diff options
Diffstat (limited to 'python/exploration')
| -rw-r--r-- | python/exploration/portfolio_example.py | 17 |
1 files changed, 17 insertions, 0 deletions
diff --git a/python/exploration/portfolio_example.py b/python/exploration/portfolio_example.py new file mode 100644 index 00000000..58564099 --- /dev/null +++ b/python/exploration/portfolio_example.py @@ -0,0 +1,17 @@ +from analytics import Portfolio, BlackSwaption, Index, VolatilitySurface +from analytics.scenarios import run_portfolio_scenarios +import pandas as pd +from pandas.tseries.offsets import BDay +import numpy as np + +option_delta = Index.from_tradeid(874) +option1 = BlackSwaption.from_tradeid(7, option_delta) +option2 = BlackSwaption.from_tradeid(8, option_delta) + +portf = Portfolio([option1, option2, option_delta]) +date_range = pd.bdate_range(option_delta.trade_date, pd.Timestamp('2017-05-17') - BDay(), freq = '5B') +vol_shock = np.arange(-0.15, 0.3, 0.01) +spread_shock = np.arange(-0.2, 0.3, 0.01) +vs = VolatilitySurface("IG", 28, trade_date=option_delta.trade_date) +vol_surface = vs[vs.list()[-1]] +df = run_portfolio_scenarios(portf, date_range, spread_shock, vol_shock, vol_surface) |