1 files changed, 0 insertions, 84 deletions
diff --git a/python/calibrate_tranches.py b/python/calibrate_tranches.py
deleted file mode 100644
index 98a87953..00000000
--- a/python/calibrate_tranches.py
+++ /dev/null
@@ -1,84 +0,0 @@
-import numpy as np
-from tranche_functions import *
-from yieldcurve import YC
-import yaml
-import datetime
-import os
-import pandas as pd
-import pdb
-
-n_int = 500
-n_credit = 100
-Z, w = GHquad(n_int)
-
-with open("../R/index_definitions.yml") as fh:
-    indices = yaml.load(fh, Loader=yaml.FullLoader)
-indices["hy21"]["maturity"] = datetime.date(1970, 1, 1) + datetime.timedelta(
-    indices["hy21"]["maturity"]
-)
-hy21 = indices["hy21"]
-hy21["startdate"] = datetime.date(2013, 9, 20)
-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(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(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",
-        )
-
-    defaultprob = 1 - SurvProb
-    issuerweights = np.ones(100) / 100
-
-    rho = 0.4
-    Ngrid = 101
-
-    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(
-            os.environ["BASE_DIR"],
-            "Scenarios",
-            "Calibration",
-            "hy21_tranches_{0}.csv".format(d),
-        )
-    )
-    quotes = quotes["Mid"] / 100
-    dK = np.diff(Kmod)
-    quotes = np.cumsum(dK * (1 - quotes))
-    sched = creditSchedule(startdate, "5Yr", 0.05, ts, enddate=hy21["maturity"])
-    acc = cdsAccrued(startdate, 0.05)
-    for j, q in enumerate(quotes[:-1]):
-
-        def aux(rho):
-            L, R = BClossdist(defaultprob, issuerweights, recov, rho, Z, w, 101)
-            cl = tranche_cl(L, R, sched, 0, Kmod[j + 1])
-            pl = tranche_pl(L, sched, 0, Kmod[j + 1])
-            return cl + pl + q - acc
-
-        l, u = (0, 1)
-        for _ in range(10):
-            rho = (l + u) / 2.0
-            if aux(rho) > 0:
-                u = rho
-            else:
-                l = rho
-        Rho[i, j] = (l + u) / 2.0
-    print(Rho[i, :])