diff options
Diffstat (limited to 'python/reto.py')
| -rw-r--r-- | python/reto.py | 4 |
1 files changed, 0 insertions, 4 deletions
diff --git a/python/reto.py b/python/reto.py index 7ba2bb86..bc6f978b 100644 --- a/python/reto.py +++ b/python/reto.py @@ -2,7 +2,6 @@ import datetime import argparse import warnings import logging -from copy import deepcopy import pandas as pd import numpy as np @@ -18,7 +17,6 @@ from serenitas.utils.pool import serenitas_pool def gen_shocks(portf, shock_date, fund): - portf = deepcopy(portf) Trade.init_ontr(shock_date) ana._local = False ontr_spread = Trade._ontr["HY"].spread @@ -28,7 +26,6 @@ def gen_shocks(portf, shock_date, fund): historic_spreads = np.array([872, 269, 626]) spread_shock = np.append(spread_shock, historic_spreads / ontr_spread - 1.0) vol_surface = generate_vol_surface(portf, lookback=10, source="BAML") - portf.reset_pv() scens = run_portfolio_scenarios( portf, date_range=[pd.Timestamp(shock_date)], @@ -110,7 +107,6 @@ def get_survival_curves(date): def gen_jtd(portf, survival_curves): - portf = deepcopy(portf) jtd = portf.jtd_single_names() jtd = jtd[[jtd.columns[0]]].join(survival_curves) jtd.columns = ["jtd", "name", "company_id", "5yr_spread"] |