1 files changed, 30 insertions, 4 deletions
diff --git a/python/notebooks/tranche and swaption portfolio strategy.ipynb b/python/notebooks/tranche and swaption portfolio strategy.ipynb
index c0355fb0..e3f5ea1f 100644
--- a/python/notebooks/tranche and swaption portfolio strategy.ipynb
+++ b/python/notebooks/tranche and swaption portfolio strategy.ipynb
@@ -14,7 +14,7 @@
     "from analytics.scenarios import run_tranche_scenarios, run_portfolio_scenarios, run_tranche_scenarios_rolldown\n",
     "from analytics import Swaption, BlackSwaption, CreditIndex, BlackSwaptionVolSurface, Portfolio, ProbSurface\n",
     "from analytics import DualCorrTranche\n",
-    "from db import dbconn\n",
+    "from utils.db import dbconn\n",
     "from datetime import date\n",
     "from graphics import plot_color_map\n",
     "\n",
@@ -475,7 +475,33 @@
    "execution_count": null,
    "metadata": {},
    "outputs": [],
-   "source": []
+   "source": [
+    "#Selwood strategy - March 2019, long 20bn tranches, short 12 bn options\n",
+    "index = 'EU'\n",
+    "series = 30\n",
+    "ss = DualCorrTranche(index, series, '5yr', attach=12, detach=100, corr_attach=.53, \n",
+    "                             corr_detach=.99, tranche_running=100, notional=-20000000000)\n",
+    "index_1 = 'IG'\n",
+    "series_1 = 32\n",
+    "option_delta = CreditIndex(index_1, series_1, '5yr') \n",
+    "option_delta.spread = 66\n",
+    "option1 = BlackSwaption(option_delta, datetime.date(2019, 6, 19), 120, option_type=\"payer\") \n",
+    "option1.sigma = .7\n",
+    "option1.notional = 12_000_000_000 \n",
+    "option1.direction = 'Long' \n",
+    "portf = Portfolio([ss, option1], trade_ids=['ss', 'opt1'])\n",
+    "portf.reset_pv()\n",
+    "spread_shock = np.round(np.arange(-.2, 1, .025), 3)\n",
+    "scens = run_portfolio_scenarios(portf, date_range, params=['pnl', 'delta'],\n",
+    "                                spread_shock=spread_shock,\n",
+    "                                vol_shock=vol_shock,\n",
+    "                                corr_shock=[0],\n",
+    "                                vol_surface=vol_surface)\n",
+    "\n",
+    "scens = scens.xs((0,0), level=['vol_shock', 'corr_shock'])\n",
+    "pnl = scens.xs('pnl', axis=1, level=1)\n",
+    "delta = scens.xs('delta', axis=1, level=1)\n"
+   ]
   }
  ],
  "metadata": {
@@ -494,9 +520,9 @@
    "name": "python",
    "nbconvert_exporter": "python",
    "pygments_lexer": "ipython3",
-   "version": "3.7.1"
+   "version": "3.8.0"
   }
  },
  "nbformat": 4,
- "nbformat_minor": 2
+ "nbformat_minor": 4
 }