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-rw-r--r--python/notebooks/Risk Management.ipynb241
1 files changed, 13 insertions, 228 deletions
diff --git a/python/notebooks/Risk Management.ipynb b/python/notebooks/Risk Management.ipynb
index fe0457f3..8a4a5f72 100644
--- a/python/notebooks/Risk Management.ipynb
+++ b/python/notebooks/Risk Management.ipynb
@@ -2,10 +2,8 @@
"cells": [
{
"cell_type": "code",
- "execution_count": 1,
- "metadata": {
- "collapsed": true
- },
+ "execution_count": null,
+ "metadata": {},
"outputs": [],
"source": [
"import portfolio_var as port\n",
@@ -21,10 +19,8 @@
},
{
"cell_type": "code",
- "execution_count": 2,
- "metadata": {
- "collapsed": true
- },
+ "execution_count": null,
+ "metadata": {},
"outputs": [],
"source": [
"#Oct ME Bond HY Equiv\n",
@@ -35,10 +31,8 @@
},
{
"cell_type": "code",
- "execution_count": 3,
- "metadata": {
- "collapsed": true
- },
+ "execution_count": null,
+ "metadata": {},
"outputs": [],
"source": [
"#The 95%tile \n",
@@ -53,234 +47,27 @@
},
{
"cell_type": "code",
- "execution_count": 6,
+ "execution_count": null,
"metadata": {},
- "outputs": [
- {
- "data": {
- "text/html": [
- "<div>\n",
- "<style>\n",
- " .dataframe thead tr:only-child th {\n",
- " text-align: right;\n",
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- "\n",
- " .dataframe thead th {\n",
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- " }\n",
- "\n",
- " .dataframe tbody tr th {\n",
- " vertical-align: top;\n",
- " }\n",
- "</style>\n",
- "<table border=\"1\" class=\"dataframe\">\n",
- " <thead>\n",
- " <tr style=\"text-align: right;\">\n",
- " <th></th>\n",
- " <th>spread</th>\n",
- " <th>pts</th>\n",
- " <th>nav_impact</th>\n",
- " </tr>\n",
- " </thead>\n",
- " <tbody>\n",
- " <tr>\n",
- " <th>2SD_widen</th>\n",
- " <td>0.157884</td>\n",
- " <td>-2.208036</td>\n",
- " <td>0.266907</td>\n",
- " </tr>\n",
- " <tr>\n",
- " <th>2SD_tighten</th>\n",
- " <td>-0.163480</td>\n",
- " <td>2.286301</td>\n",
- " <td>-0.276368</td>\n",
- " </tr>\n",
- " <tr>\n",
- " <th>worst_widen</th>\n",
- " <td>0.359386</td>\n",
- " <td>-5.026082</td>\n",
- " <td>0.607553</td>\n",
- " </tr>\n",
- " </tbody>\n",
- "</table>\n",
- "</div>"
- ],
- "text/plain": [
- " spread pts nav_impact\n",
- "2SD_widen 0.157884 -2.208036 0.266907\n",
- "2SD_tighten -0.163480 2.286301 -0.276368\n",
- "worst_widen 0.359386 -5.026082 0.607553"
- ]
- },
- "execution_count": 6,
- "metadata": {},
- "output_type": "execute_result"
- }
- ],
+ "outputs": [],
"source": [
"stress"
]
},
{
"cell_type": "code",
- "execution_count": 8,
+ "execution_count": null,
"metadata": {},
- "outputs": [
- {
- "data": {
- "text/html": [
- "<div>\n",
- "<style>\n",
- " .dataframe thead tr:only-child th {\n",
- " text-align: right;\n",
- " }\n",
- "\n",
- " .dataframe thead th {\n",
- " text-align: left;\n",
- " }\n",
- "\n",
- " .dataframe tbody tr th {\n",
- " vertical-align: top;\n",
- " }\n",
- "</style>\n",
- "<table border=\"1\" class=\"dataframe\">\n",
- " <thead>\n",
- " <tr style=\"text-align: right;\">\n",
- " <th></th>\n",
- " <th>level_1</th>\n",
- " <th>notional</th>\n",
- " <th>factor</th>\n",
- " <th>coupon</th>\n",
- " <th>duration</th>\n",
- " <th>theta</th>\n",
- " <th>price</th>\n",
- " <th>closespread</th>\n",
- " <th>clean_nav</th>\n",
- " <th>accrued</th>\n",
- " <th>onTR_notional</th>\n",
- " <th>widen</th>\n",
- " <th>tighten</th>\n",
- " <th>total</th>\n",
- " </tr>\n",
- " <tr>\n",
- " <th>strategy</th>\n",
- " <th></th>\n",
- " <th></th>\n",
- " <th></th>\n",
- " <th></th>\n",
- " <th></th>\n",
- " <th></th>\n",
- " <th></th>\n",
- " <th></th>\n",
- " <th></th>\n",
- " <th></th>\n",
- " <th></th>\n",
- " <th></th>\n",
- " <th></th>\n",
- " <th></th>\n",
- " </tr>\n",
- " </thead>\n",
- " <tbody>\n",
- " <tr>\n",
- " <th>HEDGE_MBS</th>\n",
- " <td>3</td>\n",
- " <td>-30500000.0</td>\n",
- " <td>2.92</td>\n",
- " <td>0.15</td>\n",
- " <td>9.579586</td>\n",
- " <td>0.091530</td>\n",
- " <td>323.911577</td>\n",
- " <td>728.775311</td>\n",
- " <td>-2.454496e+06</td>\n",
- " <td>-173891.666667</td>\n",
- " <td>-2.271120e+07</td>\n",
- " <td>-392951.746260</td>\n",
- " <td>439165.979817</td>\n",
- " <td>439165.979817</td>\n",
- " </tr>\n",
- " <tr>\n",
- " <th>SER_IGCURVE</th>\n",
- " <td>1</td>\n",
- " <td>-11000000.0</td>\n",
- " <td>2.00</td>\n",
- " <td>0.02</td>\n",
- " <td>4.202955</td>\n",
- " <td>0.005495</td>\n",
- " <td>203.166063</td>\n",
- " <td>38.112262</td>\n",
- " <td>-2.220374e+04</td>\n",
- " <td>-12833.333333</td>\n",
- " <td>1.006705e+06</td>\n",
- " <td>3787.727425</td>\n",
- " <td>-3681.218467</td>\n",
- " <td>3787.727425</td>\n",
- " </tr>\n",
- " <tr>\n",
- " <th>SER_ITRXCURVE</th>\n",
- " <td>1</td>\n",
- " <td>39300000.0</td>\n",
- " <td>2.00</td>\n",
- " <td>0.02</td>\n",
- " <td>14.638235</td>\n",
- " <td>0.021951</td>\n",
- " <td>203.615045</td>\n",
- " <td>138.590158</td>\n",
- " <td>2.027082e+06</td>\n",
- " <td>53396.910000</td>\n",
- " <td>-3.481913e+06</td>\n",
- " <td>-15658.882722</td>\n",
- " <td>16533.674519</td>\n",
- " <td>16533.674519</td>\n",
- " </tr>\n",
- " </tbody>\n",
- "</table>\n",
- "</div>"
- ],
- "text/plain": [
- " level_1 notional factor coupon duration theta \\\n",
- "strategy \n",
- "HEDGE_MBS 3 -30500000.0 2.92 0.15 9.579586 0.091530 \n",
- "SER_IGCURVE 1 -11000000.0 2.00 0.02 4.202955 0.005495 \n",
- "SER_ITRXCURVE 1 39300000.0 2.00 0.02 14.638235 0.021951 \n",
- "\n",
- " price closespread clean_nav accrued \\\n",
- "strategy \n",
- "HEDGE_MBS 323.911577 728.775311 -2.454496e+06 -173891.666667 \n",
- "SER_IGCURVE 203.166063 38.112262 -2.220374e+04 -12833.333333 \n",
- "SER_ITRXCURVE 203.615045 138.590158 2.027082e+06 53396.910000 \n",
- "\n",
- " onTR_notional widen tighten total \n",
- "strategy \n",
- "HEDGE_MBS -2.271120e+07 -392951.746260 439165.979817 439165.979817 \n",
- "SER_IGCURVE 1.006705e+06 3787.727425 -3681.218467 3787.727425 \n",
- "SER_ITRXCURVE -3.481913e+06 -15658.882722 16533.674519 16533.674519 "
- ]
- },
- "execution_count": 8,
- "metadata": {},
- "output_type": "execute_result"
- }
- ],
+ "outputs": [],
"source": [
"port.cleared_cds_margins(report_date, percentile)"
]
},
{
"cell_type": "code",
- "execution_count": 9,
+ "execution_count": null,
"metadata": {},
- "outputs": [
- {
- "data": {
- "text/plain": [
- "120816.55576340854"
- ]
- },
- "execution_count": 9,
- "metadata": {},
- "output_type": "execute_result"
- }
- ],
+ "outputs": [],
"source": [
"port.index_curve_margins(report_date)"
]
@@ -288,9 +75,7 @@
{
"cell_type": "code",
"execution_count": null,
- "metadata": {
- "collapsed": true
- },
+ "metadata": {},
"outputs": [],
"source": []
}
generated by cgit v1.2.3-70-g09d2 (git 2.52.0) at 2025-12-22 00:39:58 +0000