{
 "cells": [
  {
   "cell_type": "code",
   "execution_count": 1,
   "metadata": {
    "collapsed": true
   },
   "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",
    "from pandas.tseries.offsets import BDay, BMonthEnd\n",
    "\n",
    "#import exploration.swaption_calendar_spread as spread\n",
    "import exploration.swaption_calendar_spread as spread"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": 2,
   "metadata": {
    "collapsed": true
   },
   "outputs": [],
   "source": [
    "#Oct ME Bond HY Equiv\n",
    "report_date = (datetime.date.today() + BMonthEnd(-1)).date()\n",
    "bond_HY_equiv = -.12088\n",
    "percentile = .95"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": 3,
   "metadata": {
    "collapsed": true
   },
   "outputs": [],
   "source": [
    "#The 95%tile \n",
    "df, spread, dur = port.rel_spread_diff(report_date)\n",
    "stress = pd.DataFrame()\n",
    "stress.at[('2SD_widen', 'spread')] = df.quantile(.975) \n",
    "stress.at[('2SD_tighten', 'spread')] = df.quantile(.025) \n",
    "stress.at[('worst_widen', 'spread')] = df.max()\n",
    "stress['pts'] = -stress * spread * dur/100\n",
    "stress['nav_impact'] = bond_HY_equiv * stress['pts']"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": 6,
   "metadata": {},
   "outputs": [
    {
     "data": {
      "text/html": [
       "<div>\n",
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       "        text-align: right;\n",
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       "\n",
       "    .dataframe thead th {\n",
       "        text-align: left;\n",
       "    }\n",
       "\n",
       "    .dataframe tbody tr th {\n",
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       "    }\n",
       "</style>\n",
       "<table border=\"1\" class=\"dataframe\">\n",
       "  <thead>\n",
       "    <tr style=\"text-align: right;\">\n",
       "      <th></th>\n",
       "      <th>spread</th>\n",
       "      <th>pts</th>\n",
       "      <th>nav_impact</th>\n",
       "    </tr>\n",
       "  </thead>\n",
       "  <tbody>\n",
       "    <tr>\n",
       "      <th>2SD_widen</th>\n",
       "      <td>0.157884</td>\n",
       "      <td>-2.208036</td>\n",
       "      <td>0.266907</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>2SD_tighten</th>\n",
       "      <td>-0.163480</td>\n",
       "      <td>2.286301</td>\n",
       "      <td>-0.276368</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>worst_widen</th>\n",
       "      <td>0.359386</td>\n",
       "      <td>-5.026082</td>\n",
       "      <td>0.607553</td>\n",
       "    </tr>\n",
       "  </tbody>\n",
       "</table>\n",
       "</div>"
      ],
      "text/plain": [
       "               spread       pts  nav_impact\n",
       "2SD_widen    0.157884 -2.208036    0.266907\n",
       "2SD_tighten -0.163480  2.286301   -0.276368\n",
       "worst_widen  0.359386 -5.026082    0.607553"
      ]
     },
     "execution_count": 6,
     "metadata": {},
     "output_type": "execute_result"
    }
   ],
   "source": [
    "stress"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": 8,
   "metadata": {},
   "outputs": [
    {
     "data": {
      "text/html": [
       "<div>\n",
       "<style>\n",
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       "        text-align: right;\n",
       "    }\n",
       "\n",
       "    .dataframe thead th {\n",
       "        text-align: left;\n",
       "    }\n",
       "\n",
       "    .dataframe tbody tr th {\n",
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       "    }\n",
       "</style>\n",
       "<table border=\"1\" class=\"dataframe\">\n",
       "  <thead>\n",
       "    <tr style=\"text-align: right;\">\n",
       "      <th></th>\n",
       "      <th>level_1</th>\n",
       "      <th>notional</th>\n",
       "      <th>factor</th>\n",
       "      <th>coupon</th>\n",
       "      <th>duration</th>\n",
       "      <th>theta</th>\n",
       "      <th>price</th>\n",
       "      <th>closespread</th>\n",
       "      <th>clean_nav</th>\n",
       "      <th>accrued</th>\n",
       "      <th>onTR_notional</th>\n",
       "      <th>widen</th>\n",
       "      <th>tighten</th>\n",
       "      <th>total</th>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>strategy</th>\n",
       "      <th></th>\n",
       "      <th></th>\n",
       "      <th></th>\n",
       "      <th></th>\n",
       "      <th></th>\n",
       "      <th></th>\n",
       "      <th></th>\n",
       "      <th></th>\n",
       "      <th></th>\n",
       "      <th></th>\n",
       "      <th></th>\n",
       "      <th></th>\n",
       "      <th></th>\n",
       "      <th></th>\n",
       "    </tr>\n",
       "  </thead>\n",
       "  <tbody>\n",
       "    <tr>\n",
       "      <th>HEDGE_MBS</th>\n",
       "      <td>3</td>\n",
       "      <td>-30500000.0</td>\n",
       "      <td>2.92</td>\n",
       "      <td>0.15</td>\n",
       "      <td>9.579586</td>\n",
       "      <td>0.091530</td>\n",
       "      <td>323.911577</td>\n",
       "      <td>728.775311</td>\n",
       "      <td>-2.454496e+06</td>\n",
       "      <td>-173891.666667</td>\n",
       "      <td>-2.271120e+07</td>\n",
       "      <td>-392951.746260</td>\n",
       "      <td>439165.979817</td>\n",
       "      <td>439165.979817</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>SER_IGCURVE</th>\n",
       "      <td>1</td>\n",
       "      <td>-11000000.0</td>\n",
       "      <td>2.00</td>\n",
       "      <td>0.02</td>\n",
       "      <td>4.202955</td>\n",
       "      <td>0.005495</td>\n",
       "      <td>203.166063</td>\n",
       "      <td>38.112262</td>\n",
       "      <td>-2.220374e+04</td>\n",
       "      <td>-12833.333333</td>\n",
       "      <td>1.006705e+06</td>\n",
       "      <td>3787.727425</td>\n",
       "      <td>-3681.218467</td>\n",
       "      <td>3787.727425</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>SER_ITRXCURVE</th>\n",
       "      <td>1</td>\n",
       "      <td>39300000.0</td>\n",
       "      <td>2.00</td>\n",
       "      <td>0.02</td>\n",
       "      <td>14.638235</td>\n",
       "      <td>0.021951</td>\n",
       "      <td>203.615045</td>\n",
       "      <td>138.590158</td>\n",
       "      <td>2.027082e+06</td>\n",
       "      <td>53396.910000</td>\n",
       "      <td>-3.481913e+06</td>\n",
       "      <td>-15658.882722</td>\n",
       "      <td>16533.674519</td>\n",
       "      <td>16533.674519</td>\n",
       "    </tr>\n",
       "  </tbody>\n",
       "</table>\n",
       "</div>"
      ],
      "text/plain": [
       "               level_1    notional  factor  coupon   duration     theta  \\\n",
       "strategy                                                                  \n",
       "HEDGE_MBS            3 -30500000.0    2.92    0.15   9.579586  0.091530   \n",
       "SER_IGCURVE          1 -11000000.0    2.00    0.02   4.202955  0.005495   \n",
       "SER_ITRXCURVE        1  39300000.0    2.00    0.02  14.638235  0.021951   \n",
       "\n",
       "                    price  closespread     clean_nav        accrued  \\\n",
       "strategy                                                              \n",
       "HEDGE_MBS      323.911577   728.775311 -2.454496e+06 -173891.666667   \n",
       "SER_IGCURVE    203.166063    38.112262 -2.220374e+04  -12833.333333   \n",
       "SER_ITRXCURVE  203.615045   138.590158  2.027082e+06   53396.910000   \n",
       "\n",
       "               onTR_notional          widen        tighten          total  \n",
       "strategy                                                                   \n",
       "HEDGE_MBS      -2.271120e+07 -392951.746260  439165.979817  439165.979817  \n",
       "SER_IGCURVE     1.006705e+06    3787.727425   -3681.218467    3787.727425  \n",
       "SER_ITRXCURVE  -3.481913e+06  -15658.882722   16533.674519   16533.674519  "
      ]
     },
     "execution_count": 8,
     "metadata": {},
     "output_type": "execute_result"
    }
   ],
   "source": [
    "port.cleared_cds_margins(report_date, percentile)"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": 9,
   "metadata": {},
   "outputs": [
    {
     "data": {
      "text/plain": [
       "120816.55576340854"
      ]
     },
     "execution_count": 9,
     "metadata": {},
     "output_type": "execute_result"
    }
   ],
   "source": [
    "port.index_curve_margins(report_date)"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": null,
   "metadata": {
    "collapsed": true
   },
   "outputs": [],
   "source": []
  }
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