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Diffstat (limited to 'python/reto.py')
| -rw-r--r-- | python/reto.py | 17 |
1 files changed, 16 insertions, 1 deletions
diff --git a/python/reto.py b/python/reto.py index 6bc16940..082d1f13 100644 --- a/python/reto.py +++ b/python/reto.py @@ -39,8 +39,17 @@ def vol_surface(portf, try_days_back): 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 = np.array([-25.0, 1.0, +25.0, 100.0, 200.0, 500, 1000]) spread_shock /= Trade._ontr["HY"].spread + # Add in 2020 HY Wides, 2021 HY Tights, 2022 HY Wides scenarios + spread_shock = np.append( + spread_shock, + [ + (872 / Trade._ontr["HY"].spread - 1), + (269 / Trade._ontr["HY"].spread - 1), + (626 / Trade._ontr["HY"].spread - 1), + ], + ) portf, _ = build_portfolio(shock_date, shock_date, fund) vol_surface = generate_vol_surface(portf, 10) portf.reset_pv() @@ -99,6 +108,12 @@ def gen_spreads(shock_date, fund): temp["total"] = temp.sum(axis=1) results[i] = temp results = pd.concat(results) + results.index.set_levels( + results.index.levels[results.index.names.index("spread_shock")] + * Trade._ontr["HY"].spread, + level="spread_shock", + inplace=True, + ) return results |