{
 "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": [
    "def display_result(basket_index):\n",
    "    thetas = basket_index.tranche_thetas()\n",
    "    result = pd.concat([pd.DataFrame(basket_index.rho[0:4], index=thetas.index, columns=['att_corr']),\n",
    "           pd.DataFrame(basket_index.tranche_pvs().bond_price, index=thetas.index, columns=['price']),\n",
    "           basket_index.tranche_deltas(),\n",
    "           thetas],\n",
    "           axis=1)\n",
    "    result['net_theta'] = result.theta - new_index.theta()[0] * result.delta\n",
    "    return result"
   ]
  },
  {
   "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",
    "result = display_result(new_index)\n",
    "result                 "
   ]
  },
  {
   "cell_type": "code",
   "execution_count": null,
   "metadata": {},
   "outputs": [],
   "source": [
    "#Implied SS\n",
    "implied_ss = ((new_index.index_pv().bond_price - new_index.accrued()) -\n",
    "              ((new_index.K[1]-new_index.K[0]) * result.price[0] +\n",
    "              (new_index.K[2]-new_index.K[1]) * result.price[1] +\n",
    "              (new_index.K[3]-new_index.K[2]) * result.price[2]))/(new_index.K[4] - new_index.K[3])\n",
    "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-2, \"5yr\")\n",
    "base_index.tweak()\n",
    "base_index.build_skew()\n",
    "\n",
    "new_index.rho = base_index.map_skew(new_index)\n",
    "result = display_result(new_index)\n",
    "result"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": null,
   "metadata": {},
   "outputs": [],
   "source": []
  }
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