{
 "cells": [
  {
   "cell_type": "code",
   "execution_count": null,
   "metadata": {},
   "outputs": [],
   "source": [
    "from analytics import Swaption, BlackSwaption, BlackSwaptionVolSurface, Index, Portfolio\n",
    "from analytics.scenarios import run_swaption_scenarios, run_index_scenarios, run_portfolio_scenarios\n",
    "import datetime\n",
    "\n",
    "from exploration.swaption_calendar_spread import plot_trade_scenarios\n",
    "#import swaption_calendar_spread as spread"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": null,
   "metadata": {},
   "outputs": [],
   "source": [
    "#Delta Chart: Red = Long Risk, Blue = Short Risk"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": null,
   "metadata": {},
   "outputs": [],
   "source": [
    "#Ad hoc\n",
    "option_delta = Index.from_name('IG', 29, '5yr', trade_date=datetime.date(2018, 1, 3))\n",
    "option_delta.spread = 50\n",
    "option1 = BlackSwaption(option_delta, datetime.date(2018, 2, 21), 55, option_type=\"payer\")\n",
    "option2 = BlackSwaption(option_delta, datetime.date(2018, 2, 21), 67.5, option_type=\"payer\")\n",
    "option3 = BlackSwaption(option_delta, datetime.date(2018, 2, 21), 80, option_type=\"payer\")\n",
    "option1.sigma = .38\n",
    "option2.sigma = .61\n",
    "option3.sigma = .69\n",
    "option1.notional = 100_000_000\n",
    "option2.notional = 200_000_000\n",
    "option3.notional = 1\n",
    "option1.direction = 'Long'\n",
    "option2.direction = 'Short'\n",
    "option3.direction = 'Long'\n",
    "#option_delta.notional = 1\n",
    "option_delta.notional = option1.notional * option1.delta + option2.notional * option2.delta + option3.notional * option3.delta\n",
    "option_delta.direction = 'Seller' if option_delta.notional > 0 else 'Buyer'\n",
    "option_delta.notional = abs(option_delta.notional)\n",
    "portf = Portfolio([option1, option2, option3, option_delta])\n",
    "#Plot Scenarios Inputs: Portfolio, spread shock tightening%, spread shock widening%, snapshot period)\n",
    "plot_trade_scenarios(portf, -.15, .8, -4, vol_time_roll=False)"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": null,
   "metadata": {},
   "outputs": [],
   "source": [
    "portf"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": null,
   "metadata": {},
   "outputs": [],
   "source": [
    "portf.trade_date = datetime.date(2018,2,1)\n",
    "portf.ref = 52\n",
    "#portf.swaptions[0].sigma = .25\n",
    "#portf.swaptions[1].sigma = .31\n",
    "#portf.swaptions[2].sigma = .46\n",
    "portf.swaptions[0].sigma = .38\n",
    "portf.swaptions[1].sigma = .61\n",
    "#portf.swaptions[2].sigma = .69\n",
    "portf"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": null,
   "metadata": {},
   "outputs": [],
   "source": [
    "df.spread = df.spread.round(2)\n",
    "df1= df.set_index('spread', append=True)\n",
    "df1.xs(('2018-01-16', '66.0'))"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": null,
   "metadata": {},
   "outputs": [],
   "source": [
    "#Dec Jan 2017 Trade\n",
    "option_delta = Index.from_tradeid(864)\n",
    "option1 = BlackSwaption.from_tradeid(3, option_delta)\n",
    "option2 = BlackSwaption.from_tradeid(4, option_delta)\n",
    "portf = Portfolio([option1, option2, option_delta])\n",
    "plot_trade_scenarios(portf)"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": null,
   "metadata": {},
   "outputs": [],
   "source": [
    "#Feb 2017: Sell May Buy April Calendar Trade\n",
    "option_delta = Index.from_tradeid(870)\n",
    "option1 = BlackSwaption.from_tradeid(5, option_delta)\n",
    "option2 = BlackSwaption.from_tradeid(6, option_delta)\n",
    "portf = Portfolio([option1, option2, option_delta])\n",
    "plot_trade_scenarios(portf)"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": null,
   "metadata": {},
   "outputs": [],
   "source": [
    "#April 2017: Sell May Buy June Calendar Trade\n",
    "option_delta = Index.from_tradeid(874)\n",
    "option1 = BlackSwaption.from_tradeid(7, option_delta)\n",
    "option2 = BlackSwaption.from_tradeid(8, option_delta)\n",
    "portf = Portfolio([option1, option2, option_delta])\n",
    "plot_trade_scenarios(portf)"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": null,
   "metadata": {},
   "outputs": [],
   "source": [
    "#June July 2017 Calendar Trade\n",
    "option_delta_pf = Index.from_tradeid(874)\n",
    "option_delta2_pf = Index.from_tradeid(879)\n",
    "\n",
    "option1_pf = BlackSwaption.from_tradeid(7, option_delta_pf)\n",
    "option2_pf = BlackSwaption.from_tradeid(9, option_delta_pf)\n",
    "option_delta_pf.notional = 50_335_169\n",
    "\n",
    "portf = Portfolio([option1_pf, option2_pf, option_delta_pf])\n",
    "portf.trade_date = datetime.date(2017, 5, 17)\n",
    "portf.mark()\n",
    "plot_trade_scenarios(portf)"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": null,
   "metadata": {},
   "outputs": [],
   "source": [
    "#July 2017: Buy Sept HY payer spread\n",
    "option_delta = Index.from_tradeid(891)\n",
    "option1 = BlackSwaption.from_tradeid(10, option_delta)\n",
    "option2 = BlackSwaption.from_tradeid(11, option_delta)\n",
    "portf = Portfolio([option1, option2, option_delta])\n",
    "plot_trade_scenarios(portf)"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": null,
   "metadata": {},
   "outputs": [],
   "source": [
    "#Ad hoc\n",
    "option_delta = Index.from_name('IG', 29, '5yr')\n",
    "option_delta.spread = 49.5\n",
    "option1 = BlackSwaption(option_delta, datetime.date(2018, 2, 21), 55, option_type=\"payer\")\n",
    "option2 = BlackSwaption(option_delta, datetime.date(2018, 2, 21), 67.5, option_type=\"payer\")\n",
    "option3 = BlackSwaption(option_delta, datetime.date(2018, 1, 21), 52.5, option_type=\"payer\")\n",
    "option4 = BlackSwaption(option_delta, datetime.date(2018, 1, 21), 60, option_type=\"payer\")\n",
    "option1.sigma = .38\n",
    "option2.sigma = .61\n",
    "option3.sigma = .371\n",
    "option4.sigma = .581\n",
    "option1.notional = 100_000_000\n",
    "option2.notional = 200_000_000\n",
    "option3.notional = 100_000_000\n",
    "option4.notional = 100_000_000\n",
    "option1.direction = 'Long'\n",
    "option2.direction = 'Short'\n",
    "option3.direction = 'Short'\n",
    "option4.direction = 'Long'\n",
    "#option_delta.notional = 1\n",
    "option_delta.notional = option1.notional * option1.delta + option2.notional * option2.delta \n",
    "option_delta.direction = 'Seller' if option_delta.notional > 0 else 'Buyer'\n",
    "option_delta.notional = abs(option_delta.notional)\n",
    "portf = Portfolio([option1, option2, option3, option4, option_delta])\n",
    "#Plot Scenarios Inputs: Portfolio, spread shock tightening%, spread shock widening%, snapshot period)\n",
    "plot_trade_scenarios(portf, -.15, .8, -4, vol_time_roll=False)"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": null,
   "metadata": {},
   "outputs": [],
   "source": [
    "portf"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": null,
   "metadata": {},
   "outputs": [],
   "source": [
    "portf.pv"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": null,
   "metadata": {},
   "outputs": [],
   "source": [
    "portf.trade_date = datetime.date(2018,1,16)\n",
    "portf.ref = 47\n",
    "portf.pnl"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": null,
   "metadata": {},
   "outputs": [],
   "source": []
  }
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