{
 "cells": [
  {
   "cell_type": "code",
   "execution_count": null,
   "metadata": {},
   "outputs": [],
   "source": [
    "from analytics.tranche_basket import DualCorrTranche, TrancheBasket\n",
    "import datetime"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": null,
   "metadata": {},
   "outputs": [],
   "source": [
    "ig29 = TrancheBasket(\"IG\", 29, \"5yr\")\n",
    "ig29.tweak()\n",
    "ig29.build_skew()"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": null,
   "metadata": {},
   "outputs": [],
   "source": [
    "bozeman = DualCorrTranche.from_tradeid(1037)\n",
    "bozeman"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": null,
   "metadata": {},
   "outputs": [],
   "source": [
    "bozeman.value_date=datetime.date(2019, 5, 1)"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": null,
   "metadata": {},
   "outputs": [],
   "source": [
    "bozeman.mark(skew=ig29.skew)"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": null,
   "metadata": {},
   "outputs": [],
   "source": [
    "bozeman.pv"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": null,
   "metadata": {},
   "outputs": [],
   "source": [
    "#Bozeman\n",
    "import pandas as pd\n",
    "date_range = pd.bdate_range(end=datetime.date.today(), periods=16, freq = '5B')\n",
    "df = pd.DataFrame(index = date_range, columns = ['spread', 'duration', 'port_spread'])\n",
    "index = TrancheBasket(\"IG\", 29, \"5yr\")\n",
    "tranche = DualCorrTranche.from_tradeid(1037)\n",
    "for date in date_range:\n",
    "    index.value_date = date\n",
    "    index.tweak()\n",
    "    index.build_skew()\n",
    "    tranche.value_date = date\n",
    "    tranche.mark(skew=index.skew)\n",
    "    df.loc[date] = [tranche.spread, tranche.duration, tranche._index.spread()[0]/10000]"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": null,
   "metadata": {},
   "outputs": [],
   "source": [
    "df[['spread', 'port_spread']].plot()"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": null,
   "metadata": {},
   "outputs": [],
   "source": [
    "bs1.duration"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": null,
   "metadata": {},
   "outputs": [],
   "source": [
    "bs1"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": null,
   "metadata": {},
   "outputs": [],
   "source": [
    "jtd = bs3.jump_to_default(ig29.skew)"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": null,
   "metadata": {},
   "outputs": [],
   "source": [
    "jtd.sort_values()"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": null,
   "metadata": {},
   "outputs": [],
   "source": []
  }
 ],
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  "kernelspec": {
   "display_name": "Python 3",
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   "name": "python3"
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  "language_info": {
   "codemirror_mode": {
    "name": "ipython",
    "version": 3
   },
   "file_extension": ".py",
   "mimetype": "text/x-python",
   "name": "python",
   "nbconvert_exporter": "python",
   "pygments_lexer": "ipython3",
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