{
 "cells": [
  {
   "cell_type": "code",
   "execution_count": null,
   "metadata": {},
   "outputs": [],
   "source": [
    "import portfolio_var as port\n",
    "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",
    "import pandas as pd\n",
    "\n",
    "#import exploration.swaption_calendar_spread as spread\n",
    "import exploration.swaption_calendar_spread as spread"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": null,
   "metadata": {},
   "outputs": [],
   "source": [
    "df, spread, dur = port.rel_spread_diff()"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": null,
   "metadata": {},
   "outputs": [],
   "source": [
    "#The 95%tile \n",
    "stress = pd.DataFrame(index = ['widen', 'tighten'], columns=['pts'])\n",
    "stress.loc['widen'] = df.quantile(.975) \n",
    "stress.loc['tighten'] = df.quantile(.025)\n",
    "stress = -stress * spread * dur/100"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": null,
   "metadata": {},
   "outputs": [],
   "source": [
    "#August ME Bond HY Equiv\n",
    "bond_HY_equiv = .1652\n",
    "stress['nav_impact'] = bond_HY_equiv * stress"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": null,
   "metadata": {},
   "outputs": [],
   "source": [
    "#Swaptions\n",
    "#Aug 2018: 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",
    "portf.trade_date = datetime.date(2017, 8, 31)\n",
    "portf.mark()\n",
    "orig_pv = portf.pv\n",
    "orig_ref = portf.ref"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": null,
   "metadata": {},
   "outputs": [],
   "source": [
    "for x, y in stress.pts.iteritems():\n",
    "    portf.ref = orig_ref + y\n",
    "    stress[x] = portf.pv - orig_pv"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": null,
   "metadata": {},
   "outputs": [],
   "source": [
    "stress"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": null,
   "metadata": {},
   "outputs": [],
   "source": []
  }
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