1 files changed, 39 insertions, 0 deletions
diff --git a/python/exploration/sell_vol.py b/python/exploration/sell_vol.py
new file mode 100644
index 00000000..92619261
--- /dev/null
+++ b/python/exploration/sell_vol.py
@@ -0,0 +1,39 @@
+import datetime
+
+from quantlib.time.api import Date, Period, Months, Schedule, UnitedStates
+from analytics.utils import third_wednesday
+from analytics.option import BlackSwaption, BlackSwaptionVolSurface
+from analytics.index import Index
+from analytics.index_data import get_index_quotes
+from quantlib.time.api import pydate_from_qldate
+
+def get_trades(df, d):
+    """ returns a Portfolio of options"""
+    expiry = pydate_from_qldate(third_wednesday(d + Period(1, Months)))
+    d = pydate_from_qldate(d)
+    series, spread = df.loc[d]
+    strike = round((spread * 1.2) / 2.5) * 2.5
+
+    index = Index.from_name("IG", series, "5yr", value_date=d)
+    index.spread = spread
+    index.reset_pv()
+    opt = BlackSwaption(index, expiry, strike, direction="Short")
+    opt.notional = 100_000_000
+    try:
+        vol_surface = BlackSwaptionVolSurface("IG", series, value_date=d)
+    except ValueError as e:
+        print(e)
+        return []
+    surface_id = vol_surface.list(option_type="payer")[-1]
+    opt.sigma = float(vol_surface.vol(expiry, 1.2, surface_id))
+    opt.reset_pv()
+    return [opt]
+
+sched = Schedule.from_rule(Date(1, 7, 2014), Date(1, 4, 2018), Period(1, Months), UnitedStates())
+df = get_index_quotes("IG", tenor=["5yr"], from_date=datetime.date(2014, 7, 1))
+df = (df.reset_index(['index', 'version', 'tenor'], drop=True).
+      reset_index(['series']).
+      groupby(['date']).nth(-1))[['series', 'closespread']]
+l = []
+for d in sched:
+    l.extend(get_trades(df, d))