/sabr.py index eba32bac..4de15338 100644 --- a/python/analytics/sabr.py +++ b/python/analytics/sabr.py @@ -58,10 +58,10 @@ def sabr(alpha, beta, rho, nu, F, K, T): if __name__ == "__main__":
from analytics.option import BlackSwaption
- from analytics import Index
+ from analytics import CreditIndex
from scipy.optimize import least_squares
- underlying = Index.from_name("IG", 28, "5yr")
+ underlying = CreditIndex("IG", 28, "5yr")
underlying.spread = 67.5
exercise_date = datetime.date(2017, 9, 20)
option = BlackSwaption(underlying, exercise_date, 70)
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