diff options
Diffstat (limited to 'python/thetas-durations.py')
| -rw-r--r-- | python/thetas-durations.py | 7 |
1 files changed, 5 insertions, 2 deletions
diff --git a/python/thetas-durations.py b/python/thetas-durations.py index 89d477e2..feffc869 100644 --- a/python/thetas-durations.py +++ b/python/thetas-durations.py @@ -15,6 +15,7 @@ tenors = { "HY": ("3yr", "5yr", "7yr"), "EU": ("3yr", "5yr", "7yr", "10yr"), "XO": ("3yr", "5yr", "7yr", "10yr"), + "HYBB": ("5yr",), } sql_str = "INSERT INTO index_risk VALUES(%s, %s, %s)" @@ -57,14 +58,16 @@ def index_pv(fl, cl, value_date, step_in_date, cash_settle_date, yc, sc, recover if __name__ == "__main__": conn = serenitas_engine.raw_connection() - for index in ["IG", "HY", "EU", "XO"]: - if index in ["HY", "XO"]: + for index in ["IG", "HY", "EU", "XO", "HYBB"]: + if index in ["HY", "HYBB"]: recoveries = np.full(len(tenors[index]), 0.3) else: recoveries = np.full(len(tenors[index]), 0.4) for series in range(18, 34): if index in ["EU", "XO"] and series == 33: continue + if index == "HYBB" and series != 33: + continue fee_legs, contingent_legs, df = get_legs(index, series, tenors[index]) index_quotes = pd.read_sql_query( |