diff options
Diffstat (limited to 'python/exploration')
| -rw-r--r-- | python/exploration/tranches.py | 26 |
1 files changed, 14 insertions, 12 deletions
diff --git a/python/exploration/tranches.py b/python/exploration/tranches.py index 2de7e53c..663daf25 100644 --- a/python/exploration/tranches.py +++ b/python/exploration/tranches.py @@ -28,33 +28,35 @@ def rv_calc1(): #Read existing results, find which ones need to run try: - results = pd.read_csv("/home/serenitas/edwin/Python/rv_" + index + str(series) + ".csv", parse_dates=['date'], index_col=['date']) + results = pd.read_csv(f"/home/serenitas/edwin/Python/rv_{index}{series}.csv", + parse_dates=['date'], index_col=['date']) except IOError: results = pd.DataFrame() sql_string = "select distinct date from risk_numbers_new where index = %s and series = %s order by date desc" - df = pd.read_sql_query(sql_string, engine,params=(index, series), parse_dates=['date']) - df1 = pd.read_sql_query(sql_string, engine,params=(index, series2), parse_dates=['date']) + df = pd.read_sql_query(sql_string, engine, params=(index, series), parse_dates=['date']) + df1 = pd.read_sql_query(sql_string, engine, params=(index, series2), parse_dates=['date']) df = df.merge(df1, on=['date']) df = df[~df.date.isin(results.index)] rho_tlp, pv_tlp, rho_prev_index, pv_prev_index = [], [], [], [] + tranche = bkt.TrancheBasket('IG', series, '5yr') + tranche2 = bkt.TrancheBasket('IG', series2, '5yr') + for trade_date in df.date: - tranche = bkt.TrancheBasket('IG', series, '5yr', trade_date=trade_date) + tranche.trade_date = trade_date + tranche2.trade_date = trade_date tranche.build_skew() - tranche1 = bkt.TrancheBasket('IG', series, '5yr', trade_date=trade_date) - tranche1.cs = tranche1.cs[:-shortened] - tranche1.rho = tranche.map_skew(tranche1, method) - _, _, pv = tranche1.tranche_pvs() - rho_tlp.append(tranche1.rho[~np.isnan(tranche1.rho)]) + tranche.rho = tranche.map_skew(tranche, method, 4) + pv = tranche1.tranche_pvs().bond_price + rho_tlp.append(tranche.rho[1:-1]) pv_tlp.append(pv) - tranche2 = bkt.TrancheBasket('IG', series2, '5yr', trade_date=trade_date) tranche2.build_skew() - rho_prev_index.append(tranche2.rho[~np.isnan(tranche2.rho)]) + rho_prev_index.append(tranche2.rho[1:-1]) tranche1.rho = tranche2.rho - _, _, pv = tranche1.tranche_pvs() + pv = tranche1.tranche_pvs(shortened=4).bond_price pv_prev_index.append(pv) temp1 = pd.DataFrame(rho_tlp, index=df.date, columns=['3_rho_tlp','7_rho_tlp','15_rho_tlp']) |