1 files changed, 149 insertions, 0 deletions
diff --git a/python/notebooks/bespokes/Bespoke-MS.ipynb b/python/notebooks/bespokes/Bespoke-MS.ipynb
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@@ -0,0 +1,149 @@
+{
+ "cells": [
+  {
+   "cell_type": "code",
+   "execution_count": null,
+   "metadata": {},
+   "outputs": [],
+   "source": [
+    "from analytics.tranche_basket import DualCorrTranche, TrancheBasket\n",
+    "import datetime"
+   ]
+  },
+  {
+   "cell_type": "code",
+   "execution_count": null,
+   "metadata": {},
+   "outputs": [],
+   "source": [
+    "ig29 = TrancheBasket(\"IG\", 29, \"5yr\", value_date=datetime.date(2019, 2, 6))\n",
+    "ig29.tweak()\n",
+    "ig29.build_skew()"
+   ]
+  },
+  {
+   "cell_type": "code",
+   "execution_count": null,
+   "metadata": {},
+   "outputs": [],
+   "source": [
+    "bs2 = DualCorrTranche(\"BS\", 2, \"2yr\", attach=7, detach=10, corr_attach=0.4, corr_detach=0.42, tranche_running=500,\n",
+    "                         value_date=datetime.date(2019, 2, 6))"
+   ]
+  },
+  {
+   "cell_type": "code",
+   "execution_count": null,
+   "metadata": {},
+   "outputs": [],
+   "source": [
+    "bs2.singlename_spreads()"
+   ]
+  },
+  {
+   "cell_type": "code",
+   "execution_count": null,
+   "metadata": {},
+   "outputs": [],
+   "source": [
+    "bs2._index.spread()"
+   ]
+  },
+  {
+   "cell_type": "code",
+   "execution_count": null,
+   "metadata": {},
+   "outputs": [],
+   "source": [
+    "bs2.mark(skew=ig29.skew)\n",
+    "bs2.rho"
+   ]
+  },
+  {
+   "cell_type": "code",
+   "execution_count": null,
+   "metadata": {},
+   "outputs": [],
+   "source": [
+    "bs2.spread"
+   ]
+  },
+  {
+   "cell_type": "code",
+   "execution_count": null,
+   "metadata": {},
+   "outputs": [],
+   "source": [
+    "bs2"
+   ]
+  },
+  {
+   "cell_type": "code",
+   "execution_count": null,
+   "metadata": {},
+   "outputs": [],
+   "source": [
+    "#delta adjustement\n",
+    "bs2.upfront + bs2.delta * (157 - bs2._index.spread())*1e-4* bs2._index.duration()*100"
+   ]
+  },
+  {
+   "cell_type": "code",
+   "execution_count": null,
+   "metadata": {},
+   "outputs": [],
+   "source": [
+    "jtd = bs2.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": [
+    "from pyisda.curve import Senior, Subordinated, MM14\n",
+    "bs2._index[('BACR', Senior, MM14)].inspect()"
+   ]
+  },
+  {
+   "cell_type": "code",
+   "execution_count": null,
+   "metadata": {},
+   "outputs": [],
+   "source": [
+    "bs2._index[('BACR', Subordinated, MM14)].inspect()"
+   ]
+  }
+ ],
+ "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
+}