1 files changed, 163 insertions, 0 deletions
diff --git a/python/notebooks/bespokes/Phoenix.ipynb b/python/notebooks/bespokes/Phoenix.ipynb
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+{
+ "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\")\n",
+    "ig29.tweak()\n",
+    "ig29.build_skew()"
+   ]
+  },
+  {
+   "cell_type": "code",
+   "execution_count": null,
+   "metadata": {},
+   "outputs": [],
+   "source": [
+    "phoenix = DualCorrTranche(\"BS\", 4, \"3yr\",attach=15, detach=30, corr_attach=None, corr_detach=None, tranche_running=100)"
+   ]
+  },
+  {
+   "cell_type": "code",
+   "execution_count": null,
+   "metadata": {},
+   "outputs": [],
+   "source": [
+    "phoenix.value_date=datetime.date.today()"
+   ]
+  },
+  {
+   "cell_type": "code",
+   "execution_count": null,
+   "metadata": {},
+   "outputs": [],
+   "source": [
+    "phoenix.mark(skew=ig29.skew)"
+   ]
+  },
+  {
+   "cell_type": "code",
+   "execution_count": null,
+   "metadata": {},
+   "outputs": [],
+   "source": [
+    "phoenix"
+   ]
+  },
+  {
+   "cell_type": "code",
+   "execution_count": null,
+   "metadata": {},
+   "outputs": [],
+   "source": [
+    "(phoenix.spread, phoenix.duration, phoenix._index.spread())"
+   ]
+  },
+  {
+   "cell_type": "code",
+   "execution_count": null,
+   "metadata": {},
+   "outputs": [],
+   "source": [
+    "#Phoenix\n",
+    "import pandas as pd\n",
+    "date_range = pd.bdate_range(end=datetime.date.today(), periods=20, freq = '3B')\n",
+    "df = pd.DataFrame(index = date_range, columns = ['spread', 'duration', 'port_spread'])\n",
+    "index = TrancheBasket(\"IG\", 29, \"5yr\")\n",
+    "tranche = DualCorrTranche(\"BS\", 4, \"3yr\",attach=15, detach=30, corr_attach=None, corr_detach=None, tranche_running=100)\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]"
+   ]
+  },
+  {
+   "cell_type": "code",
+   "execution_count": null,
+   "metadata": {},
+   "outputs": [],
+   "source": [
+    "df[['spread', 'port_spread']].plot()"
+   ]
+  },
+  {
+   "cell_type": "code",
+   "execution_count": null,
+   "metadata": {},
+   "outputs": [],
+   "source": [
+    "from pyisda.curve import Senior, MM14\n",
+    "palma._index[(\"CMACGM\", Senior, MM14)].to_series()"
+   ]
+  },
+  {
+   "cell_type": "code",
+   "execution_count": null,
+   "metadata": {},
+   "outputs": [],
+   "source": [
+    "jtd = palma.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": []
+  },
+  {
+   "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": "3.7.3"
+  }
+ },
+ "nbformat": 4,
+ "nbformat_minor": 2
+}