diff options
Diffstat (limited to 'python/notebooks/bespokes/Bozeman.ipynb')
| -rw-r--r-- | python/notebooks/bespokes/Bozeman.ipynb | 22 |
1 files changed, 17 insertions, 5 deletions
diff --git a/python/notebooks/bespokes/Bozeman.ipynb b/python/notebooks/bespokes/Bozeman.ipynb index 5183a338..43aa1174 100644 --- a/python/notebooks/bespokes/Bozeman.ipynb +++ b/python/notebooks/bespokes/Bozeman.ipynb @@ -37,7 +37,7 @@ "metadata": {}, "outputs": [], "source": [ - "bozeman.value_date=datetime.date(2019, 3, 5)" + "bozeman.value_date=datetime.date(2019, 5, 1)" ] }, { @@ -46,7 +46,7 @@ "metadata": {}, "outputs": [], "source": [ - "bozeman" + "bozeman.mark(skew=ig29.skew)" ] }, { @@ -64,7 +64,19 @@ "metadata": {}, "outputs": [], "source": [ - "bs1._index.spread()" + "#Bozeman\n", + "import pandas as pd\n", + "date_range = pd.bdate_range(end=datetime.date.today(), periods=16, freq = '5B')\n", + "df = pd.DataFrame(index = date_range, columns = ['spread', 'duration', 'port_spread'])\n", + "index = TrancheBasket(\"IG\", 29, \"5yr\")\n", + "tranche = DualCorrTranche.from_tradeid(1037)\n", + "for date in date_range:\n", + " index.value_date = date\n", + " index.tweak()\n", + " index.build_skew()\n", + " tranche.value_date = date\n", + " tranche.mark(skew=index.skew)\n", + " df.loc[date] = [tranche.spread, tranche.duration, tranche._index.spread()[0]/10000]" ] }, { @@ -73,7 +85,7 @@ "metadata": {}, "outputs": [], "source": [ - "bs1.spread" + "df[['spread', 'port_spread']].plot()" ] }, { @@ -136,7 +148,7 @@ "name": "python", "nbconvert_exporter": "python", "pygments_lexer": "ipython3", - "version": "3.7.2" + "version": "3.7.3" } }, "nbformat": 4, |