diff options
Diffstat (limited to 'python/notebooks/Dispersion.ipynb')
| -rw-r--r-- | python/notebooks/Dispersion.ipynb | 39 |
1 files changed, 15 insertions, 24 deletions
diff --git a/python/notebooks/Dispersion.ipynb b/python/notebooks/Dispersion.ipynb index 0c3b518f..1b722f50 100644 --- a/python/notebooks/Dispersion.ipynb +++ b/python/notebooks/Dispersion.ipynb @@ -42,9 +42,11 @@ "#end = (start + pd.offsets.BDay(1) * 365).date()\n", "end = datetime.datetime.today()\n", "index_type = 'IG'\n", - "risk = disp.get_tranche_data(dbconn(\"serenitasdb\"), index_type)\n", + "serenitasconn = dbconn(\"serenitasdb\")\n", + "serenitasconn.autocommit = True\n", + "risk = disp.get_tranche_data(serenitasconn, index_type)\n", "train_data = risk[start: end]\n", - "gini_calc, gini_model = disp.create_models(dbconn(\"serenitasdb\"), train_data)\n", + "gini_calc, gini_model = disp.create_models(serenitasconn, train_data)\n", "gini_model.fit().summary()" ] }, @@ -321,15 +323,17 @@ "metadata": {}, "outputs": [], "source": [ - "#Old Model\n", "value_date = (datetime.datetime.today() - pd.offsets.BDay(1)).date()\n", "start = (datetime.datetime.today() - pd.offsets.BDay(1) * 365 *4).date()\n", "#end = (start + pd.offsets.BDay(1) * 365).date()\n", "end = datetime.datetime.today()\n", "gini_model, gini_results = {}, {}\n", + "conn = dbconn(\"serenitasdb\")\n", + "conn.autocommit = True\n", "for index_type in ['HY', 'IG', 'EU', 'XO']:\n", " risk = disp.get_tranche_data(dbconn(\"serenitasdb\"), index_type)\n", - " gini_model[index_type], gini_results[index_type] = disp.create_models_separate(risk)" + " #gini_results[index_type], gini_model[index_type] = disp.create_separate_models(risk)\n", + " gini_results[index_type], gini_model[index_type] = disp.create_models_v2(conn, risk)" ] }, { @@ -338,7 +342,8 @@ "metadata": {}, "outputs": [], "source": [ - "gini_model['HY'][0].summary()" + "#gini_model['HY'][0].summary()\n", + "gini_model['HY'].fit().summary()" ] }, { @@ -356,17 +361,9 @@ "metadata": {}, "outputs": [], "source": [ - "gini_results.to_csv('/home/serenitas/edwin/results.csv', header=True)" - ] - }, - { - "cell_type": "code", - "execution_count": null, - "metadata": {}, - "outputs": [], - "source": [ + "fieldlist = ['exp_percentage','dispersion','gini','tranche_loss_per','mispricing']\n", "for index_type in ['HY', 'IG', 'EU', 'XO']:\n", - " gini_results[index_type].to_csv('/home/serenitas/edwin/' + index_type + '_results.csv')" + " gini_results[index_type][fieldlist].to_csv('/home/serenitas/edwin/' + index_type + '_results.csv')" ] }, { @@ -374,27 +371,21 @@ "execution_count": null, "metadata": {}, "outputs": [], - "source": [ - "to_plot = gini_results.xs(0, level='attach')['mispricing']" - ] + "source": [] }, { "cell_type": "code", "execution_count": null, "metadata": {}, "outputs": [], - "source": [ - "to_plot.groupby(['date', 'index','tenor']).nth(-1).plot()" - ] + "source": [] }, { "cell_type": "code", "execution_count": null, "metadata": {}, "outputs": [], - "source": [ - "gini_results.xs(31, level='series')" - ] + "source": [] }, { "cell_type": "code", |