1 files changed, 66 insertions, 28 deletions
diff --git a/python/notebooks/Curve Trades.ipynb b/python/notebooks/Curve Trades.ipynb
index 1695b412..14868886 100644
--- a/python/notebooks/Curve Trades.ipynb
+++ b/python/notebooks/Curve Trades.ipynb
@@ -12,12 +12,15 @@
     "import graphics as g\n",
     "import globeop_reports as go\n",
     "import analytics.curve_trades as ct\n",
+    "import datetime\n",
     "\n",
     "from ipywidgets import widgets\n",
+    "from pandas.tseries.offsets import BDay\n",
     "from analytics.scenarios import run_curve_scenarios\n",
     "from analytics.curve_trades import curve_spread_diff, spreads_diff_table, theta_matrix_by_series\n",
     "from scipy.optimize import brentq\n",
-    "from utils.db import dbengine"
+    "from utils.db import dbengine\n",
+    "from analytics import CreditIndex"
    ]
   },
   {
@@ -42,7 +45,66 @@
    "outputs": [],
    "source": [
     "index = w.value\n",
-    "report_date = (pd.datetime.today() - pd.offsets.BDay(1)).date()"
+    "report_date = (datetime.date.today() - BDay(1)).date()"
+   ]
+  },
+  {
+   "cell_type": "code",
+   "execution_count": null,
+   "metadata": {},
+   "outputs": [],
+   "source": [
+    "index = w.value\n",
+    "model = ct.curve_model('5yr', '10yr', index=index, max_series=33)\n",
+    "model_results = ct.curve_model_results(model[0], model[1])"
+   ]
+  },
+  {
+   "cell_type": "code",
+   "execution_count": null,
+   "metadata": {},
+   "outputs": [],
+   "source": [
+    "model_results['diff'] = model_results['predicted'] - model_results['close_spread']\n",
+    "model_results"
+   ]
+  },
+  {
+   "cell_type": "code",
+   "execution_count": null,
+   "metadata": {},
+   "outputs": [],
+   "source": [
+    "model[1].summary()"
+   ]
+  },
+  {
+   "cell_type": "code",
+   "execution_count": null,
+   "metadata": {},
+   "outputs": [],
+   "source": [
+    "#HY curve trade re-ref calculator - sell protection index_1, buy protection index_2.\n",
+    "index_type = 'HY'\n",
+    "series_1 = '31'\n",
+    "series_2 = '34'\n",
+    "index_1 = CreditIndex(index_type, series_1, '5yr', datetime.date.today())\n",
+    "index_2 = CreditIndex(index_type, series_2, '5yr')\n",
+    "index_1.price = 100.75\n",
+    "index_2.price = 100.25\n",
+    "reref_2 = 99.75\n",
+    "\n",
+    "before = index_1.price - index_2.price\n",
+    "index_2.notional = index_1.notional * index_1.DV01/index_2.DV01\n",
+    "#index_1.notional = 50e6\n",
+    "#index_2.notional = 35.2e6\n",
+    "index_1.direction = 'Seller'\n",
+    "index_2.direction = 'Buyer'\n",
+    "past_pv = index_2.pv\n",
+    "index_2.price = reref_2 \n",
+    "toset = index_1.pv - (index_2.pv - past_pv)\n",
+    "index_1.pv = -toset\n",
+    "{'before': (index_1.notional, before), 're_refed': (index_2.notional, index_1.price - index_2.price)}"
    ]
   },
   {
@@ -220,38 +282,14 @@
    "execution_count": null,
    "metadata": {},
    "outputs": [],
-   "source": [
-    "model = ct.curve_model('5yr', '10yr', index='IG', max_series=33)\n",
-    "model_results = ct.curve_model_results(model[0], model[1])"
-   ]
-  },
-  {
-   "cell_type": "code",
-   "execution_count": null,
-   "metadata": {},
-   "outputs": [],
-   "source": [
-    "model_results['diff'] = model_results['predicted'] - model_results['close_spread']\n",
-    "model_results"
-   ]
-  },
-  {
-   "cell_type": "code",
-   "execution_count": null,
-   "metadata": {},
-   "outputs": [],
-   "source": [
-    "model_results.iloc[-1]"
-   ]
+   "source": []
   },
   {
    "cell_type": "code",
    "execution_count": null,
    "metadata": {},
    "outputs": [],
-   "source": [
-    "model[1].summary()"
-   ]
+   "source": []
   },
   {
    "cell_type": "code",