diff options
Diffstat (limited to 'python/notebooks')
| -rw-r--r-- | python/notebooks/VaR.ipynb | 40 |
1 files changed, 25 insertions, 15 deletions
diff --git a/python/notebooks/VaR.ipynb b/python/notebooks/VaR.ipynb index 2fa3ee1d..de2c26a1 100644 --- a/python/notebooks/VaR.ipynb +++ b/python/notebooks/VaR.ipynb @@ -28,7 +28,7 @@ "metadata": {}, "outputs": [], "source": [ - "date = (datetime.date.today() - pd.tseries.offsets.BDay(1)).date()\n", + "date = (datetime.date.today() - pd.tseries.offsets.BDay(3)).date()\n", "report_date = (date + pd.tseries.offsets.BMonthEnd(-1)).date()\n", "index_type = \"IG\"\n", "quantile = .025" @@ -127,6 +127,17 @@ "metadata": {}, "outputs": [], "source": [ + "position_date = (datetime.date.today() - pd.tseries.offsets.BDay(1)).date()\n", + "shock_date = (datetime.date.today() - pd.tseries.offsets.BDay(1)).date()\n", + "(position_date, shock_date)" + ] + }, + { + "cell_type": "code", + "execution_count": null, + "metadata": {}, + "outputs": [], + "source": [ "#Current tranche and swaptions positions\n", "t_sql_string = (\"SELECT id, sum(notional * case when protection='Buyer' then -1 else 1 end) \"\n", " \"OVER (partition by security_id, attach) AS ntl_agg \"\n", @@ -142,19 +153,19 @@ " \"AND trade_date <= %s\")\n", "with conn.cursor() as c:\n", " #Get Tranche Trade Ids\n", - " c.execute(t_sql_string, (date,))\n", + " c.execute(t_sql_string, (position_date,))\n", " t_trade_ids = [dealid for dealid, ntl in c if ntl != 0]\n", " #Get Swaption Trade Ids\n", - " c.execute(swaption_sql_string, (date, date))\n", + " c.execute(swaption_sql_string, (position_date, position_date))\n", " swaption_trades = c.fetchall()\n", " #Get Index/deltas Trade Ids\n", - " c.execute(index_sql_string, (date,))\n", + " c.execute(index_sql_string, (position_date,))\n", " index_trade_ids = [dealid for dealid, ntl in c if ntl != 0]\n", " \n", "portf = Portfolio([DualCorrTranche.from_tradeid(dealid) for dealid in t_trade_ids],\n", " t_trade_ids)\n", "for row in swaption_trades:\n", - " option_delta = CreditIndex(row[1].split()[1], row[1].split()[3][1:], '5yr', date)\n", + " option_delta = CreditIndex(row[1].split()[1], row[1].split()[3][1:], '5yr', position_date)\n", " option_delta.mark()\n", " portf.add_trade(BlackSwaption.from_tradeid(row[0], option_delta), 'opt_' + str(row[0]))\n", "for index_id in index_trade_ids:\n", @@ -162,30 +173,29 @@ " \n", "#Update manually - positive notional = long risk\n", "non_trancheSwap_risk_notional = 49119912 \n", - "\n", - "portf.add_trade(CreditIndex('HY', on_the_run('HY'), '5yr', value_date = date, notional = -non_trancheSwap_risk_notional), 'bond')\n", + "portf.add_trade(CreditIndex('HY', on_the_run('HY'), '5yr', value_date = shock_date, notional = -non_trancheSwap_risk_notional), 'bond')\n", " \n", - "portf.value_date = date\n", + "portf.value_date = shock_date\n", "portf.mark(interp_method=\"bivariate_linear\")\n", "portf.reset_pv()\n", "\n", "vol_surface = {}\n", "for trade in portf.swaptions:\n", " vs = BlackSwaptionVolSurface(trade.index.index_type, trade.index.series, \n", - " value_date=date, interp_method = \"bivariate_linear\")\n", + " value_date=shock_date, interp_method = \"bivariate_linear\")\n", " vol_surface[trade.index.index_type + trade.index.series] = vs[vs.list(option_type='payer')[-1]]\n", "vol_shock = [0]\n", "corr_shock = [0]\n", - "spread_shock = widen + tighten\n", - "date_range = [pd.Timestamp(date)]\n", + "spread_shock = tighten + [0] + widen\n", + "date_range = [pd.Timestamp(shock_date)]\n", "\n", - "scens = run_portfolio_scenarios(portf, date_range, params=[\"pnl\"],\n", + "scens = run_portfolio_scenarios(portf, date_range, params=[\"pnl\", \"hy_equiv\"],\n", " spread_shock=spread_shock,\n", " vol_shock=vol_shock,\n", " corr_shock=corr_shock,\n", " vol_surface=vol_surface)\n", "\n", - "scens.sum(axis=1)" + "scens.xs('pnl', level=1).sum(axis=1)" ] }, { @@ -202,8 +212,8 @@ " vol_surface=vol_surface)\n", "scens.sum(axis=1)\n", "\n", - "risk_notional = [t.notional * t._index.duration for t in portf.indices]\n", - "portf.trades[0]._index.duration()" + "#risk_notional = [t.notional * t._index.duration for t in portf.indices]\n", + "#portf.trades[0]._index.duration()" ] }, { |