diff options
Diffstat (limited to 'python/experiments')
| -rw-r--r-- | python/experiments/test_basket.py | 6 |
1 files changed, 6 insertions, 0 deletions
diff --git a/python/experiments/test_basket.py b/python/experiments/test_basket.py new file mode 100644 index 00000000..4ee5c4c8 --- /dev/null +++ b/python/experiments/test_basket.py @@ -0,0 +1,6 @@ +from analytics import TrancheBasket +import pandas as pd +ig29 = TrancheBasket("IG", 29, "5yr", trade_date=pd.Timestamp("2017-12-15")) +ig29.tweak() +ig29.build_skew() +df = ig29.tranche_deltas() |