diff options
Diffstat (limited to 'python/risk/bonds.py')
| -rw-r--r-- | python/risk/bonds.py | 14 |
1 files changed, 7 insertions, 7 deletions
diff --git a/python/risk/bonds.py b/python/risk/bonds.py index 4f622355..c9dfbdea 100644 --- a/python/risk/bonds.py +++ b/python/risk/bonds.py @@ -1,12 +1,12 @@ import pandas as pd import numpy as np -from serenitas import analytics +from serenitas.analytics.base import Trade import datetime from enum import Enum, auto from serenitas.analytics.yieldcurve import YC from serenitas.analytics.index import CreditIndex -from serenitas.analytics import on_the_run +from serenitas.analytics.index_data import on_the_run class AssetClass(Enum): @@ -85,7 +85,7 @@ def get_df(date, engine, *, zero_factor=False): def subprime_risk(date, conn, engine, model_date=None, fund="SERCGMAST"): - analytics.init_ontr(date) + Trade.init_ontr(date) if model_date is None: sql_string = ( "SELECT distinct timestamp::date FROM priced " @@ -146,11 +146,11 @@ def subprime_risk(date, conn, engine, model_date=None, fund="SERCGMAST"): delta_ir=df_calc.delta_ir_io + df_calc.delta_ir_po, # use original notional for 0 factor bonds to calc yield curr_ntl=df_calc.notional * df_calc.factor.where(df_calc.factor != 0.0, 1.0), - # assume beta and ontr is initialized from analytics + # assume beta and ontr is initialized from init_ontr hy_equiv=( df_calc.delta_yield - / analytics._ontr["HY"].risky_annuity - * analytics._beta["SUBPRIME"] + / Trade._ontr["HY"].risky_annuity + * Trade._beta["SUBPRIME"] * 1e2 * df_calc.local_market_value / df_calc.pv3 @@ -272,7 +272,7 @@ def crt_risk(date, dawn_conn, crt_engine, fund="SERCGMAST"): hy_equiv=( df.modDur / hy_ontr.risky_annuity - * analytics._beta["CRT"] + * Trade._beta["CRT"] * df.notional * df.factor ), |