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Diffstat (limited to 'python/notebooks/Venice.ipynb')
| -rw-r--r-- | python/notebooks/Venice.ipynb | 107 |
1 files changed, 0 insertions, 107 deletions
diff --git a/python/notebooks/Venice.ipynb b/python/notebooks/Venice.ipynb deleted file mode 100644 index fd69edd9..00000000 --- a/python/notebooks/Venice.ipynb +++ /dev/null @@ -1,107 +0,0 @@ -{ - "cells": [ - { - "cell_type": "code", - "execution_count": null, - "metadata": {}, - "outputs": [], - "source": [ - "from analytics.tranche_basket import DualCorrTranche, TrancheBasket" - ] - }, - { - "cell_type": "code", - "execution_count": null, - "metadata": {}, - "outputs": [], - "source": [ - "ig29 = TrancheBasket(\"IG\", 29, \"5yr\")\n", - "ig29.tweak()\n", - "ig29.build_skew()" - ] - }, - { - "cell_type": "code", - "execution_count": null, - "metadata": {}, - "outputs": [], - "source": [ - "bs3 = DualCorrTranche(\"BS\", 3, \"2yr\", attach=5, detach=7, corr_attach=0.4, corr_detach=0.42, tranche_running=100)" - ] - }, - { - "cell_type": "code", - "execution_count": null, - "metadata": {}, - "outputs": [], - "source": [ - "bs3.singlename_spreads()" - ] - }, - { - "cell_type": "code", - "execution_count": null, - "metadata": {}, - "outputs": [], - "source": [ - "bs3.mark(skew=ig29.skew)\n", - "bs3.rho" - ] - }, - { - "cell_type": "code", - "execution_count": null, - "metadata": {}, - "outputs": [], - "source": [ - "bs3.spread" - ] - }, - { - "cell_type": "code", - "execution_count": null, - "metadata": {}, - "outputs": [], - "source": [ - "jtd = bs3.jump_to_default(ig29.skew)" - ] - }, - { - "cell_type": "code", - "execution_count": null, - "metadata": {}, - "outputs": [], - "source": [ - "jtd.sort_values()" - ] - }, - { - "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": "3.7.2" - } - }, - "nbformat": 4, - "nbformat_minor": 2 -} |
