diff options
Diffstat (limited to 'python/reto.py')
| -rw-r--r-- | python/reto.py | 14 |
1 files changed, 12 insertions, 2 deletions
diff --git a/python/reto.py b/python/reto.py index 6350a0a3..36a9a345 100644 --- a/python/reto.py +++ b/python/reto.py @@ -26,13 +26,23 @@ def parse_args(): return parser.parse_args() +def vol_surface(portf, try_days_back): + for source in ("BAML", "GS", "MS", "JPM"): + try: + vol_surface = generate_vol_surface(portf, 10, source) + except IndexError: + pass + else: + return vol_surface + + def gen_spreads(shock_date, fund): Trade.init_ontr(shock_date) ana._local = False spread_shock = np.array([-100.0, -25.0, 1.0, +25.0, 100.0, 200.0, 500, 1000]) spread_shock /= Trade._ontr["HY"].spread portf, _ = build_portfolio(shock_date, shock_date, fund) - vol_surface = generate_vol_surface(portf, 10, "BAML") + vol_surface = generate_vol_surface(portf, 10) portf.reset_pv() scens = run_portfolio_scenarios( portf, @@ -83,7 +93,7 @@ def gen_spreads(shock_date, fund): for i, g in scens.groupby(level="scen_type", axis=1): temp = g.groupby(level="strategy", axis=1).sum() for key, item in strategies.items(): - exist_columns = set(temp.columns).intersection(item) + exist_columns = list(set(temp.columns).intersection(item)) temp[key] = temp[exist_columns].sum(axis=1) temp.drop(exist_columns, axis=1, inplace=True) temp["total"] = temp.sum(axis=1) |