diff options
Diffstat (limited to 'python/calibrate_tranches.py')
| -rw-r--r-- | python/calibrate_tranches.py | 9 |
1 files changed, 4 insertions, 5 deletions
diff --git a/python/calibrate_tranches.py b/python/calibrate_tranches.py index 743a0df7..0c4f1099 100644 --- a/python/calibrate_tranches.py +++ b/python/calibrate_tranches.py @@ -16,17 +16,16 @@ with open("../R/index_definitions.yml") as fh: indices['hy21']['maturity'] = datetime.date(1970, 1, 1) + datetime.timedelta(indices['hy21']['maturity']) hy21 = indices['hy21'] hy21["startdate"] = datetime.date(2013, 9, 20) -root = "/home/share/CorpCDOs" -dates = [f[9:19] for f in os.listdir(os.path.join(root, "data", "Backtest")) if "survprob" in f] +dates = [f[9:19] for f in os.listdir(os.path.join(os.environ['DATA_DIR'], "Backtest")) if "survprob" in f] Rho = np.zeros((len(dates), 3)) for i, d in enumerate(dates): startdate = datetime.datetime.strptime(d, "%Y-%m-%d") ts = YC(startdate) - with open(os.path.join(root, "data", "Backtest", "recov_{0}.csv".format(d))) as fh: + with open(os.path.join(os.environ['DATA_DIR'], "Backtest", "recov_{0}.csv".format(d))) as fh: recov = np.array([float(e) for e in fh], dtype='double', order='F') - with open(os.path.join(root, "data", "Backtest", "survprob_{0}.csv".format(d))) as fh: + with open(os.path.join(os.environ['DATA_DIR'], "Backtest", "survprob_{0}.csv".format(d))) as fh: fh.readline() ##skip header SurvProb = np.array([[float(e) for e in line.split(",")] for line in fh], dtype='double', order='F') @@ -39,7 +38,7 @@ for i, d in enumerate(dates): K = np.array([0, 0.15, 0.25, 0.35, 1]) Kmod = adjust_attachments(K, hy21["loss"], hy21["factor"]) - quotes = pd.read_csv(os.path.join(root, "Scenarios", "Calibration", + quotes = pd.read_csv(os.path.join(os.environ['BASE_DIR'], "Scenarios", "Calibration", "hy21_tranches_{0}.csv".format(d))) quotes = quotes["Mid"]/100 dK = np.diff(Kmod) |