{
 "cells": [
  {
   "cell_type": "code",
   "execution_count": null,
   "metadata": {},
   "outputs": [],
   "source": [
    "from analytics.tranche_basket import DualCorrTranche, TrancheBasket\n",
    "from pandas.tseries.offsets import BDay\n",
    "\n",
    "import scipy.interpolate as intp\n",
    "import numpy as np\n",
    "import datetime"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": null,
   "metadata": {},
   "outputs": [],
   "source": [
    "index = 'EU'\n",
    "series = 30\n",
    "value_date=datetime.date.today() - BDay(1)"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": null,
   "metadata": {},
   "outputs": [],
   "source": [
    "idx = TrancheBasket(index, series, \"5yr\", value_date=value_date)\n",
    "idx.tweak()\n",
    "idx.build_skew()\n",
    "a,b, bond_prices =idx.tranche_pvs()\n",
    "bond_prices"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": null,
   "metadata": {},
   "outputs": [],
   "source": [
    "idx.tranche_spreads()"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": null,
   "metadata": {},
   "outputs": [],
   "source": [
    "a,b, bond_prices = idx.tranche_pvs(zero_recovery=True)\n",
    "bond_prices"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": null,
   "metadata": {},
   "outputs": [],
   "source": [
    "idx.tranche_spreads(zero_recovery=True)"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": null,
   "metadata": {},
   "outputs": [],
   "source": [
    "#map rho to the new expected loss\n",
    "idx_zero_loss = idx.expected_loss()/(1-idx.recovery_rates.mean())\n",
    "exp_loss = np.zeros(1)\n",
    "for k in idx.K[1:]:\n",
    "    exp_loss = np.append(exp_loss, idx.expected_loss_trunc(k))\n",
    "moneyness = np.divide(idx.K, exp_loss)\n",
    "zero_moneyness = np.divide(idx.K, exp_loss/(1-idx.recovery_rates.mean()))\n",
    "extrapolate = intp.interp1d(moneyness[1:4], idx.rho[1:4], fill_value='extrapolate')\n",
    "idx.rho[1:4] = extrapolate(zero_moneyness[1:4])"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": null,
   "metadata": {},
   "outputs": [],
   "source": [
    "a,b, bond_prices = idx.tranche_pvs(zero_recovery=True)\n",
    "bond_prices"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": null,
   "metadata": {},
   "outputs": [],
   "source": [
    "idx.tranche_spreads(zero_recovery=True)"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": null,
   "metadata": {},
   "outputs": [],
   "source": [
    "#top down - to price SS\n",
    "idx.build_skew(skew_type='topdown')\n",
    "extrapolate = intp.interp1d(moneyness[1:4], idx.rho[1:4], fill_value='extrapolate')\n",
    "idx.rho[1:4] = extrapolate(zero_moneyness[1:4])\n",
    "idx.tranche_spreads(zero_recovery=True)"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": null,
   "metadata": {},
   "outputs": [],
   "source": []
  },
  {
   "cell_type": "code",
   "execution_count": null,
   "metadata": {},
   "outputs": [],
   "source": []
  }
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