diff options
Diffstat (limited to 'python')
| -rw-r--r-- | python/exploration/test_scenarios.py | 21 |
1 files changed, 21 insertions, 0 deletions
diff --git a/python/exploration/test_scenarios.py b/python/exploration/test_scenarios.py new file mode 100644 index 00000000..f48a8d8d --- /dev/null +++ b/python/exploration/test_scenarios.py @@ -0,0 +1,21 @@ +import numpy as np +import pandas as pd +from analytics import Index, BlackSwaption, Portfolio, BlackSwaptionVolSurface +from pandas.tseries.offsets import BDay +from analytics.scenarios import run_portfolio_scenarios + +option_delta = Index.from_tradeid(874) +option1 = BlackSwaption.from_tradeid(7, option_delta) +option2 = BlackSwaption.from_tradeid(8, option_delta) +portf = Portfolio([option1, option2, option_delta], ['opt1', 'opt2', 'delta']) +date_range = pd.bdate_range(option_delta.value_date, + pd.Timestamp('2017-05-17') - BDay(), freq='5B') +vol_shock = np.arange(-0.15, 0.3, 0.01) +spread_shock = np.arange(-0.2, 0.3, 0.01) +vs = BlackSwaptionVolSurface("IG", 28, value_date=option_delta.value_date) +vol_surface = vs[vs.list(source="BAML")[-1]] +df = run_portfolio_scenarios(portf, date_range, + params=['pnl', 'delta', 'spread'], + spread_shock=spread_shock, + vol_shock=vol_shock, + vol_surface=vol_surface) |