diff options
Diffstat (limited to 'python/notebooks/risk_sabo.ipynb')
| -rw-r--r-- | python/notebooks/risk_sabo.ipynb | 73 |
1 files changed, 45 insertions, 28 deletions
diff --git a/python/notebooks/risk_sabo.ipynb b/python/notebooks/risk_sabo.ipynb index d4e1bc9b..1ee43fdb 100644 --- a/python/notebooks/risk_sabo.ipynb +++ b/python/notebooks/risk_sabo.ipynb @@ -12,11 +12,17 @@ "import analytics\n", "import numpy as np\n", "\n", - "from pandas.tseries.offsets import BDay, MonthEnd\n", + "from pandas.tseries.offsets import BDay, BMonthEnd\n", "from analytics.scenarios import run_portfolio_scenarios\n", - "from utils.db import dbconn\n", "from risk.portfolio import build_portfolio, generate_vol_surface\n", - "from analytics.basket_index import BasketIndex" + "from pathlib import Path" + ] + }, + { + "cell_type": "markdown", + "metadata": {}, + "source": [ + "### Set dates" ] }, { @@ -25,12 +31,18 @@ "metadata": {}, "outputs": [], "source": [ - "#Set dates\n", - "position_date = (datetime.date.today() - MonthEnd(1)).date()\n", + "position_date = (datetime.date.today() - BMonthEnd(1)).date()\n", "spread_date = position_date\n", "analytics._local = False\n", "analytics.init_ontr(spread_date)\n", - "path = '/home/serenitas/Daily/Risk/'" + "base_dir = Path('/home/serenitas/Daily/Risk/')" + ] + }, + { + "cell_type": "markdown", + "metadata": {}, + "source": [ + "### Run credit spread scenarios" ] }, { @@ -39,7 +51,6 @@ "metadata": {}, "outputs": [], "source": [ - "################################### Run Credit Spread scenarios\n", "spread_shock = np.array([-100., -25., 1., +25. , 100.])\n", "spread_shock /= analytics._ontr['HY'].spread\n", "portf, _ = build_portfolio(position_date, spread_date)\n", @@ -50,7 +61,15 @@ " vol_shock=[0.0],\n", " corr_shock=[0.0],\n", " vol_surface=vol_surface)\n", - "scens.sum(axis=1).to_csv(path+'csscen_'+position_date.strftime(\"%Y%m%d\")+'.csv')" + "scens = scens.sum(axis=1)\n", + "scens.to_csv(base_dir / f\"csscen_{position_date:%Y%m%d}.csv\")" + ] + }, + { + "cell_type": "markdown", + "metadata": {}, + "source": [ + "### Jump to default" ] }, { @@ -59,24 +78,8 @@ "metadata": {}, "outputs": [], "source": [ - "################################### JTD\n", "_, portf = build_portfolio(position_date, spread_date)\n", - "jtd_i = []\n", - "for t in portf.indices:\n", - " bkt = BasketIndex(t.index_type, t.series, [t.tenor])\n", - " spreads = pd.DataFrame(bkt.spreads() * 10000, index=pd.Index(bkt.tickers, name='ticker'), columns=['spread'])\n", - " jump = pd.merge(spreads, bkt.jump_to_default() * t.notional, left_index=True, right_index=True)\n", - " jtd_i.append(jump.rename(columns={jump.columns[1]: 'jtd'}))\n", - "jtd_t = []\n", - "for t in portf.tranches:\n", - " jump = pd.concat([t.singlename_spreads().reset_index(['seniority', 'doc_clause'], drop=True), t.jump_to_default().rename('jtd')], axis=1)\n", - " jtd_t.append(jump.drop(['weight', 'recovery'], axis=1))\n", - "\n", - "ref_names = pd.read_sql_query(\"select ticker, referenceentity from refentity\", dbconn('serenitasdb'), index_col='ticker')\n", - "jump = pd.concat([pd.concat(jtd_t), pd.concat(jtd_i)])\n", - "jump = jump.merge(ref_names, left_index=True, right_index=True)\n", - "jump = jump.groupby('referenceentity').agg({'spread': np.mean, 'jtd': np.sum}).sort_values(by='jtd', ascending=True)\n", - "jump.to_csv(path+'jtd_'+position_date.strftime(\"%Y%m%d\")+'.csv')" + "jtd = portf.jtd_single_names()" ] }, { @@ -85,13 +88,27 @@ "metadata": {}, "outputs": [], "source": [] + }, + { + "cell_type": "code", + "execution_count": null, + "metadata": {}, + "outputs": [], + "source": [] + }, + { + "cell_type": "code", + "execution_count": null, + "metadata": {}, + "outputs": [], + "source": [] } ], "metadata": { "kernelspec": { - "display_name": "Python 3.8.1 64-bit", + "display_name": "Python 3", "language": "python", - "name": "python38164bitc40c8740e5d542d7959acb14be96f4f3" + "name": "python3" }, "language_info": { "codemirror_mode": { @@ -103,7 +120,7 @@ "name": "python", "nbconvert_exporter": "python", "pygments_lexer": "ipython3", - "version": "3.8.5" + "version": "3.8.6" } }, "nbformat": 4, |