diff options
Diffstat (limited to 'python/notebooks/Curve Trades.ipynb')
| -rw-r--r-- | python/notebooks/Curve Trades.ipynb | 208 |
1 files changed, 3 insertions, 205 deletions
diff --git a/python/notebooks/Curve Trades.ipynb b/python/notebooks/Curve Trades.ipynb index d749c74a..159e695d 100644 --- a/python/notebooks/Curve Trades.ipynb +++ b/python/notebooks/Curve Trades.ipynb @@ -54,8 +54,8 @@ "metadata": {}, "outputs": [], "source": [ - "index = w.value\n", - "series = 34 if index == 'IG' else 32\n", + "index = 'IG'\n", + "series = 34 if index == 'IG' else 33\n", "model = ct.curve_model('5yr', '10yr', index=index, max_series=series)\n", "model_results = ct.curve_model_results(model[0], model[1])" ] @@ -85,38 +85,6 @@ "metadata": {}, "outputs": [], "source": [ - "#HY curve trade re-ref calculator - sell protection index_1, buy protection index_2 \n", - "date = datetime.date.today()\n", - "index_type = 'HY'\n", - "series_1 = '29'\n", - "series_2 = '34'\n", - "index_1_trade_price = 104.75\n", - "index_2_trade_price = 104.8\n", - "reref_2 = 104.71\n", - "\n", - "#-----------------------------\n", - "index_1 = CreditIndex(index_type, series_1, '5yr', date)\n", - "index_2 = CreditIndex(index_type, series_2, '5yr', date)\n", - "index_1.price = index_1_trade_price\n", - "index_2.price = index_2_trade_price\n", - "index_2.notional = index_1.notional * index_1.risky_annuity/index_2.risky_annuity\n", - "index_1.direction = 'Seller'\n", - "index_2.direction = 'Buyer'\n", - "past_pv = index_2.pv\n", - "index_2.price = reref_2 \n", - "index_1.pv = -index_1.pv + (index_2.pv - past_pv)\n", - " \n", - "pd.options.display.float_format = '{:,.4f}'.format\n", - "d = {index_type + series_1: [index_1_trade_price, index_1.price , index_1.notional], index_type + series_2: [index_2_trade_price, reref_2, index_2.notional]}\n", - "pd.DataFrame(d, index=['original ref', 're-ref', 'notionals'])" - ] - }, - { - "cell_type": "code", - "execution_count": null, - "metadata": {}, - "outputs": [], - "source": [ "#On the run spread differences\n", "spreads_diff = curve_spread_diff(index, 6)\n", "spreads_diff.plot()" @@ -286,53 +254,6 @@ "execution_count": null, "metadata": {}, "outputs": [], - "source": [] - }, - { - "cell_type": "code", - "execution_count": null, - "metadata": {}, - "outputs": [], - "source": [] - }, - { - "cell_type": "code", - "execution_count": null, - "metadata": {}, - "outputs": [], - "source": [ - "#Do the same regression for Itrxx\n", - "model = ct.curve_model('5yr', '10yr', index='EU')\n", - "model_results = ct.curve_model_results(model[0], model[1])" - ] - }, - { - "cell_type": "code", - "execution_count": null, - "metadata": {}, - "outputs": [], - "source": [ - "model_results['diff'] = model_results['predicted'] - model_results['close_spread']\n", - "model_results" - ] - }, - { - "cell_type": "code", - "execution_count": null, - "metadata": {}, - "outputs": [], - "source": [ - "df = ct.forward_spread(report_date, index)\n", - "df.plot()\n", - "plt.ylabel('spread')\n", - "plt.xlabel('forward spread start date')" - ] - }, - { - "cell_type": "code", - "execution_count": null, - "metadata": {}, - "outputs": [], "source": [ "df = ct.spot_forward(index)\n", "df = df.rename(columns={'1yr': 'Spot Spread - 1 Year Forward', 'current': 'Spot Spread - Today'})\n", @@ -368,19 +289,6 @@ "metadata": {}, "outputs": [], "source": [ - "#plot steepness scenario at current spread\n", - "#df_plot = df.set_index(['spread', 'curve_per'], append=True)\n", - "#df_plot = df_plot.xs(round(spread_df.iloc[0][0], 2), level = 'spread')\n", - "#df_plot.name = 'pnl'\n", - "#g.plot_color_map(df_plot, spread_range)" - ] - }, - { - "cell_type": "code", - "execution_count": null, - "metadata": {}, - "outputs": [], - "source": [ "#Plot the shape of the scenario that was run above\n", "ct.plot_curve_shape(report_date)" ] @@ -450,116 +358,6 @@ "scen_table.pnl = scen_table.pnl/navs.iloc[-1].endbooknav *100\n", "scen_table.pivot(index='tighter', columns='wider')" ] - }, - { - "cell_type": "code", - "execution_count": null, - "metadata": {}, - "outputs": [], - "source": [ - "from exploration.VaR import hist_var\n", - "IG = ct.curve_pos(report_date, 'IG')\n", - "ITRX = ct.curve_pos(report_date, 'EU')\n", - "VaR = hist_var(IG, 'IG') + hist_var(ITRX, 'EU')" - ] - }, - { - "cell_type": "code", - "execution_count": null, - "metadata": {}, - "outputs": [], - "source": [] - }, - { - "cell_type": "code", - "execution_count": null, - "metadata": {}, - "outputs": [], - "source": [] - }, - { - "cell_type": "code", - "execution_count": null, - "metadata": {}, - "outputs": [], - "source": [] - }, - { - "cell_type": "code", - "execution_count": null, - "metadata": {}, - "outputs": [], - "source": [] - }, - { - "cell_type": "code", - "execution_count": null, - "metadata": {}, - "outputs": [], - "source": [] - }, - { - "cell_type": "code", - "execution_count": null, - "metadata": {}, - "outputs": [], - "source": [] - }, - { - "cell_type": "code", - "execution_count": null, - "metadata": {}, - "outputs": [], - "source": [] - }, - { - "cell_type": "code", - "execution_count": null, - "metadata": {}, - "outputs": [], - "source": [] - }, - { - "cell_type": "code", - "execution_count": null, - "metadata": {}, - "outputs": [], - "source": [] - }, - { - "cell_type": "code", - "execution_count": null, - "metadata": {}, - "outputs": [], - "source": [] - }, - { - "cell_type": "code", - "execution_count": null, - "metadata": {}, - "outputs": [], - "source": [] - }, - { - "cell_type": "code", - "execution_count": null, - "metadata": {}, - "outputs": [], - "source": [] - }, - { - "cell_type": "code", - "execution_count": null, - "metadata": {}, - "outputs": [], - "source": [] - }, - { - "cell_type": "code", - "execution_count": null, - "metadata": {}, - "outputs": [], - "source": [] } ], "metadata": { @@ -578,7 +376,7 @@ "name": "python", "nbconvert_exporter": "python", "pygments_lexer": "ipython3", - "version": "3.8.1" + "version": "3.8.5" } }, "nbformat": 4, |