diff options
Diffstat (limited to 'python/notebooks/Reto Report.ipynb')
| -rw-r--r-- | python/notebooks/Reto Report.ipynb | 16 |
1 files changed, 8 insertions, 8 deletions
diff --git a/python/notebooks/Reto Report.ipynb b/python/notebooks/Reto Report.ipynb index f3910b3b..75156c99 100644 --- a/python/notebooks/Reto Report.ipynb +++ b/python/notebooks/Reto Report.ipynb @@ -21,7 +21,7 @@ "from analytics.curve_trades import on_the_run\n", "from risk.bonds import subprime_risk\n", "from utils.db import dbconn, dbengine, serenitas_engine, dawn_engine\n", - "from risk.portfolio import build_portf, generate_vol_surface\n", + "from risk.portfolio import build_portfolio, generate_vol_surface\n", "from analytics.tranche_basket import DualCorrTranche, TrancheBasket, MarkitTrancheBasket, Skew\n", "from analytics.basket_index import BasketIndex" ] @@ -46,9 +46,9 @@ "outputs": [], "source": [ "#Stress scenario for weekly report --> copy paste results to Excel\n", - "spread_shock = [100, 200]\n", - "spread_shock = [x / analytics._ontr['HY'].spread for x in spread_shock]\n", - "portf, _ = build_portf(position_date, spread_date)\n", + "spread_shock = np.array([100., 200.])\n", + "spread_shock /= analytics._ontr['HY'].spread\n", + "portf, _ = build_portfolio(position_date, spread_date)\n", "vol_surface = generate_vol_surface(portf, 5)\n", "\n", "portf.reset_pv()\n", @@ -97,9 +97,9 @@ "outputs": [], "source": [ "################################### Run set of scenario\n", - "spread_shock = [-100, -25, 1, +25 , 100]\n", - "spread_shock = [x / analytics._ontr['HY'].spread for x in spread_shock]\n", - "portf = build_portf(position_date, spread_date)\n", + "spread_shock = np.array([-100., -25., 1., +25. , 100.])\n", + "spread_shock /= analytics._ontr['HY'].spread\n", + "portf, _ = build_portfolio(position_date, spread_date)\n", "vol_surface = generate_vol_surface(portf, 5)\n", "portf.reset_pv()\n", "scens = run_portfolio_scenarios(portf, date_range=[pd.Timestamp(spread_date)], params=['pnl'],\n", @@ -164,7 +164,7 @@ "#Actually: Rolling 12 months sum of (total bond sales proceeds + paydown)/monthly NAV\n", "nav = go.get_net_navs()\n", "fund='SERCGMAST'\n", - "sql_string = \"SELECT * FROM bonds WHERE buysell IS False and fund = %s\"\n", + "sql_string = \"SELECT * FROM bonds WHERE NOT buysell and fund = %s\"\n", "df = pd.read_sql_query(sql_string, dawn_engine,\n", " parse_dates={'lastupdate':{'utc':True}, 'trade_date': {}, 'settle_date':{}},\n", " params=[fund,],\n", |