{
 "cells": [
  {
   "cell_type": "code",
   "execution_count": null,
   "metadata": {},
   "outputs": [],
   "source": [
    "from analytics import Swaption, BlackSwaption, Index, VolatilitySurface, Portfolio\n",
    "from analytics.scenarios import run_swaption_scenarios, run_index_scenarios, run_portfolio_scenarios\n",
    "import datetime\n",
    "\n",
    "#import exploration.swaption_calendar_spread as spread\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('HY', 29, '5yr')\n",
    "option_delta.price = 107.5\n",
    "option1 = BlackSwaption(option_delta, datetime.date(2017, 10, 18), 105, option_type=\"payer\")\n",
    "option2 = BlackSwaption(option_delta, datetime.date(2017, 11, 15), 105, option_type=\"payer\")\n",
    "option3 = BlackSwaption(option_delta, datetime.date(2017, 12, 20), 105, option_type=\"payer\")\n",
    "option1.sigma = .459\n",
    "option2.sigma = .378\n",
    "option3.sigma = .377\n",
    "option1.notional = 35_000_000\n",
    "option2.notional = 15_000_000\n",
    "option3.notional = 15_000_000\n",
    "option1.direction = 'Short'\n",
    "option2.direction = 'Long'\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",
    "spread.plot_trade_scenarios(portf, -.15, .3)"
   ]
  },
  {
   "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",
    "spread.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",
    "spread.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",
    "spread.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",
    "spread.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",
    "spread.plot_trade_scenarios(portf)"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": null,
   "metadata": {},
   "outputs": [],
   "source": []
  }
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