1 files changed, 25 insertions, 11 deletions
diff --git a/python/notebooks/Curve Trades.ipynb b/python/notebooks/Curve Trades.ipynb
index 05b05f89..28c62bd9 100644
--- a/python/notebooks/Curve Trades.ipynb
+++ b/python/notebooks/Curve Trades.ipynb
@@ -16,7 +16,9 @@
     "from ipywidgets import widgets\n",
     "from analytics.scenarios import run_curve_scenarios\n",
     "from scipy.optimize import brentq\n",
-    "from db import dbengine"
+    "from utils.db import dbengine\n",
+    "\n",
+    "%matplotlib inline"
    ]
   },
   {
@@ -41,7 +43,7 @@
    "outputs": [],
    "source": [
     "index = w.value\n",
-    "report_date = (pd.datetime.today() - pd.offsets.BDay(5)).date()"
+    "report_date = (pd.datetime.today() - pd.offsets.BDay(1)).date()"
    ]
   },
   {
@@ -123,13 +125,13 @@
     "    cum_ret = (ret+1).cumprod()\n",
     "    return cum_ret[col_a][-1] - cum_ret[col_b + ' lev'][-1]\n",
     "\n",
-    "curve_lev = brentq(aux, 0.01, 3 * lev, args=(ret, '5yr long lev', '3-5-10'))\n",
+    "curve_lev = brentq(aux, 0.01, 3 * lev, args=(ret, '5yr long lev', '5-10'))\n",
     "other_lev = brentq(aux, 0.01, 3 * lev, args=(ret, '5yr long lev', col_name))\n",
     "\n",
-    "ret['3-5-10 lev'] = curve_lev * ret['3-5-10']\n",
+    "ret['5-10 lev'] = curve_lev * ret['5-10']\n",
     "ret[col_name + ' lev'] = other_lev * ret[col_name]\n",
     "cum_ret = (ret+1).cumprod()\n",
-    "cum_ret_ax = cum_ret[['5yr long lev', '3-5-10 lev', col_name + ' lev']].plot()\n",
+    "cum_ret_ax = cum_ret[['5yr long lev', '5-10 lev', col_name + ' lev']].plot()\n",
     "cum_ret_ax.figure.savefig(\"/home/serenitas/edwin/PythonGraphs/curve_trades_cum_return.png\", bbox_inches='tight')"
    ]
   },
@@ -277,10 +279,10 @@
    "outputs": [],
    "source": [
     "#plot steepness scenario at current spread\n",
-    "df_plot = df.set_index(['spread', 'curve_per'], append=True)\n",
-    "df_plot = df_plot.xs(round(spread_df.iloc[0][0], 2), level = 'spread')\n",
-    "df_plot.name = 'pnl'\n",
-    "g.plot_color_map(df_plot, spread_range)"
+    "#df_plot = df.set_index(['spread', 'curve_per'], append=True)\n",
+    "#df_plot = df_plot.xs(round(spread_df.iloc[0][0], 2), level = 'spread')\n",
+    "#df_plot.name = 'pnl'\n",
+    "#g.plot_color_map(df_plot, spread_range)"
    ]
   },
   {
@@ -364,6 +366,18 @@
    "execution_count": null,
    "metadata": {},
    "outputs": [],
+   "source": [
+    "from exploration.VaR import hist_var\n",
+    "IG = ct.curve_pos(report_date, 'IG')\n",
+    "ITRX = ct.curve_pos(report_date, 'EU')\n",
+    "VaR = hist_var(IG, 'IG') + hist_var(ITRX, 'EU')"
+   ]
+  },
+  {
+   "cell_type": "code",
+   "execution_count": null,
+   "metadata": {},
+   "outputs": [],
    "source": []
   }
  ],
@@ -383,9 +397,9 @@
    "name": "python",
    "nbconvert_exporter": "python",
    "pygments_lexer": "ipython3",
-   "version": "3.7.1"
+   "version": "3.7.3"
   }
  },
  "nbformat": 4,
- "nbformat_minor": 2
+ "nbformat_minor": 4
 }