diff options
Diffstat (limited to 'python')
| -rw-r--r-- | python/reto.py | 4 | ||||
| -rw-r--r-- | python/risk/portfolio.py | 9 |
2 files changed, 11 insertions, 2 deletions
diff --git a/python/reto.py b/python/reto.py index f3708390..94e259f2 100644 --- a/python/reto.py +++ b/python/reto.py @@ -16,7 +16,9 @@ def gen_shocks(portf, shock_date, fund): # Add in 2020 HY Wides, 2021 HY Tights, 2022 HY Wides scenarios historic_spreads = np.array([872, 269, 626]) spread_shock = np.append(spread_shock, historic_spreads / ontr_spread - 1.0) - vol_surface = generate_vol_surface(portf, lookback=10, source="BAML") + vol_surface = generate_vol_surface( + portf, lookback=10, source_list=["BAML", "MS", "JPM"] + ) scens = run_portfolio_scenarios( portf, date_range=[pd.Timestamp(shock_date)], diff --git a/python/risk/portfolio.py b/python/risk/portfolio.py index 8f438287..8ea8001e 100644 --- a/python/risk/portfolio.py +++ b/python/risk/portfolio.py @@ -90,7 +90,7 @@ def build_portfolio(position_date, value_date, fund="SERCGMAST"): return portf, syn_portf -def generate_vol_surface(portf, lookback=5, source="MS"): +def generate_vol_surface(portf, lookback=5, source_list=["MS"]): vol_surface = {} for trade in portf.swaptions: @@ -115,6 +115,13 @@ def generate_vol_surface(portf, lookback=5, source="MS"): logger.info(f"Trying {portf.value_date - BDay(i)}") else: break + for source in source_list: + if len(vs.list(source, option_type)) >= 1: + break + else: + raise MissingDataError( + f"{type(vs).__name__}: No quote for type {option_type} and date {portf.value_date}" + ) vol_surface[k] = vs[vs.list(source=source, option_type=option_type)[-1]] return vol_surface |