{
 "cells": [
  {
   "cell_type": "code",
   "execution_count": null,
   "metadata": {},
   "outputs": [],
   "source": [
    "import pandas as pd\n",
    "import numpy as np\n",
    "\n",
    "from analytics import TrancheBasket, ManualTrancheBasket\n",
    "from datetime import date"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": null,
   "metadata": {},
   "outputs": [],
   "source": [
    "index_type = 'HY'\n",
    "series = 35\n",
    "value_date = date.today()\n",
    "new_index = ManualTrancheBasket(index_type, series, \"5yr\", value_date=value_date, ref=104.625, quotes=[43, 92.5, 110, 120.27])\n",
    "new_index.tweak()\n",
    "new_index.build_skew()\n",
    "new_index                 "
   ]
  },
  {
   "cell_type": "code",
   "execution_count": null,
   "metadata": {},
   "outputs": [],
   "source": [
    "new_index.implied_ss()"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": null,
   "metadata": {},
   "outputs": [],
   "source": [
    "#Build previous series skew to price this new series\n",
    "base_index = TrancheBasket(index_type, series-4, \"5yr\")\n",
    "base_index.tweak()\n",
    "base_index.build_skew()\n",
    "\n",
    "new_index.rho = base_index.map_skew(new_index)\n",
    "new_index"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": null,
   "metadata": {},
   "outputs": [],
   "source": []
  }
 ],
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