diff options
Diffstat (limited to 'python/risk')
| -rw-r--r-- | python/risk/bonds.py | 11 |
1 files changed, 6 insertions, 5 deletions
diff --git a/python/risk/bonds.py b/python/risk/bonds.py index 7e0de99a..4f622355 100644 --- a/python/risk/bonds.py +++ b/python/risk/bonds.py @@ -140,7 +140,7 @@ def subprime_risk(date, conn, engine, model_date=None, fund="SERCGMAST"): yc = YC(evaluation_date=date) df_calc = df_calc.assign( - bond_yield=df_calc.modDur.apply( + swap_rate=df_calc.modDur.apply( lambda x: x if np.isnan(x) else float(yc.zero_rate(x)) ), delta_ir=df_calc.delta_ir_io + df_calc.delta_ir_po, @@ -158,7 +158,7 @@ def subprime_risk(date, conn, engine, model_date=None, fund="SERCGMAST"): date=pd.Timestamp(date), ) df_calc = df_calc[(df_calc.usd_market_value != 0)] - df_calc.bond_yield += ( + df_calc["bond_yield"] = df_calc.swap_rate + ( np.log(df_calc.pv1 * df_calc.curr_ntl / df_calc.local_market_value) / df_calc.modDur ).clip(upper=1.0) @@ -265,7 +265,7 @@ def crt_risk(date, dawn_conn, crt_engine, fund="SERCGMAST"): df.rename(columns={"duration_FW": "modDur"}, inplace=True) df = df[(df.notional != 0)] df = df.assign( - bond_yield=df.modDur.apply( + swap_rate=df.modDur.apply( lambda x: x if np.isnan(x) else float(yc.zero_rate(x)) ), curr_ntl=df.notional * df.factor, @@ -277,7 +277,7 @@ def crt_risk(date, dawn_conn, crt_engine, fund="SERCGMAST"): * df.factor ), ) - df.bond_yield += df.DM / 10000 + df["bond_yield"] = df.swap_rate + df.DM / 10000 delta = pd.read_sql_query( "SELECT distinct on (strategy) " "strategy, beta_crt from beta_crt WHERE " @@ -310,9 +310,10 @@ def clo_risk(date, dawn_conn, et_conn, fund="SERCGMAST"): curr_ntl=df.notional * df.factor, hy_equiv=(df.delta * df.notional * df.factor), ) + df["swap_rate"] = float(yc.zero_rate(0.25)) df.bond_yield += ( np.log(df.curr_ntl / df.local_market_value) / df.modDur + df.curr_cpn / 100 - - float(yc.zero_rate(0.25)) + - df.swap_rate ).clip(upper=1.0) return df |