1 files changed, 45 insertions, 0 deletions
diff --git a/python/calibrate_swaption.py b/python/calibrate_swaption.py
new file mode 100644
index 00000000..6432c5cb
--- /dev/null
+++ b/python/calibrate_swaption.py
@@ -0,0 +1,45 @@
+import pandas as pd
+from analytics import Index, Swaption
+import pdb
+from db import dbconn
+from joblib import Parallel, delayed
+serenitasdb = dbconn('serenitasdb')
+
+data = pd.read_sql("SELECT * from swaption_ref_quotes JOIN swaption_quotes " \
+                   "USING (quotedate, index, series, expiry) WHERE index=%s and series=%s " \
+                   "ORDER BY quotedate",
+                   "postgresql://serenitas_user@debian/serenitasdb",
+                   params = ('IG', 27), parse_dates = ['quotedate', 'expiry'])
+
+ig27 = Index.from_name("ig", 27, "5yr")
+sigma = {}
+sql_str = "INSERT INTO swaption_calib VALUES({}) ON CONFLICT DO NOTHING".format(",".join(["%s"] * 9))
+
+
+def calib(d, payer, receiver):
+    payer.strike = d['strike']
+    receiver.strike = d['strike']
+    payer.pv = (d['pay_bid'] + d['pay_offer'])/2 * 1e-4
+    vol_payer = payer.sigma
+    receiver.pv = (d['rec_bid'] + d['rec_offer'])/2 * 1e-4
+    vol_receiver = receiver.sigma
+    payer.pv_black = (d['pay_bid'] + d['pay_offer'])/2 * 1e-4
+    vol_payer_black = payer.sigma
+    receiver.pv_black = (d['rec_bid'] + d['rec_offer'])/2 * 1e-4
+    vol_receiver_black = receiver.sigma
+    return (d['quotedate'], "IG", 27, expiry, d['strike'], vol_payer, vol_receiver,
+                                vol_payer_black, vol_receiver_black)
+
+for k, v in data.groupby([lambda x: data['quotedate'].loc[x].date(), 'expiry']):
+    trade_date, expiry = k
+    print(trade_date)
+    ig27.trade_date = trade_date
+    ig27.spread = v['ref'].iat[0]
+    payer = Swaption(ig27, expiry.date(), 70)
+    receiver = Swaption(ig27, expiry.date(), 70, "receiver")
+    r = Parallel(n_jobs=4)(delayed(calib)(d, payer, receiver) for d in
+                           v[['quotedate', 'strike', 'pay_bid', 'pay_offer', 'rec_bid', 'rec_offer']].
+                           to_dict(orient = 'records'))
+    with serenitasdb.cursor() as c:
+        c.executemany(sql_str, r)
+        serenitasdb.commit()