diff options
Diffstat (limited to 'python/notebooks')
| -rw-r--r-- | python/notebooks/Single Names Monitoring.ipynb | 45 |
1 files changed, 8 insertions, 37 deletions
diff --git a/python/notebooks/Single Names Monitoring.ipynb b/python/notebooks/Single Names Monitoring.ipynb index 17e0c40d..1f5643e4 100644 --- a/python/notebooks/Single Names Monitoring.ipynb +++ b/python/notebooks/Single Names Monitoring.ipynb @@ -3,11 +3,7 @@ { "cell_type": "code", "execution_count": null, - "metadata": { - "jupyter": { - "source_hidden": true - } - }, + "metadata": {}, "outputs": [], "source": [ "import pandas as pd\n", @@ -23,11 +19,7 @@ { "cell_type": "code", "execution_count": null, - "metadata": { - "jupyter": { - "source_hidden": true - } - }, + "metadata": {}, "outputs": [], "source": [ "w = widgets.Dropdown(\n", @@ -42,11 +34,7 @@ { "cell_type": "code", "execution_count": null, - "metadata": { - "jupyter": { - "source_hidden": true - } - }, + "metadata": {}, "outputs": [], "source": [ "w_1 = widgets.IntSlider(value=32, min=22, max=32, description = 'Series')\n", @@ -56,11 +44,7 @@ { "cell_type": "code", "execution_count": null, - "metadata": { - "jupyter": { - "source_hidden": true - } - }, + "metadata": {}, "outputs": [], "source": [ "value_date = (pd.datetime.today() - pd.offsets.BDay(2)).date()\n", @@ -92,11 +76,7 @@ { "cell_type": "code", "execution_count": null, - "metadata": { - "jupyter": { - "source_hidden": true - } - }, + "metadata": {}, "outputs": [], "source": [ "#Additions\n", @@ -106,20 +86,15 @@ { "cell_type": "code", "execution_count": null, - "metadata": { - "jupyter": { - "source_hidden": true - } - }, + "metadata": {}, "outputs": [], "source": [ "date_range = pd.bdate_range(value_date - 52 * pd.offsets.Week(), value_date, freq='5B')\n", "index = MarkitBasketIndex(index_type, series, ['5yr'])\n", "default_prob = {}\n", - "maturity = np.array([np.datetime64(index.maturities[0]).view('int') + 134774])\n", "for d in date_range:\n", " index.value_date = d\n", - " surv_prob, tickers = index.survival_matrix(maturity)\n", + " surv_prob, tickers = index.survival_matrix()\n", " default_prob[d] = pd.Series(1 - np.ravel(surv_prob), index=tickers)\n", "default_prob = pd.concat(default_prob)" ] @@ -127,11 +102,7 @@ { "cell_type": "code", "execution_count": null, - "metadata": { - "jupyter": { - "source_hidden": true - } - }, + "metadata": {}, "outputs": [], "source": [ "#Top 20 highest cumulative\n", |