1 files changed, 64 insertions, 0 deletions
diff --git a/python/risk/tranches.py b/python/risk/tranches.py
index 4647ce0c..2040b494 100644
--- a/python/risk/tranches.py
+++ b/python/risk/tranches.py
@@ -1,8 +1,11 @@
 import numpy as np
 from pyisda.date import cds_accrued
 from serenitas.analytics.api import Portfolio, DualCorrTranche
+from serenitas.analytics.index import BasketIndex
+from serenitas.analytics.index_data import hist_skews, on_the_run
 from serenitas.analytics.dates import prev_business_day
 from serenitas.analytics.utils import get_fx
+from serenitas.analytics.yieldcurve import get_curve, hist_curves
 import logging
 
 logger = logging.getLogger(__name__)
@@ -243,3 +246,64 @@ def insert_tranche_risk(portf, conn):
             )
 
     conn.commit()
+
+
+def skew_diff(prev_skew, curr_skew) -> dict[str, int]:
+    r = {}
+    for index, skews in curr_skew.items():
+        prev_skews = prev_skew[index]
+        for serie, (otr, skew) in skews.items():
+            if serie in prev_skews:
+                dS = skew - prev_skews[serie][1]
+                r[index, otr] = dS
+    return r
+
+
+def VaR(conn, portf: Portfolio, quantile=0.05, years: int = 5):
+    """let's do IR VaR for now"""
+    value_date = portf.value_date
+    curves = (
+        hist_curves("USD", delta_in_years=years),
+        hist_curves("EUR", delta_in_years=years),
+    )
+    skew_hist = hist_skews(conn, end_date=value_date, lookback=years)
+    yc_hist = []
+    for (d1, c1), (d2, c2) in zip(*curves):
+        if d1 != d2:
+            raise ValueError()
+        else:
+            yc_hist.append((d1, c1, c2))
+
+    orig_usd, orig_eur = get_curve(value_date, "USD"), get_curve(value_date, "EUR")
+    l = []
+    d = []
+    otr = {k: on_the_run(k, value_date) for k in ("EU", "XO", "IG", "HY")}
+    skew_prev = yc_hist[0][0]
+    for prev, curr in zip(yc_hist, yc_hist[1:]):
+        d_curr, curr_usd, curr_eur = curr
+        d_prev, prev_usd, prev_eur = prev
+        if not skew_hist[d_curr]:
+            dS = None
+            skew_prev = d_prev
+        else:
+            dS = skew_diff(skew_hist[skew_prev], skew_hist[d_curr])
+            skew_prev = d_curr
+        print(d_curr)
+        usd_shock = curr_usd - prev_usd
+        eur_shock = curr_eur - prev_eur
+        for k, v in BasketIndex._cache.items():
+            if k[0] in ("HY", "IG"):
+                v.yc = orig_usd + usd_shock
+            elif k[0] in ("XO", "EU"):
+                v.yc = orig_eur + eur_shock
+        for t in portf.trades:
+            if dS is not None:
+                for i in range(3):
+                    v = otr[t.index_type] - t.series - i
+                    if (t.index_type, v) in dS:
+                        t.rho = (t._skew + dS[t.index_type, v])(t.moneyness)
+                        break
+            t.cs.df = t._index.yc.discount_factor(t.cs.payment_dates)
+        l.append(portf.pv)
+        d.append(d_curr)
+    return l, d