from analytics import Portfolio, BlackSwaption, Index, VolatilitySurface
from analytics.scenarios import run_portfolio_scenarios
import pandas as pd
from pandas.tseries.offsets import BDay
import numpy as np

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])
date_range = pd.bdate_range(option_delta.trade_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 = VolatilitySurface("IG", 28, trade_date=option_delta.trade_date)
vol_surface = vs[vs.list()[-1]]
df = run_portfolio_scenarios(portf, date_range, spread_shock, vol_shock, vol_surface)