diff options
Diffstat (limited to 'python')
| -rw-r--r-- | python/analytics/basket_index.py | 41 |
1 files changed, 23 insertions, 18 deletions
diff --git a/python/analytics/basket_index.py b/python/analytics/basket_index.py index 138090a4..e6651f5c 100644 --- a/python/analytics/basket_index.py +++ b/python/analytics/basket_index.py @@ -4,12 +4,13 @@ from dateutil.relativedelta import relativedelta from functools import partial from pyisda.credit_index import CreditIndex from typing import List +from yieldcurve import get_curve import numpy as np import pandas as pd from math import exp import datetime from scipy.optimize import brentq -from pandas.tseries.offsets import BDay +from pandas.tseries.offsets import Day, BDay def make_index(t, d, args): instance = t.__new__(t) @@ -49,14 +50,13 @@ class BasketIndex(CreditIndex): self.issue_date = self.index_desc.issue_date[0] maturities = self.index_desc.maturity[tenors].sort_values().dt.to_pydatetime() self.index_desc = self.index_desc.reset_index().set_index('maturity') - curves, args = get_singlenames_curves(index_type, series, trade_date) - _, jp_yc, _, step_in_date, value_date, _ = args - self.yc = jp_yc - self.step_in_date = step_in_date - self.value_date = value_date - self._trade_date = trade_date + curves = get_singlenames_curves(index_type, series, trade_date) + self.currency = "EUR" if index_type in ["XO", "EU"] else "USD" + self.yc = get_curve(trade_date, self.currency) + self.step_in_date = trade_date + Day() + self.value_date = trade_date + 3 * BDay() self.tweaks = [] - super().__init__(self.issue_date, maturities, curves) + super().__init__(self.issue_date, maturities, curves, trade_date=trade_date) def __reduce__(self): _, args = CreditIndex.__reduce__(self) @@ -94,24 +94,29 @@ class BasketIndex(CreditIndex): def _get_quotes(self): pass - @property - def trade_date(self): - return self._trade_date + trade_date = property(CreditIndex.trade_date.__get__) @trade_date.setter def trade_date(self, d: pd.Timestamp): - curves, args = get_singlenames_curves(self.index_type, self.series, d) - _, jp_yc, _, step_in_date, value_date, _ = args - self.yc = jp_yc - self.step_in_date = step_in_date - self.value_date = value_date - self._trade_date = d - self.curves = curves + self.curves = get_singlenames_curves(self.index_type, self.series, d) + self.yc = get_curve(d, self.currency) + self.step_in_date = d + Day() + self.value_date = d + 3 * BDay() + CreditIndex.trade_date.__set__(self, d) def pv(self, maturity: pd.Timestamp, epsilon=0.): return super().pv(self.step_in_date, self.value_date, maturity, self.yc, self.recovery, self.coupon(maturity), epsilon) + def coupon_leg(self, maturity): + return self.coupon(maturity) * self.duration(maturity) + + def protection_leg(self, maturity): + return self.pv(maturity) + self.coupon_leg(maturity) + + def spread(self, maturity): + return (self.coupon(maturity) + self.pv(maturity) / self.duration(maturity)) * 1e4 + def duration(self, maturity): return super().duration(self.step_in_date, self.value_date, maturity, self.yc) |