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+{
+ "cells": [
+  {
+   "cell_type": "code",
+   "execution_count": null,
+   "metadata": {},
+   "outputs": [],
+   "source": [
+    "import portfolio_var as port\n",
+    "from analytics import Swaption, BlackSwaption, Index, VolatilitySurface, Portfolio\n",
+    "from analytics.scenarios import run_swaption_scenarios, run_index_scenarios, run_portfolio_scenarios\n",
+    "import datetime\n",
+    "import pandas as pd\n",
+    "\n",
+    "#import exploration.swaption_calendar_spread as spread\n",
+    "import exploration.swaption_calendar_spread as spread"
+   ]
+  },
+  {
+   "cell_type": "code",
+   "execution_count": null,
+   "metadata": {},
+   "outputs": [],
+   "source": [
+    "df, spread, dur = port.rel_spread_diff()"
+   ]
+  },
+  {
+   "cell_type": "code",
+   "execution_count": null,
+   "metadata": {},
+   "outputs": [],
+   "source": [
+    "#The 95%tile \n",
+    "stress = pd.DataFrame(index = ['widen', 'tighten'], columns=['pts'])\n",
+    "stress.loc['widen'] = df.quantile(.975) \n",
+    "stress.loc['tighten'] = df.quantile(.025)\n",
+    "stress = -stress * spread * dur/100"
+   ]
+  },
+  {
+   "cell_type": "code",
+   "execution_count": null,
+   "metadata": {},
+   "outputs": [],
+   "source": [
+    "#August ME Bond HY Equiv\n",
+    "bond_HY_equiv = .1652\n",
+    "stress['nav_impact'] = bond_HY_equiv * stress"
+   ]
+  },
+  {
+   "cell_type": "code",
+   "execution_count": null,
+   "metadata": {},
+   "outputs": [],
+   "source": [
+    "#Swaptions\n",
+    "#Aug 2018: Buy Sept HY payer spread\n",
+    "option_delta = Index.from_tradeid(891)\n",
+    "option1 = BlackSwaption.from_tradeid(10, option_delta)\n",
+    "option2 = BlackSwaption.from_tradeid(11, option_delta)\n",
+    "portf = Portfolio([option1, option2, option_delta])\n",
+    "portf.trade_date = datetime.date(2017, 8, 31)\n",
+    "portf.mark()\n",
+    "orig_pv = portf.pv\n",
+    "orig_ref = portf.ref"
+   ]
+  },
+  {
+   "cell_type": "code",
+   "execution_count": null,
+   "metadata": {},
+   "outputs": [],
+   "source": [
+    "for x, y in stress.pts.iteritems():\n",
+    "    portf.ref = orig_ref + y\n",
+    "    stress[x] = portf.pv - orig_pv"
+   ]
+  },
+  {
+   "cell_type": "code",
+   "execution_count": null,
+   "metadata": {},
+   "outputs": [],
+   "source": [
+    "stress"
+   ]
+  },
+  {
+   "cell_type": "code",
+   "execution_count": null,
+   "metadata": {},
+   "outputs": [],
+   "source": []
+  }
+ ],
+ "metadata": {
+  "kernelspec": {
+   "display_name": "Python 3",
+   "language": "python",
+   "name": "python3"
+  },
+  "language_info": {
+   "codemirror_mode": {
+    "name": "ipython",
+    "version": 3
+   },
+   "file_extension": ".py",
+   "mimetype": "text/x-python",
+   "name": "python",
+   "nbconvert_exporter": "python",
+   "pygments_lexer": "ipython3",
+   "version": "3.6.1"
+  }
+ },
+ "nbformat": 4,
+ "nbformat_minor": 2
+}