diff options
Diffstat (limited to 'python/analytics')
| -rw-r--r-- | python/analytics/scenarios.py | 53 |
1 files changed, 53 insertions, 0 deletions
diff --git a/python/analytics/scenarios.py b/python/analytics/scenarios.py index 1fc554fb..65f77563 100644 --- a/python/analytics/scenarios.py +++ b/python/analytics/scenarios.py @@ -97,3 +97,56 @@ def run_portfolio_scenarios(portf, date_range, spread_shock, vol_shock, r.append([[date, s] + rec for rec in temp]) df = pd.DataFrame.from_records(chain(*r), columns=['date', 'spread', 'vol_shock'] + params) return df.set_index('date') + +def run_tranche_scenarios(tranche, spread_range, date_range, corr_map=False): + + """computes the pnl of a tranche for a range of spread scenarios + + Parameters + ---------- + tranche : TrancheBasket + spread_shock : `np.array`, spread range to run (different from swaption) + roll_corr: static correlation or mapped correlation + """ + + #create empty lists + shock_index_pv_calc = np.empty(len(spread_range)) + shock_tranche_pv = np.empty((len(spread_range), tranche.K.size - 1)) + shock_tranche_delta = np.empty((len(spread_range), tranche.K.size - 1)) + shock_tranche_carry = np.empty((len(spread_range), tranche.K.size - 1)) + results = pd.DataFrame() + + tranche.build_skew() + temp_tranche = deepcopy(tranche) + + for d in date_range: + temp_tranche.trade_date = d.date() + for i, shock in enumerate(spread_range): + temp_tranche.tweak(shock) + if corr_map is True: + temp_tranche.rho = tranche.map_skew(temp_tranche, 'TLP') + shock_index_pv_calc[i] = temp_tranche._snacpv(shock * 1e-4, + temp_tranche.coupon(temp_tranche.maturity), temp_tranche.recovery) + shock_tranche_pv[i] = temp_tranche.tranche_pvs().bond_price + shock_tranche_delta[i] = temp_tranche.tranche_deltas()['delta'] + shock_tranche_carry[i] = temp_tranche.tranche_quotes.running + temp1 = pd.DataFrame(shock_tranche_pv, index=spread_range, + columns=[s + "_pv" for s in tranche._row_names]) + temp2 = pd.DataFrame(shock_tranche_delta, index=spread_range, + columns=[s + "_delta" for s in tranche._row_names]) + temp3 = pd.DataFrame(np.subtract(shock_tranche_pv, + tranche.tranche_pvs().bond_price), index=spread_range, + columns=[s + "_pnl" for s in tranche._row_names]) + temp4 = pd.DataFrame(shock_index_pv_calc, index=spread_range, + columns=['index_price_snacpv']) + temp5 = pd.DataFrame(shock_tranche_carry, index=spread_range, + columns=[s + "_carry" for s in tranche._row_names]) + df = pd.concat([temp1, temp2, temp3, temp4, temp5], axis=1) + + df['date'] = d.date() + for column in [s + "_carry" for s in tranche._row_names]: + df[column] *= (d.date() - tranche.trade_date).days/365 + + results = results.append(df) + + return results |