diff options
Diffstat (limited to 'python')
| -rw-r--r-- | python/notebooks/risk_sabo.ipynb | 26 |
1 files changed, 4 insertions, 22 deletions
diff --git a/python/notebooks/risk_sabo.ipynb b/python/notebooks/risk_sabo.ipynb index dd2cb9f1..d4e1bc9b 100644 --- a/python/notebooks/risk_sabo.ipynb +++ b/python/notebooks/risk_sabo.ipynb @@ -29,7 +29,8 @@ "position_date = (datetime.date.today() - MonthEnd(1)).date()\n", "spread_date = position_date\n", "analytics._local = False\n", - "analytics.init_ontr(spread_date)" + "analytics.init_ontr(spread_date)\n", + "path = '/home/serenitas/Daily/Risk/'" ] }, { @@ -49,26 +50,7 @@ " vol_shock=[0.0],\n", " corr_shock=[0.0],\n", " vol_surface=vol_surface)\n", - "\n", - "pnl = scens.xs('pnl', axis=1, level=2)\n", - "pnl = pnl.xs((0.0, 0.0), level=['vol_shock', 'corr_shock'])\n", - "\n", - "scenarios = (pnl.\n", - " reset_index(level=['date'], drop=True).\n", - " groupby(level=0, axis=1).sum())\n", - "\n", - "options = ['HYOPTDEL', 'HYPAYER', 'HYREC', 'IGOPTDEL', 'IGPAYER', 'IGREC']\n", - "tranches = ['HYMEZ', 'HYINX', 'HYEQY', 'IGMEZ', 'IGINX', 'IGEQY', 'IGSNR', 'IGINX', 'BSPK', 'XOMEZ', 'XOINX', 'EUMEZ']\n", - "hedges = ['HEDGE_CLO', 'HEDGE_MAC', 'HEDGE_MBS']\n", - "\n", - "synthetic =pd.DataFrame()\n", - "synthetic['options'] = scenarios[set(scenarios.columns).intersection(options)].sum(axis=1)\n", - "synthetic['tranches'] = scenarios[set(scenarios.columns).intersection(tranches)].sum(axis=1)\n", - "synthetic['curve_trades'] = scenarios['curve_trades']\n", - "synthetic['total'] = synthetic.sum(axis = 1)\n", - "nav = go.get_net_navs()\n", - "scenarios.sum(axis=1)\n", - "scenarios.sum(axis=1).to_clipboard()" + "scens.sum(axis=1).to_csv(path+'csscen_'+position_date.strftime(\"%Y%m%d\")+'.csv')" ] }, { @@ -94,7 +76,7 @@ "jump = pd.concat([pd.concat(jtd_t), pd.concat(jtd_i)])\n", "jump = jump.merge(ref_names, left_index=True, right_index=True)\n", "jump = jump.groupby('referenceentity').agg({'spread': np.mean, 'jtd': np.sum}).sort_values(by='jtd', ascending=True)\n", - "jump.to_clipboard()" + "jump.to_csv(path+'jtd_'+position_date.strftime(\"%Y%m%d\")+'.csv')" ] }, { |