diff options
Diffstat (limited to 'python')
| -rw-r--r-- | python/notebooks/Curve Trades.ipynb | 31 |
1 files changed, 17 insertions, 14 deletions
diff --git a/python/notebooks/Curve Trades.ipynb b/python/notebooks/Curve Trades.ipynb index 1d928fac..d749c74a 100644 --- a/python/notebooks/Curve Trades.ipynb +++ b/python/notebooks/Curve Trades.ipynb @@ -85,27 +85,30 @@ "metadata": {}, "outputs": [], "source": [ - "#HY curve trade re-ref calculator - sell protection index_1, buy protection index_2.\n", + "#HY curve trade re-ref calculator - sell protection index_1, buy protection index_2 \n", + "date = datetime.date.today()\n", "index_type = 'HY'\n", - "series_1 = '31'\n", + "series_1 = '29'\n", "series_2 = '34'\n", - "index_1 = CreditIndex(index_type, series_1, '5yr', datetime.date.today())\n", - "index_2 = CreditIndex(index_type, series_2, '5yr')\n", - "index_1.price = 100.75\n", - "index_2.price = 100.25\n", - "reref_2 = 99.75\n", + "index_1_trade_price = 104.75\n", + "index_2_trade_price = 104.8\n", + "reref_2 = 104.71\n", "\n", - "before = index_1.price - index_2.price\n", - "index_2.notional = index_1.notional * index_1.DV01/index_2.DV01\n", - "#index_1.notional = 50e6\n", - "#index_2.notional = 35.2e6\n", + "#-----------------------------\n", + "index_1 = CreditIndex(index_type, series_1, '5yr', date)\n", + "index_2 = CreditIndex(index_type, series_2, '5yr', date)\n", + "index_1.price = index_1_trade_price\n", + "index_2.price = index_2_trade_price\n", + "index_2.notional = index_1.notional * index_1.risky_annuity/index_2.risky_annuity\n", "index_1.direction = 'Seller'\n", "index_2.direction = 'Buyer'\n", "past_pv = index_2.pv\n", "index_2.price = reref_2 \n", - "toset = index_1.pv - (index_2.pv - past_pv)\n", - "index_1.pv = -toset\n", - "{'before': (index_1.notional, before), 're_refed': (index_2.notional, index_1.price - index_2.price)}" + "index_1.pv = -index_1.pv + (index_2.pv - past_pv)\n", + " \n", + "pd.options.display.float_format = '{:,.4f}'.format\n", + "d = {index_type + series_1: [index_1_trade_price, index_1.price , index_1.notional], index_type + series_2: [index_2_trade_price, reref_2, index_2.notional]}\n", + "pd.DataFrame(d, index=['original ref', 're-ref', 'notionals'])" ] }, { |