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-rw-r--r--python/notebooks/swaption_risk.ipynb466
1 files changed, 454 insertions, 12 deletions
diff --git a/python/notebooks/swaption_risk.ipynb b/python/notebooks/swaption_risk.ipynb
index 00b5db55..ce860db3 100644
--- a/python/notebooks/swaption_risk.ipynb
+++ b/python/notebooks/swaption_risk.ipynb
@@ -2,7 +2,7 @@
"cells": [
{
"cell_type": "code",
- "execution_count": null,
+ "execution_count": 1,
"metadata": {},
"outputs": [],
"source": [
@@ -13,7 +13,7 @@
},
{
"cell_type": "code",
- "execution_count": null,
+ "execution_count": 2,
"metadata": {},
"outputs": [],
"source": [
@@ -21,24 +21,389 @@
"import datetime\n",
"from utils.db import dbconn\n",
"from analytics import init_ontr\n",
+ "import analytics\n",
"conn = dbconn('dawndb')\n",
"conn.autocommit = True\n",
- "init_ontr()"
+ "value_date = datetime.date.today()\n",
+ "init_ontr(value_date)"
]
},
{
"cell_type": "code",
- "execution_count": null,
+ "execution_count": 3,
"metadata": {},
- "outputs": [],
+ "outputs": [
+ {
+ "data": {
+ "text/html": [
+ "Portfolio 2020-01-22\n",
+ "\n",
+ "<table border=\"1\" class=\"dataframe\">\n",
+ " <thead>\n",
+ " <tr style=\"text-align: right;\">\n",
+ " <th></th>\n",
+ " <th>Product</th>\n",
+ " <th>Index</th>\n",
+ " <th>Notional</th>\n",
+ " <th>Ref</th>\n",
+ " <th>Strike</th>\n",
+ " <th>Direction</th>\n",
+ " <th>Type</th>\n",
+ " <th>Expiry</th>\n",
+ " <th>Vol</th>\n",
+ " <th>PV</th>\n",
+ " <th>Delta</th>\n",
+ " <th>Gamma</th>\n",
+ " <th>Theta</th>\n",
+ " <th>Vega</th>\n",
+ " <th>HY Equiv</th>\n",
+ " </tr>\n",
+ " <tr>\n",
+ " <th>ids</th>\n",
+ " <th></th>\n",
+ " <th></th>\n",
+ " <th></th>\n",
+ " <th></th>\n",
+ " <th></th>\n",
+ " <th></th>\n",
+ " <th></th>\n",
+ " <th></th>\n",
+ " <th></th>\n",
+ " <th></th>\n",
+ " <th></th>\n",
+ " <th></th>\n",
+ " <th></th>\n",
+ " <th></th>\n",
+ " <th></th>\n",
+ " </tr>\n",
+ " </thead>\n",
+ " <tbody>\n",
+ " <tr>\n",
+ " <th>SWPTN91</th>\n",
+ " <td>Swaption</td>\n",
+ " <td>IG33 5yr</td>\n",
+ " <td>200,000,000.00</td>\n",
+ " <td>45.13</td>\n",
+ " <td>45.0</td>\n",
+ " <td>Long</td>\n",
+ " <td>receiver</td>\n",
+ " <td>2020-02-19</td>\n",
+ " <td>40.74%</td>\n",
+ " <td>150,061.67</td>\n",
+ " <td>-37.06%</td>\n",
+ " <td>66.00%</td>\n",
+ " <td>-3,327.79</td>\n",
+ " <td>4,576.20</td>\n",
+ " <td>-21,825,100.50</td>\n",
+ " </tr>\n",
+ " <tr>\n",
+ " <th>SWPTN92</th>\n",
+ " <td>Swaption</td>\n",
+ " <td>IG33 5yr</td>\n",
+ " <td>200,000,000.00</td>\n",
+ " <td>45.13</td>\n",
+ " <td>65.0</td>\n",
+ " <td>Short</td>\n",
+ " <td>payer</td>\n",
+ " <td>2020-02-19</td>\n",
+ " <td>75.62%</td>\n",
+ " <td>-20,633.56</td>\n",
+ " <td>-6.40%</td>\n",
+ " <td>-13.42%</td>\n",
+ " <td>1,809.79</td>\n",
+ " <td>-1,399.72</td>\n",
+ " <td>-3,765,995.13</td>\n",
+ " </tr>\n",
+ " <tr>\n",
+ " <th>SWPTN97</th>\n",
+ " <td>Swaption</td>\n",
+ " <td>IG33 5yr</td>\n",
+ " <td>200,000,000.00</td>\n",
+ " <td>45.13</td>\n",
+ " <td>42.5</td>\n",
+ " <td>Long</td>\n",
+ " <td>receiver</td>\n",
+ " <td>2020-03-18</td>\n",
+ " <td>38.45%</td>\n",
+ " <td>96,216.26</td>\n",
+ " <td>-21.68%</td>\n",
+ " <td>43.36%</td>\n",
+ " <td>-1,761.48</td>\n",
+ " <td>5,166.44</td>\n",
+ " <td>-12,768,492.88</td>\n",
+ " </tr>\n",
+ " <tr>\n",
+ " <th>SWPTN107</th>\n",
+ " <td>Swaption</td>\n",
+ " <td>IG33 5yr</td>\n",
+ " <td>200,000,000.00</td>\n",
+ " <td>45.13</td>\n",
+ " <td>42.5</td>\n",
+ " <td>Long</td>\n",
+ " <td>receiver</td>\n",
+ " <td>2020-03-18</td>\n",
+ " <td>38.45%</td>\n",
+ " <td>96,216.26</td>\n",
+ " <td>-21.68%</td>\n",
+ " <td>43.36%</td>\n",
+ " <td>-1,761.48</td>\n",
+ " <td>5,166.44</td>\n",
+ " <td>-12,768,492.88</td>\n",
+ " </tr>\n",
+ " <tr>\n",
+ " <th>SWPTN108</th>\n",
+ " <td>Swaption</td>\n",
+ " <td>IG33 5yr</td>\n",
+ " <td>200,000,000.00</td>\n",
+ " <td>45.13</td>\n",
+ " <td>55.0</td>\n",
+ " <td>Short</td>\n",
+ " <td>payer</td>\n",
+ " <td>2020-03-18</td>\n",
+ " <td>54.75%</td>\n",
+ " <td>-123,985.48</td>\n",
+ " <td>-26.66%</td>\n",
+ " <td>-32.67%</td>\n",
+ " <td>2,590.27</td>\n",
+ " <td>-5,340.77</td>\n",
+ " <td>-15,699,000.27</td>\n",
+ " </tr>\n",
+ " <tr>\n",
+ " <th>SWPTN98</th>\n",
+ " <td>Swaption</td>\n",
+ " <td>IG33 5yr</td>\n",
+ " <td>200,000,000.00</td>\n",
+ " <td>45.13</td>\n",
+ " <td>57.5</td>\n",
+ " <td>Short</td>\n",
+ " <td>payer</td>\n",
+ " <td>2020-03-18</td>\n",
+ " <td>57.96%</td>\n",
+ " <td>-101,557.29</td>\n",
+ " <td>-21.92%</td>\n",
+ " <td>-27.94%</td>\n",
+ " <td>2,453.43</td>\n",
+ " <td>-4,793.54</td>\n",
+ " <td>-12,910,454.18</td>\n",
+ " </tr>\n",
+ " <tr>\n",
+ " <th>SWPTN93</th>\n",
+ " <td>Swaption</td>\n",
+ " <td>IG33 5yr</td>\n",
+ " <td>300,000,000.00</td>\n",
+ " <td>45.13</td>\n",
+ " <td>62.5</td>\n",
+ " <td>Short</td>\n",
+ " <td>payer</td>\n",
+ " <td>2020-03-18</td>\n",
+ " <td>63.80%</td>\n",
+ " <td>-107,301.85</td>\n",
+ " <td>-15.41%</td>\n",
+ " <td>-20.60%</td>\n",
+ " <td>3,231.38</td>\n",
+ " <td>-5,769.27</td>\n",
+ " <td>-13,613,875.38</td>\n",
+ " </tr>\n",
+ " <tr>\n",
+ " <th>SWPTN103</th>\n",
+ " <td>Swaption</td>\n",
+ " <td>IG33 5yr</td>\n",
+ " <td>200,000,000.00</td>\n",
+ " <td>45.13</td>\n",
+ " <td>42.5</td>\n",
+ " <td>Long</td>\n",
+ " <td>receiver</td>\n",
+ " <td>2020-04-15</td>\n",
+ " <td>39.95%</td>\n",
+ " <td>130,102.18</td>\n",
+ " <td>-22.89%</td>\n",
+ " <td>35.40%</td>\n",
+ " <td>-1,518.80</td>\n",
+ " <td>6,419.89</td>\n",
+ " <td>-13,477,124.52</td>\n",
+ " </tr>\n",
+ " <tr>\n",
+ " <th>SWPTN101</th>\n",
+ " <td>Swaption</td>\n",
+ " <td>IG33 5yr</td>\n",
+ " <td>100,000,000.00</td>\n",
+ " <td>45.13</td>\n",
+ " <td>42.5</td>\n",
+ " <td>Long</td>\n",
+ " <td>receiver</td>\n",
+ " <td>2020-04-15</td>\n",
+ " <td>39.95%</td>\n",
+ " <td>65,051.09</td>\n",
+ " <td>-22.89%</td>\n",
+ " <td>35.40%</td>\n",
+ " <td>-759.40</td>\n",
+ " <td>3,209.94</td>\n",
+ " <td>-6,738,562.26</td>\n",
+ " </tr>\n",
+ " <tr>\n",
+ " <th>SWPTN99</th>\n",
+ " <td>Swaption</td>\n",
+ " <td>IG33 5yr</td>\n",
+ " <td>200,000,000.00</td>\n",
+ " <td>45.12</td>\n",
+ " <td>42.5</td>\n",
+ " <td>Long</td>\n",
+ " <td>receiver</td>\n",
+ " <td>2020-04-15</td>\n",
+ " <td>39.96%</td>\n",
+ " <td>130,399.30</td>\n",
+ " <td>-22.93%</td>\n",
+ " <td>35.43%</td>\n",
+ " <td>-1,520.20</td>\n",
+ " <td>6,424.14</td>\n",
+ " <td>-13,500,437.56</td>\n",
+ " </tr>\n",
+ " <tr>\n",
+ " <th>SWPTN102</th>\n",
+ " <td>Swaption</td>\n",
+ " <td>IG33 5yr</td>\n",
+ " <td>100,000,000.00</td>\n",
+ " <td>45.12</td>\n",
+ " <td>57.5</td>\n",
+ " <td>Short</td>\n",
+ " <td>payer</td>\n",
+ " <td>2020-04-15</td>\n",
+ " <td>55.99%</td>\n",
+ " <td>-86,043.53</td>\n",
+ " <td>-28.92%</td>\n",
+ " <td>-27.46%</td>\n",
+ " <td>1,137.31</td>\n",
+ " <td>-3,432.55</td>\n",
+ " <td>-8,516,333.11</td>\n",
+ " </tr>\n",
+ " <tr>\n",
+ " <th>SWPTN104</th>\n",
+ " <td>Swaption</td>\n",
+ " <td>IG33 5yr</td>\n",
+ " <td>200,000,000.00</td>\n",
+ " <td>45.12</td>\n",
+ " <td>57.5</td>\n",
+ " <td>Short</td>\n",
+ " <td>payer</td>\n",
+ " <td>2020-04-15</td>\n",
+ " <td>55.99%</td>\n",
+ " <td>-172,087.07</td>\n",
+ " <td>-28.92%</td>\n",
+ " <td>-27.46%</td>\n",
+ " <td>2,274.63</td>\n",
+ " <td>-6,865.09</td>\n",
+ " <td>-17,032,666.22</td>\n",
+ " </tr>\n",
+ " <tr>\n",
+ " <th>SWPTN100</th>\n",
+ " <td>Swaption</td>\n",
+ " <td>IG33 5yr</td>\n",
+ " <td>200,000,000.00</td>\n",
+ " <td>45.12</td>\n",
+ " <td>60.0</td>\n",
+ " <td>Short</td>\n",
+ " <td>payer</td>\n",
+ " <td>2020-04-15</td>\n",
+ " <td>58.42%</td>\n",
+ " <td>-147,765.75</td>\n",
+ " <td>-24.99%</td>\n",
+ " <td>-24.50%</td>\n",
+ " <td>2,198.93</td>\n",
+ " <td>-6,373.46</td>\n",
+ " <td>-14,714,847.97</td>\n",
+ " </tr>\n",
+ " <tr>\n",
+ " <th>SWPTN105</th>\n",
+ " <td>Swaption</td>\n",
+ " <td>IG33 5yr</td>\n",
+ " <td>200,000,000.00</td>\n",
+ " <td>45.12</td>\n",
+ " <td>42.5</td>\n",
+ " <td>Long</td>\n",
+ " <td>receiver</td>\n",
+ " <td>2020-05-20</td>\n",
+ " <td>41.20%</td>\n",
+ " <td>161,429.07</td>\n",
+ " <td>-23.06%</td>\n",
+ " <td>29.16%</td>\n",
+ " <td>-1,309.02</td>\n",
+ " <td>7,595.96</td>\n",
+ " <td>-13,577,001.50</td>\n",
+ " </tr>\n",
+ " <tr>\n",
+ " <th>SWPTN106</th>\n",
+ " <td>Swaption</td>\n",
+ " <td>IG33 5yr</td>\n",
+ " <td>200,000,000.00</td>\n",
+ " <td>45.12</td>\n",
+ " <td>60.0</td>\n",
+ " <td>Short</td>\n",
+ " <td>payer</td>\n",
+ " <td>2020-05-20</td>\n",
+ " <td>56.55%</td>\n",
+ " <td>-229,470.13</td>\n",
+ " <td>-31.54%</td>\n",
+ " <td>-23.91%</td>\n",
+ " <td>2,020.49</td>\n",
+ " <td>-8,542.41</td>\n",
+ " <td>-18,570,543.35</td>\n",
+ " </tr>\n",
+ " </tbody>\n",
+ "</table>"
+ ],
+ "text/plain": [
+ "Portfolio 2020-01-22\n",
+ "\n",
+ " Product Index Notional Ref Strike Direction Type Expiry Vol \\\n",
+ "ids \n",
+ "SWPTN91 Swaption IG33 5yr 200,000,000.00 45.13 45.0 Long receiver 2020-02-19 40.74% \n",
+ "SWPTN92 Swaption IG33 5yr 200,000,000.00 45.13 65.0 Short payer 2020-02-19 75.62% \n",
+ "SWPTN97 Swaption IG33 5yr 200,000,000.00 45.13 42.5 Long receiver 2020-03-18 38.45% \n",
+ "SWPTN107 Swaption IG33 5yr 200,000,000.00 45.13 42.5 Long receiver 2020-03-18 38.45% \n",
+ "SWPTN108 Swaption IG33 5yr 200,000,000.00 45.13 55.0 Short payer 2020-03-18 54.75% \n",
+ "SWPTN98 Swaption IG33 5yr 200,000,000.00 45.13 57.5 Short payer 2020-03-18 57.96% \n",
+ "SWPTN93 Swaption IG33 5yr 300,000,000.00 45.13 62.5 Short payer 2020-03-18 63.80% \n",
+ "SWPTN103 Swaption IG33 5yr 200,000,000.00 45.13 42.5 Long receiver 2020-04-15 39.95% \n",
+ "SWPTN101 Swaption IG33 5yr 100,000,000.00 45.13 42.5 Long receiver 2020-04-15 39.95% \n",
+ "SWPTN99 Swaption IG33 5yr 200,000,000.00 45.12 42.5 Long receiver 2020-04-15 39.96% \n",
+ "SWPTN102 Swaption IG33 5yr 100,000,000.00 45.12 57.5 Short payer 2020-04-15 55.99% \n",
+ "SWPTN104 Swaption IG33 5yr 200,000,000.00 45.12 57.5 Short payer 2020-04-15 55.99% \n",
+ "SWPTN100 Swaption IG33 5yr 200,000,000.00 45.12 60.0 Short payer 2020-04-15 58.42% \n",
+ "SWPTN105 Swaption IG33 5yr 200,000,000.00 45.12 42.5 Long receiver 2020-05-20 41.20% \n",
+ "SWPTN106 Swaption IG33 5yr 200,000,000.00 45.12 60.0 Short payer 2020-05-20 56.55% \n",
+ "\n",
+ " PV Delta Gamma Theta Vega HY Equiv \n",
+ "ids \n",
+ "SWPTN91 150,061.67 -37.06% 66.00% -3,327.79 4,576.20 -21,825,100.50 \n",
+ "SWPTN92 -20,633.56 -6.40% -13.42% 1,809.79 -1,399.72 -3,765,995.13 \n",
+ "SWPTN97 96,216.26 -21.68% 43.36% -1,761.48 5,166.44 -12,768,492.88 \n",
+ "SWPTN107 96,216.26 -21.68% 43.36% -1,761.48 5,166.44 -12,768,492.88 \n",
+ "SWPTN108 -123,985.48 -26.66% -32.67% 2,590.27 -5,340.77 -15,699,000.27 \n",
+ "SWPTN98 -101,557.29 -21.92% -27.94% 2,453.43 -4,793.54 -12,910,454.18 \n",
+ "SWPTN93 -107,301.85 -15.41% -20.60% 3,231.38 -5,769.27 -13,613,875.38 \n",
+ "SWPTN103 130,102.18 -22.89% 35.40% -1,518.80 6,419.89 -13,477,124.52 \n",
+ "SWPTN101 65,051.09 -22.89% 35.40% -759.40 3,209.94 -6,738,562.26 \n",
+ "SWPTN99 130,399.30 -22.93% 35.43% -1,520.20 6,424.14 -13,500,437.56 \n",
+ "SWPTN102 -86,043.53 -28.92% -27.46% 1,137.31 -3,432.55 -8,516,333.11 \n",
+ "SWPTN104 -172,087.07 -28.92% -27.46% 2,274.63 -6,865.09 -17,032,666.22 \n",
+ "SWPTN100 -147,765.75 -24.99% -24.50% 2,198.93 -6,373.46 -14,714,847.97 \n",
+ "SWPTN105 161,429.07 -23.06% 29.16% -1,309.02 7,595.96 -13,577,001.50 \n",
+ "SWPTN106 -229,470.13 -31.54% -23.91% 2,020.49 -8,542.41 -18,570,543.35 "
+ ]
+ },
+ "execution_count": 3,
+ "metadata": {},
+ "output_type": "execute_result"
+ }
+ ],
"source": [
- "portf = get_swaption_portfolio(datetime.date.today(), conn, source_list=['GS'])\n",
+ "portf = get_swaption_portfolio(value_date, conn, source_list=[\"GS\"])\n",
"portf"
]
},
{
"cell_type": "code",
- "execution_count": null,
+ "execution_count": 4,
"metadata": {},
"outputs": [],
"source": [
@@ -51,20 +416,77 @@
},
{
"cell_type": "code",
- "execution_count": null,
+ "execution_count": 5,
"metadata": {},
"outputs": [],
"source": [
"hedges = pd.read_sql_query(\"SELECT security_desc, notional FROM list_cds_positions_by_strat(%s) \"\n",
" \"WHERE folder in ('IGOPTDEL', 'HYOPTDEL')\",\n",
- " conn, params=(datetime.date.today(),))"
+ " conn, params=(value_date,))"
]
},
{
"cell_type": "code",
- "execution_count": null,
+ "execution_count": 6,
"metadata": {},
- "outputs": [],
+ "outputs": [
+ {
+ "data": {
+ "text/html": [
+ "<div>\n",
+ "<style scoped>\n",
+ " .dataframe tbody tr th:only-of-type {\n",
+ " vertical-align: middle;\n",
+ " }\n",
+ "\n",
+ " .dataframe tbody tr th {\n",
+ " vertical-align: top;\n",
+ " }\n",
+ "\n",
+ " .dataframe thead th {\n",
+ " text-align: right;\n",
+ " }\n",
+ "</style>\n",
+ "<table border=\"1\" class=\"dataframe\">\n",
+ " <thead>\n",
+ " <tr style=\"text-align: right;\">\n",
+ " <th></th>\n",
+ " <th>current hedge</th>\n",
+ " <th>current_delta</th>\n",
+ " <th>gamma</th>\n",
+ " <th>net_delta</th>\n",
+ " </tr>\n",
+ " <tr>\n",
+ " <th>Index</th>\n",
+ " <th></th>\n",
+ " <th></th>\n",
+ " <th></th>\n",
+ " <th></th>\n",
+ " </tr>\n",
+ " </thead>\n",
+ " <tbody>\n",
+ " <tr>\n",
+ " <th>IG33 5yr</th>\n",
+ " <td>681,400,000.00</td>\n",
+ " <td>-677,507,134.07</td>\n",
+ " <td>151,731,367.46</td>\n",
+ " <td>3,892,865.93</td>\n",
+ " </tr>\n",
+ " </tbody>\n",
+ "</table>\n",
+ "</div>"
+ ],
+ "text/plain": [
+ " current hedge current_delta gamma net_delta\n",
+ "Index \n",
+ "IG33 5yr 681,400,000.00 -677,507,134.07 151,731,367.46 3,892,865.93"
+ ]
+ },
+ "execution_count": 6,
+ "metadata": {},
+ "output_type": "execute_result"
+ }
+ ],
"source": [
"def f(s):\n",
" l = s.split(\" \")\n",
@@ -81,6 +503,26 @@
},
{
"cell_type": "code",
+ "execution_count": 7,
+ "metadata": {},
+ "outputs": [
+ {
+ "data": {
+ "text/plain": [
+ "5758.050875686662"
+ ]
+ },
+ "execution_count": 7,
+ "metadata": {},
+ "output_type": "execute_result"
+ }
+ ],
+ "source": [
+ "portf.theta"
+ ]
+ },
+ {
+ "cell_type": "code",
"execution_count": null,
"metadata": {},
"outputs": [],
@@ -103,7 +545,7 @@
"name": "python",
"nbconvert_exporter": "python",
"pygments_lexer": "ipython3",
- "version": "3.7.3"
+ "version": "3.8.1"
}
},
"nbformat": 4,
generated by cgit v1.2.3-70-g09d2 (git 2.52.0) at 2025-12-23 06:22:05 +0000