diff options
Diffstat (limited to 'python/risk')
| -rw-r--r-- | python/risk/bonds.py | 6 |
1 files changed, 4 insertions, 2 deletions
diff --git a/python/risk/bonds.py b/python/risk/bonds.py index b0af1767..0f398bcf 100644 --- a/python/risk/bonds.py +++ b/python/risk/bonds.py @@ -5,6 +5,8 @@ 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 class AssetClass(Enum): @@ -232,7 +234,7 @@ def get_portfolio(date, conn, asset_class: AssetClass, fund="SERCGMAST"): def crt_risk(date, dawn_conn, crt_engine, fund="SERCGMAST"): - analytics.init_ontr(date, ("HY", "IG")) + hy_ontr = CreditIndex("HY", on_the_run("HY", date), "5yr", date) yc = YC(evaluation_date=date) df = get_portfolio(date, dawn_conn, AssetClass.CRT, fund) scen = { @@ -274,7 +276,7 @@ def crt_risk(date, dawn_conn, crt_engine, fund="SERCGMAST"): curr_ntl=df.notional * df.factor, hy_equiv=( df.modDur - / analytics._ontr["HY"].risky_annuity + / hy_ontr.risky_annuity * analytics._beta["CRT"] * df.notional * df.factor |