1 files changed, 23 insertions, 0 deletions
diff --git a/python/exploration/tranche_var.py b/python/exploration/tranche_var.py
new file mode 100644
index 00000000..67bdcaf2
--- /dev/null
+++ b/python/exploration/tranche_var.py
@@ -0,0 +1,23 @@
+import pandas as pd
+from analytics import on_the_run
+from analytics.utils import bus_day
+from analytics.tranche_basket import Skew
+
+dr = pd.bdate_range("2019-01-01", "2019-11-19", freq=bus_day)
+skew_dict = {}
+prev_skew_dict = {}
+for d in dr:
+    skew_dict = {}
+    for index in ("IG", "HY"):
+        otr = on_the_run(index, d)
+        for i in range(5):
+            skew_dict[(index, otr - 2 * i)] = Skew.from_desc(
+                index, otr - 2 * i, "5yr", value_date=d
+            )
+    for k, v in skew_dict.items():
+        try:
+            skew_shock[(d, index, 2 * i)] = v - prev_skew_dict[k]
+        except KeyError:
+            continue
+    prev_skew_dict = skew_dict
+    skew_dict = {}