path: root/python/TAGS


exploration/tranches.py,281
import analytics.tranche_functions as tchtch
4,74
import analytics.tranche_basket as bktbkt
5,116
import analytics.basket_index as idx_bktidx_bkt
6,155
import numpy as npnp
7,196
import pandas as pdpd
8,215
def rv_calc1():rv_calc1
18,593
def dispersion():dispersion
70,2851

exploration/test_mlp.py,57
import pandas as pdpd
1,0
def get_conn():get_conn
6,97

exploration/hy_flattener.py,46
from matplotlib import pyplot as pltplt
3,56

exploration/beta_trade.py,525
import pandas as pdpd
5,55
import numpy as npnp
13,253
import matplotlib.pyplot as pltplt
17,356
def calc_returns(index_list=['HY', 'IG'], save_feather=False):calc_returns
19,389
def calc_betas(returns=None, spans=[5, 20], index_list=['HY', 'IG']):calc_betas
30,916
def plot_betas(betas=None):plot_betas
40,1312
def calc_realized_vol(returns=None):calc_realized_vol
50,1576
def spreads_ratio(series=list(range(22, 29)), index=['IG', 'HY'], tenor='5yr'):spreads_ratio
73,2461
def loglik(beta, returns):loglik
79,2726

exploration/marketing.py,417
import numpy as npnp
2,66
import pandas as pdpd
3,85
import matplotlib as pltplt
4,105
def run_scenario(pool_size, rho, successprob, issuerweights, amount):run_scenario
8,147
def plot_scenarios(df, bins = [0,0.1, 50, 100, 150, 200, 250, 300, 350, 400, 450, 500, 2000]):plot_scenarios
17,553
def stats(df):stats
37,1333
def plot_prob_over(df):plot_prob_over
44,1565
def add_to_plot(df, ax):add_to_plot
51,1763

exploration/backtest.py,185
import pandas as pdpd
2,24
import numpy as npnp
3,44
def calc_mark_diff():calc_mark_diff
5,64
    def closest(s):closest
12,385
    def avg_minus_maxmin(s):avg_minus_maxmin
20,592

exploration/VaR.py,107
import pandas as pdpd
5,136
def hist_var(portf, index_type="IG", quantile=0.05, years=5):hist_var
13,253

exploration/test_scenarios.py,54
import numpy as npnp
1,0
import pandas as pdpd
2,19

exploration/test_swaption.py,77
def theta(swaption):theta
27,1117
def dv01(swaption, helpers):dv01
35,1306

exploration/option_trades.py,1020
import numpy as npnp
4,41
import pandas as pdpd
5,60
def realized_vol(index, series, tenor='5yr', date=None, years=None, return_type='spread'):realized_vol
16,349
def lr_var(res):lr_var
29,1048
def atm_vol_calc(df, index_type, moneyness):atm_vol_calc
42,1443
def atm_vol(index, date, series=None, moneyness=0.2):atm_vol
75,3123
def rolling_vol(df, col='atm_vol', term=[3]):rolling_vol
91,3914
    def aux(s, col, term):aux
95,4128
def vol_var(percentile=0.975, index='IG', start_date=datetime.date(2014, 6, 11)):vol_var
106,4606
def get_index_spread(index, series, date, conn):get_index_spread
119,5093
def get_index_ref(index, series, date, expiry, conn):get_index_ref
131,5487
def get_option_pnl(strike, expiry, index, series, start_date, engine):get_option_pnl
144,5988
def sell_vol_strategy(index="IG", months=3):sell_vol_strategy
179,7669
def aggregate_trades(d):aggregate_trades
205,8976
def compute_allocation(df):compute_allocation
211,9119
    import statsmodels.formula.api as smfsmf
244,10361

exploration/portfolio_example.py,57
import pandas as pdpd
4,176
import numpy as npnp
5,196

exploration/vcube.py,260
import pandas as pdpd
6,149
def ticker(expiry, tenor, spread, vol_type, source):ticker
12,287
def get_tickers(vol_type="V", source="GFIS"):get_tickers
24,719
def to_tenor(s):to_tenor
32,985
def get_vol_cube(conn, date, source='GFIS'):get_vol_cube
36,1075

exploration/.ropeproject/config.py,90
def set_prefs(prefs):set_prefs
5,45
def project_opened(project):project_opened
120,4706

exploration/realized_vol_quantiles.py,39
def implied_vol(q):implied_vol
13,476

exploration/portfolio_var.py,469
import numpy as npnp
7,223
import pandas as pdpd
8,242
import exploration.curve_trades as cvcv
12,291
def on_the_run(index):on_the_run
17,397
def rel_spread_diff(report_date = datetime.date.today(), index='HY', rolling=10):rel_spread_diff
23,600
def get_pos(report_date):get_pos
38,1249
def cleared_cds_margins(report_date=datetime.date.today()):cleared_cds_margins
49,1712
def index_curve_margins(report_date=datetime.date.today()):index_curve_margins
71,2856

exploration/sell_vol.py,41
def get_trades(df, d):get_trades
10,338

exploration/test_cms.py,208
import pandas as pdpd
8,214
def lmcg_navs(trade_id):lmcg_navs
13,288
def gs_navs(trade_id, orig_nav):gs_navs
25,607
def ms_navs(trade_id="JWY3N"):ms_navs
54,1599
    def myfun(corr, args):myfun
100,3216

test_dispersion.py,0

cds_rebook.py,208
def get_outstanding_positions(trade_date, fcm):get_outstanding_positions
9,231
def default_adjustment(company_id, end_date):default_adjustment
22,669
def rebook(trade_date, company_id, fcm):rebook
44,1249

xmltotab.py,0

Makefile,201
CFLAGS=-O2 -march=native -fpicCFLAGS
1,0
LDLIBS=-lm -llapackLDLIBS
2,31
LDFLAGS=-fpic -sharedLDFLAGS
3,51
tests:tests
5,74
tags:tags
9,127
GHquad.so: GHquad.oGHquad.so
12,185
clean:clean
15,243

quote_parsing/.pytest_cache/README.md,54
# pytest cache directory #pytest cache directory
1,0

quote_parsing/parse_emails.py,1696
import pandas as pdpd
1,0
import psycopg2.sql as sqlsql
3,30
def list_imm_dates(date):list_imm_dates
13,280
def makedf(r, indextype, quote_source):makedf
22,461
def parse_quotedate(fh, date_received):parse_quotedate
81,2260
def parse_refline(line):parse_refline
107,3198
def parse_baml(fh, index_desc, *args):parse_baml
122,3646
def parse_baml_block(fh, indextype):parse_baml_block
143,4201
def parse_bnp_block(fh, indextype, skip_header=True):parse_bnp_block
160,4667
def parse_cs_block(fh, indextype):parse_cs_block
181,5278
def parse_ms_block(fh, indextype):parse_ms_block
203,6011
def parse_nomura_block(fh, indextype):parse_nomura_block
246,7540
def parse_sg_block(fh, indextype, expiration_dates):parse_sg_block
278,8446
def parse_gs_block(fh, indextype):parse_gs_block
317,9653
def parse_citi_block(fh, indextype):parse_citi_block
354,10679
def parse_ms(fh, index_desc, *args):parse_ms
407,12221
def parse_nom(fh, index_desc, *args):parse_nom
424,12821
    def aux(line, fh, index_desc, option_stack, fwd_index):aux
428,12901
def parse_sg(fh, index_desc):parse_sg
447,13620
def parse_gs(fh, index_desc):parse_gs
461,14056
def parse_citi(fh, index_desc):parse_citi
497,15184
def parse_cs(fh, index_desc):parse_cs
515,15849
def parse_bnp(fh, index_desc):parse_bnp
538,16766
def get_current_version(index, series, d, conn):get_current_version
582,18653
def parse_email(email, date_received, conn):parse_email
593,18970
def write_todb(swaption_stack, index_data, conn):write_todb
653,21579
    def gen_sql_str(query, table_name, columns):gen_sql_str
654,21629
def get_email_list(date):get_email_list
694,23152
def pickle_drop_date(date):pickle_drop_date
709,23565

quote_parsing/__main__.py,28
import pandas as pdpd
3,31

quote_parsing/tests/test_cs.py,38
def test_subject():test_subject
4,40

quote_parsing/tests/__init__.py,0

quote_parsing/download_emails.py,100
def print_citi_html(email):print_citi_html
16,307
def save_emails(update=True):save_emails
35,869

quote_parsing/__init__.py,0

.pytest_cache/README.md,54
# pytest cache directory #pytest cache directory
1,0

database_consistency.py,27
import pandas as pdpd
1,0

rmbs/CRT_data.py,189
import pandas as pdpd
3,33
import .load_globeop_report as load_globeopload_globeop
6,93
def get_CRT_notional():get_CRT_notional
10,159
def calc_CRT_notional():calc_CRT_notional
36,1221

rmbs/marketing.py,183
import pandas as pdpd
1,0
def ver_one():ver_one
6,87
def plot_strat():plot_strat
29,1253
    import seaborn as snssns
31,1272
def wavg(group, avg_name, weight_name):wavg
54,2014

compute_price.py,0

mark_backtest_underpar.py,978
import pandas as pdpd
1,0
import numpy as npnp
3,38
import matplotlib.pyplot as pltplt
4,57
import statsmodels.api as smsm
5,89
import seaborn as sbsb
7,158
import globeop_reports as opsops
11,237
def get_mark_df(asset_class = 'Subprime'):get_mark_df
13,268
def calc_mark_diff(df, sources= ['PRICESERVE', 'PRICINGDIRECT','BVAL','MARKIT','BROKER', 'REUTERcalc_mark_diff
27,1083
def closest(x):closest
53,2307
def remove_max_min(x):remove_max_min
60,2514
def diff_by_source(df):diff_by_source
66,2655
def diff_by_source_percentage(df):diff_by_source_percentage
75,3063
def count_sources(df):count_sources
82,3273
def alt_navs():alt_navs
88,3566
def annual_performance(nav_100):annual_performance
102,4267
def alt_nav_impact():alt_nav_impact
108,4459
def back_test(begindate = '2013-01-01', enddate = '2018-01-01', sell_price_threshold = 200):back_test
115,4649
def stats(df_long, diff_threshold = 5):stats
136,5949
def pretty_plot(df_long):pretty_plot
147,6308

populate_risk_numbers.py,209
def get_index_list(basedir):get_index_list
6,98
def get_attach_from_name(index_type, series):get_attach_from_name
16,559
def convert(s):convert
33,1066
def populate_risk(basedir, db):populate_risk
36,1124

task_server/rest.py,238
def get_db():get_db
13,280
def get_queue():get_queue
23,582
def close_db(error):close_db
31,767
def intex():intex
39,948
def globeop():globeop
46,1117
def insert_tranches():insert_tranches
54,1401
def run_tasks():run_tasks
60,1513

task_server/__main__.py,0

task_server/config.py,0

task_server/insert_tranche_quotes.py,138
def convert(x):convert
18,504
def convert_int(x):convert_int
27,696
def insert_quotes(year=2016, quote_dir=None):insert_quotes
40,1065

task_server/.ropeproject/config.py,90
def set_prefs(prefs):set_prefs
5,45
def project_opened(project):project_opened
120,4706

task_server/globeop.py,691
    import pandas as pdpd
19,289
def get_ped(s):get_ped
25,388
def key_fun(s):key_fun
36,692
def run_date(s):run_date
47,1001
def get_ftp(folder):get_ftp
55,1193
def get_gpg():get_gpg
62,1331
def convert_to_csv(f):convert_to_csv
74,1696
def download_data(workdate: datetime.date):download_data
83,2027
def insert_todb(workdate: datetime.date):insert_todb
147,4086
def upload_bond_marks(engine, workdate: datetime.datetime):upload_bond_marks
176,5217
def upload_cds_marks(engine, workdate: datetime.datetime):upload_cds_marks
195,5912
def upload_data(engine, workdate: datetime.datetime):upload_data
211,6509
def back_fill(start_date=pd.datetime(2017, 7, 20)):back_fill
216,6644

task_server/README.md,0

task_server/__init__.py,0

adj_index_price.py,28
import pandas as pdpd
2,65

build_default_table.py,27
import pandas as pdpd
1,0

external_deriv_marks.py,260
import pandas as pdpd
2,16
def gs_navs(date: datetime.date = None):gs_navs
7,74
def ms_navs(date: datetime.date = None):ms_navs
30,964
def citi_navs(date: datetime.date = None):citi_navs
48,1663
def baml_navs(date: datetime.date = None):baml_navs
76,2676

backfill_index.py,29
import pandas as pdpd
4,112

yieldcurve.py,906
import pandas as pdpd
8,167
import numpy as npnp
20,812
def load_curves(currency="USD", date=None):load_curves
28,1002
def get_curve(effective_date, currency="USD"):get_curve
49,1707
def getMarkitIRData(effective_date=datetime.date.today(),getMarkitIRData
70,2503
def get_futures_data(date=datetime.date.today()):get_futures_data
87,3256
def get_curve_params(currency):get_curve_params
94,3565
def rate_helpers(currency="USD", MarkitData=None, evaluation_date=None):rate_helpers
125,4682
def get_dates(date, currency="USD"):get_dates
169,6716
def roll_yc(yc, forward_date):roll_yc
186,7504
def YC(helpers=None, currency="USD", MarkitData=None, evaluation_date=None,YC
193,7815
def jpYC(effective_date, currency="USD", MarkitData=None):jpYC
215,8685
def ql_to_jp(ql_yc):ql_to_jp
235,9475
def build_curves(currency="USD"):build_curves
246,9928
    import matplotlib.pyplot as pltplt
286,11920

intex/load_indicative.py,230
def convertToNone(s):convertToNone
16,226
def insert_new_cusip(conn, line):insert_new_cusip
20,297
def upload_cusip_data(conn, filename):upload_cusip_data
65,1690
def upload_deal_data(conn, filename):upload_deal_data
147,5057

intex/__main__.py,0

intex/common.py,53
def sanitize_float(intex_float):sanitize_float
4,12

intex/load_intex_collateral.py,104
def upload_data(conn, workdate):upload_data
44,850
def intex_data(conn, workdate):intex_data
216,7681

intex/intex_scenarios.py,307
def get_reinv_assets(conn, dealname, workdate):get_reinv_assets
31,810
def get_recovery(conn, dealname, workdate, defaultrecovery=50):get_recovery
42,1155
def get_reinvenddate(conn, dealname, workdate):get_reinvenddate
61,1835
def generate_scenarios(workdate, dealname, conn):generate_scenarios
73,2226

intex/.ropeproject/config.py,90
def set_prefs(prefs):set_prefs
5,45
def project_opened(project):project_opened
120,4706

intex/__init__.py,0

flask-run.py,0

GHquad.h,0

backtest.py,206
import pandas as pdpd
2,16
def set_strikes(payer, receiver):set_strikes
9,210
def set_up_strategy(start_date: datetime.date, tenor: 3):set_up_strategy
25,582
def backtest(portf, index):backtest
42,1190

templates/template-2014-07-16.html,0

templates/template-2015-03-16.html,0

templates/template-2014-06-13.html,0

templates/template-2015-01-14.html,0

templates/template-2014-05-19.html,0

templates/template-2014-08-12.html,0

templates/trading_form.tex,0

templates/template2-2014-04-16.html,0

templates/template-2014-03-17.html,0

templates/template-2014-03-12.html,0

templates/template-2014-11-13.html,0

templates/template-2014-12-11.html,0

templates/template-2014-09-15.html,0

templates/template-2014-04-16.html,0

templates/template-2015-04-20.html,0

templates/template-2014-10-17.html,0

templates/template-2015-02-12.html,0

markit_tranches.py,27
import pandas as pdpd
1,0

common.py,99
def sanitize_float(intex_float):sanitize_float
6,50
def get_redis_queue():get_redis_queue
18,445

pnl_explain.py,618
import numpy as npnp
1,0
import pandas as pdpd
2,19
def get_daycount(identifier, engine=dbengine("dawndb")):get_daycount
7,112
def pnl_explain(identifier, start_date = None, end_date = None,pnl_explain
21,578
def pnl_explain_list(id_list, start_date = None, end_date = None, engine = dbengine("dawndb")):pnl_explain_list
101,5033
def compute_tranche_factors(df, attach, detach):compute_tranche_factors
105,5269
def cds_explain(index, series, tenor, attach = np.nan, detach = np.nan,cds_explain
114,5785
def cds_explain_strat(strat, start_date, end_date, engine = dbengine("dawndb")):cds_explain_strat
187,9766

markit_tranche_quotes.py,100
def get_latest_quote_id(db):get_latest_quote_id
36,925
def convert_float(s):convert_float
43,1101

test_quotes.py,184
import pandas as pdpd
2,16
def get_refids(index, series, expiry, value_date=datetime.date.today(),get_refids
8,138
def adjust_stacks(index_type, series, expiry,adjust_stacks
24,769

dawn_utils.py,447
import pandas as pdpd
2,10
def create_trigger_function(db):create_trigger_function
4,31
def create_triggers(db):create_triggers
43,1265
def load_counterparties(engine):load_counterparties
52,1614
def load_trades(engine, schema=None):load_trades
71,2939
def load_trades_futures(engine, schema=None):load_trades_futures
101,4554
def load_wires(engine, schema=None):load_wires
136,6442
def load_spots(engine, schema=None):load_spots
160,7702

experiments/exchange_example.py,0

experiments/test_timestamptz.py,27
import pandas as pdpd
1,0

experiments/test_matrix.py,312
import numpy as npnp
1,0
import scipy.linalg as splinalgsplinalg
2,19
import dask.array as dada
3,51
def get_num_threads():get_num_threads
10,216
def set_num_threads(n):set_num_threads
13,291
def test():test
26,595
def test2():test2
30,692
def test3():test3
34,815
    def test_dask():test_dask
55,1521

experiments/test_dask.py,149
import dask.dataframe as dddd
1,0
import numpy as npnp
2,28
strip_percent = lambda s: float(s.rstrip('%'))/100 if s else np.nanstrip_percent
4,48

experiments/test_basket.py,28
import pandas as pdpd
2,36

experiments/test_trace.py,28
import pandas as pdpd
2,64

experiments/test_asyncpg.py,235
async def dbconn():dbconn
10,184
async def get_singlenames_quotes_async(con, indexname, date):get_singlenames_quotes_async
16,394
async def get_curves(con, currency="USD", date=None):get_curves
24,744
async def main():main
29,1028

experiments/.ropeproject/config.py,90
def set_prefs(prefs):set_prefs
5,45
def project_opened(project):project_opened
120,4706

experiments/test_async.py,157
async def pomme():pomme
3,16
async def poire():poire
8,106
async def main():main
13,196
async def ping(msg):ping
18,275
async def pong(msg):pong
26,416

trace_update.py,262
import pandas as pdpd
2,64
def get_universe():get_universe
7,182
def get_bbg_data(cusips, universe):get_bbg_data
12,347
def insert_data(dfs, conn):insert_data
22,835
def get_cusips():get_cusips
37,1428
def calc_check_digit(number):calc_check_digit
44,1624

GHquad.c,56
void GHquad(int n, double* Z, double* w) {GHquad
7,167

bbg_helpers.py,547
import pandas as pdpd
2,14
def init_bbg_session(ip_list, port=8194):init_bbg_session
14,256
def append_overrides(request, d):append_overrides
38,1006
def event_loop(session, request):event_loop
49,1340
def get_pythonvalue(e):get_pythonvalue
63,1823
def field_array_todf(field):field_array_todf
80,2304
def process_historical_msg(msg):process_historical_msg
92,2569
def process_reference_msg(msg):process_reference_msg
99,2822
def process_intraday_tick_msg(msg):process_intraday_tick_msg
119,3556
def retrieve_data(retrieve_data
124,3688

collateral/__main__.py,27
import pandas as pdpd
1,0

collateral/common.py,197
import pandas as pdpd
2,15
def compare_notionals(df, positions, fcm: str):compare_notionals
8,108
def get_dawn_trades(d, engine):get_dawn_trades
25,698
def send_email(d, df):send_email
72,2082

collateral/citi.py,413
import pandas as pdpd
1,0
def load_file(d):load_file
8,143
def download_files(count=20):download_files
20,478
def load_pdf(file_path):load_pdf
36,944
def get_col(l, top, bottom, left, right):get_col
47,1265
def parse_num(s):parse_num
58,1499
def get_df(l, col1, col2, col3):get_df
66,1631
def get_total_collateral(d):get_total_collateral
76,1892
def collateral(d, dawn_trades, *args):collateral
104,2804

collateral/baml_isda.py,207
import pandas as pdpd
5,92
def download_from_secure_id(download_from_secure_id
14,263
def download_files(d=None, count=20):download_files
55,1871
def collateral(d, dawn_trades, *args):collateral
83,2978

collateral/wells.py,305
import pandas as pdpd
1,0
def get_wells_sftp_client():get_wells_sftp_client
11,299
def get_wells_sftp_client2():get_wells_sftp_client2
17,503
def download_files2(d=None):download_files2
27,801
def download_files(d=None):download_files
36,1090
def collateral(d, positions, engine):collateral
54,1782

collateral/baml_fcm.py,180
import pandas as pdpd
5,128
def get_sftp_client():get_sftp_client
9,192
def download_files(d=None):download_files
16,452
def collateral(d, positions, engine):collateral
25,724

collateral/ms.py,134
import pandas as pdpd
1,0
def download_files(count=20):download_files
5,46
def collateral(d, dawn_trades, *args):collateral
28,778

collateral/gs.py,178
import pandas as pdpd
1,0
def download_files(count=20):download_files
5,46
def load_file(d, pattern):load_file
22,553
def collateral(d, dawn_trades, *args):collateral
30,835

collateral/sg.py,187
import pandas as pdpd
2,15
def get_sftp_client():get_sftp_client
11,155
def download_files(download_files
17,360
def collateral(d, engine):collateral
63,1802
    def f(g):f
116,4228

collateral/__init__.py,0

optimization.py,229
import numpy as npnp
1,0
import numpy.linalg as lala
2,19
def decr_fun(a, b):decr_fun
5,94
def KLfit(P, q, b):KLfit
8,175
def interpweights(w, v1, v2):interpweights
60,1694
def interpvalues(w, v, neww):interpvalues
67,1951

calibrate_swaption.py,365
import pandas as pdpd
1,0
def get_data(index, series, date=datetime.date.min):get_data
15,299
def get_data_latest():get_data_latest
32,889
def calib(option, ref, strike, pay_bid, pay_offer, rec_bid, rec_offer):calib
51,1526
def MaybePool(nproc):MaybePool
82,2553
def calibrate(index_type=None, series=None, date=None, nproc=4, latest=False):calibrate
86,2622

test.xml,397
	<fontspec id="0" size="13" family="Helvetica" color="#000000"/>0
6,208
	<fontspec id="1" size="10" family="TRMONK+DejaVuSans" color="#000000"/>1
7,273
	<fontspec id="2" size="10" family="VPOPDX+DejaVuSans" color="#000000"/>2
8,346
	<fontspec id="3" size="16" family="VPOPDX+DejaVuSans" color="#000000"/>3
9,419
	<fontspec id="4" size="5" family="TRMONK+DejaVuSans" color="#000000"/>4
10,492

env.py,0

markit_red.py,242
import pandas as pdpd
9,148
def request_payload(payload):request_payload
12,170
def download_report(report):download_report
30,749
def update_redcodes(fname):update_redcodes
62,1643
def update_redindices(fname):update_redindices
94,2802

mark_backtest.py,177
import pandas as pdpd
1,0
def calc_mark_diff(asset_class="Subprime"):calc_mark_diff
5,46
    def closest(x):closest
35,1353
    def remove_max_min(x):remove_max_min
56,2172

load_refentity.py,395
import lxml.etree as etreeetree
5,79
def todict(xml, uselist=set()):todict
11,191
def dispatch_parsing(col, uselist):dispatch_parsing
30,777
def insert_refentity(fname):insert_refentity
43,1110
def parse_prospectus(xml):parse_prospectus
98,2593
def insert_refobligation(fname):insert_refobligation
102,2681
    def simple_parse(e):simple_parse
155,4180
def get_date(f):get_date
187,5316

notebooks/.ipynb_checkpoints/path-checkpoint.py,0

notebooks/path.py,0

load_globeop_report.py,631
import pandas as pdpd
3,33
def get_globs(fname, years=["2013", "2014", "2015", "2016", "2017"]):get_globs
9,139
def read_valuation_report(f):read_valuation_report
26,603
def valuation_reports():valuation_reports
50,1531
def read_pnl_report(f):read_pnl_report
61,1952
def pnl_reports():pnl_reports
71,2376
def read_cds_report(f):read_cds_report
83,2815
    def drop_zero_count(df):drop_zero_count
87,2915
def read_swaption_report(f):read_swaption_report
143,4793
    def drop_zero_count(df):drop_zero_count
147,4898
def cds_reports():cds_reports
180,5798
def monthly_pnl_bycusip(df, strats):monthly_pnl_bycusip
193,6209

bbg_index_quotes.py,0

handle_default.py,400
def get_recovery(company_id: int, seniority: str, conn):get_recovery
5,59
def affected_indices(company_id: int, seniority: str, conn):affected_indices
15,351
def create_newindices(recordslist, recovery, lastdate, conn):create_newindices
30,894
def update_indexmembers(newids, company_id, seniority, conn):update_indexmembers
53,1812
def update_redcodes(index_type, conn):update_redcodes
66,2294

markit_tranche_quotes_csv.py,43
def convert_float(s):convert_float
19,597

analytics/index.py,1027
import pandas as pdpd
4,46
def g(index, spread, exercise_date, pv=None):g
17,363
class CreditIndex(CreditDefaultSwap):CreditIndex
58,1659
    def __init__(__init__
69,1864
    def from_tradeid(cls, trade_id):from_tradeid
143,4561
    def hy_equiv(self):hy_equiv
167,5369
    def ref(self):ref
178,5699
    def ref(self, val):ref
185,5843
    def mark(self, **args):mark
191,5974
    def value_date(self, d):value_date
210,6737
    def factor(self):factor
223,7157
    def version(self):version
227,7222
    def cumloss(self):cumloss
231,7289
class ForwardIndex:ForwardIndex
235,7343
    def __init__(self, index, forward_date, observer=True):__init__
247,7576
    def from_name(from_name
260,8071
    def forward_annuity(self):forward_annuity
273,8380
    def forward_pv(self):forward_pv
277,8463
    def forward_spread(self):forward_spread
281,8536
    def ref(self):ref
285,8623
    def ref(self, val):ref
289,8689
    def __hash__(self):__hash__
292,8743
    def _update(self, *args):_update
295,8850

analytics/portfolio.py,1379
import pandas as pdpd
4,109
import numpy as npnp
5,129
def portf_repr(method):portf_repr
11,203
    def f(*args):f
12,227
        def percent(x):percent
16,305
class Portfolio:Portfolio
47,1160
    def __init__(self, trades, trade_ids=None):__init__
48,1177
    def __bool__(self):__bool__
59,1604
    def add_trade(self, trades, trade_ids):add_trade
62,1662
    def __iter__(self):__iter__
66,1783
    def __getitem__(self, trade_id):__getitem__
70,1858
    def indices(self):indices
79,2113
    def swaptions(self):swaptions
83,2221
    def tranches(self):tranches
87,2333
    def items(self):items
90,2432
    def pnl(self):pnl
95,2569
    def pnl_list(self):pnl_list
99,2650
    def pv(self):pv
103,2733
    def pv_list(self):pv_list
107,2812
    def reset_pv(self):reset_pv
110,2879
    def value_date(self):value_date
115,2973
    def value_date(self, d):value_date
119,3055
    def mark(self, **kwargs):mark
124,3173
    def shock(self, params=["pnl"], **kwargs):shock
131,3341
    def ref(self):ref
137,3518
    def ref(self, val):ref
144,3699
    def spread(self):spread
158,4201
    def spread(self, val):spread
165,4394
    def delta(self):delta
181,4941
    def gamma(self):gamma
190,5203
    def dv01(self):dv01
194,5318
    def theta(self):theta
198,5401
    def hy_equiv(self):hy_equiv
202,5486
    def _todf(self):_todf
205,5563

analytics/scenarios.py,863
import pandas as pdpd
2,12
import numpy as npnp
4,58
def run_swaption_scenarios(run_swaption_scenarios
14,361
def run_index_scenarios(index, date_range, spread_shock, params=["pnl"]):run_index_scenarios
59,1747
def _aux(portf, curr_vols, params, vs):_aux
73,2222
def MaybePool(nproc):MaybePool
80,2442
def run_portfolio_scenarios_module(run_portfolio_scenarios_module
84,2511
def join_dfs(l_df):join_dfs
123,3643
def run_portfolio_scenarios(portf, date_range, params=["pnl"], **kwargs):run_portfolio_scenarios
139,4219
def run_tranche_scenarios(tranche, spread_range, date_range, corr_map=False):run_tranche_scenarios
201,6522
def run_tranche_scenarios_rolldown(tranche, spread_range, date_range, corr_map=False):run_tranche_scenarios_rolldown
264,8858
def run_curve_scenarios(portf, spread_range, date_range, curve_per):run_curve_scenarios
370,13356

analytics/exceptions.py,56
class MissingDataError(Exception):MissingDataError
1,0

analytics/option.py,4328
import bottleneck as bnbn
1,0
import numpy as npnp
5,67
import pandas as pdpd
6,86
import matplotlib.pyplot as pltplt
23,688
def calib(S0, fp, tilt, w, ctx):calib
36,1011
def ATMstrike(index, exercise_date):ATMstrike
40,1092
class BlackSwaption(ForwardIndex):BlackSwaption
60,1622
    def __init__(__init__
76,1906
    def __setstate__(self, state):__setstate__
91,2427
    def from_tradeid(cls, trade_id, index=None):from_tradeid
97,2597
    def mark(self, source_list=[], surface_id=None, **kwargs):mark
123,3533
    def value_date(self):value_date
164,5123
    def value_date(self, d):value_date
168,5210
    def exercise_date(self):exercise_date
178,5584
    def exercise_date(self, d):exercise_date
182,5673
    def strike(self):strike
193,6047
    def strike(self, K):strike
200,6213
    def atm_strike(self):atm_strike
211,6555
    def moneyness(self):moneyness
219,6795
    def direction(self):direction
225,6964
    def direction(self, d):direction
232,7114
    def intrinsic_value(self):intrinsic_value
241,7370
    def __hash__(self):__hash__
246,7588
    def pv(self):pv
252,7744
    def price(self):price
277,8554
    def price(self, p):price
281,8666
    def tail_prob(self):tail_prob
285,8786
    def pv(self, val):pv
297,9293
        def handle(x):handle
308,9660
    def reset_pv(self):reset_pv
321,9955
    def pnl(self):pnl
325,10030
    def delta(self):delta
335,10368
    def hy_equiv(self):hy_equiv
349,10806
    def T(self):T
355,10960
    def gamma(self):gamma
362,11137
    def theta(self):theta
375,11474
    def vega(self):vega
383,11647
    def DV01(self):DV01
392,11848
    def breakeven(self):breakeven
402,12107
    def shock(self, params, *, spread_shock, vol_surface, vol_shock, **kwargs):shock
425,12875
    def __repr__(self):__repr__
451,14044
    def __str__(self):__str__
488,15623
class Swaption(BlackSwaption):Swaption
492,15709
    def __init__(__init__
495,15780
    def __hash__(self):__hash__
502,16030
    def pv(self):pv
507,16116
    def pv(self, val):pv
550,17609
        def handle(x):handle
556,17767
    def __setpv_black(self, val):__setpv_black
573,18161
    def __setprice_black(self, p):__setprice_black
585,18570
def _get_keys(df, models=["black", "precise"]):_get_keys
591,18746
class QuoteSurface:QuoteSurface
603,19167
    def __init__(__init__
604,19187
    def list(self, source=None):list
635,20461
class VolSurface(QuoteSurface):VolSurface
648,20847
    def __init__(__init__
649,20879
    def __getitem__(self, surface_id):__getitem__
655,21077
    def vol(self, T, moneyness, surface_id):vol
687,22263
    def plot(self, surface_id):plot
693,22517
def _compute_vol(option, strike, mid):_compute_vol
709,23088
def _calibrate_model(_calibrate_model
719,23337
def _calibrate(index, quotes, option_type, **kwargs):_calibrate
764,24963
class ModelBasedVolSurface(VolSurface):ModelBasedVolSurface
771,25224
    def __init__(__init__
772,25264
    def list(self, source=None, option_type=None):list
800,26385
    def __getitem__(self, surface_id):__getitem__
808,26696
    def index_ref(self, surface_id):index_ref
828,27526
    def plot(self, surface_id):plot
833,27682
class BlackSwaptionVolSurface(ModelBasedVolSurface):BlackSwaptionVolSurface
848,28197
class SwaptionVolSurface(ModelBasedVolSurface):SwaptionVolSurface
852,28261
class SABRVolSurface(ModelBasedVolSurface):SABRVolSurface
856,28320
def _forward_annuity(expiry, index):_forward_annuity
861,28398
class ProbSurface(QuoteSurface):ProbSurface
873,28841
    def __init__(__init__
874,28874
    def __getitem__(self, surface_id):__getitem__
881,29145
            def spline(df):spline
923,30908
    def tail_prob(self, T, strike, surface_id):tail_prob
938,31487
    def quantile_spread(self, T, prob, surface_id):quantile_spread
942,31660
        def prob_calib(x, T, surface_id):prob_calib
946,31810
    def quantile_plot(self, surface_id):quantile_plot
964,32276
    def plot(self, surface_id):plot
981,32853
class BivariateLinearFunction:BivariateLinearFunction
997,33435
    def __init__(self, T, f):__init__
1000,33525
    def __call__(self, x, y):__call__
1005,33644
def calib_sabr(x, option, strikes, pv, beta):calib_sabr
1017,34000
def _calibrate_sabr(index, quotes, option_type, beta):_calibrate_sabr
1029,34329

analytics/black.py,270
def d1(F, K, sigma, T):d1
7,115
def d2(F, K, sigma, T):d2
11,211
def d12(F, K, sigma, T):d12
16,322
def cnd_erf(d):cnd_erf
26,533
def black(F, K, T, sigma, payer=True):black
33,753
def Nx(F, K, sigma, T):Nx
42,1044
def bachelier(F, K, T, sigma):bachelier
46,1148

analytics/credit_default_swap.py,1674
import numpy as npnp
4,41
import pandas as pdpd
5,60
class CreditDefaultSwap:CreditDefaultSwap
20,492
    def __init__(__init__
53,1169
    def __hash__(self):__hash__
95,2520
    def _getslots(self):_getslots
98,2616
    def __getstate__(self):__getstate__
105,2863
    def __setstate__(self, state):__setstate__
108,2955
    def start_date(self):start_date
114,3121
    def end_date(self):end_date
118,3194
    def start_date(self, d):start_date
122,3272
    def end_date(self, d):end_date
128,3483
    def spread(self):spread
134,3687
    def direction(self):direction
141,3837
    def direction(self, d):direction
148,3986
    def _update(self):_update
156,4258
    def spread(self, s):spread
190,5268
    def flat_hazard(self):flat_hazard
198,5482
    def pv(self):pv
204,5645
    def pv(self, val):pv
208,5734
    def accrued(self):accrued
214,5952
    def days_accrued(self):days_accrued
218,6076
    def clean_pv(self):clean_pv
222,6159
    def price(self):price
226,6259
    def price(self, val):price
230,6326
    def DV01(self):DV01
269,7693
    def theta(self):theta
277,7888
    def IRDV01(self):IRDV01
288,8336
    def rec_risk(self):rec_risk
307,8947
    def jump_to_default(self):jump_to_default
320,9310
    def risky_annuity(self):risky_annuity
324,9425
    def value_date(self):value_date
328,9520
    def value_date(self, d):value_date
335,9721
    def reset_pv(self):reset_pv
348,10234
    def pnl(self):pnl
353,10366
    def notify(self):notify
364,10751
    def observe(self, obj):observe
368,10835
    def shock(self, params, *, spread_shock, **kwargs):shock
371,10896
    def __repr__(self):__repr__
382,11380

analytics/tranche_functions.py,1760
import numpy as npnp
1,0
import pandas as pdpd
13,332
def wrapped_ndpointer(*args, **kwargs):wrapped_ndpointer
18,398
    def from_param(cls, obj):from_param
21,477
def GHquad(n):GHquad
132,4338
def stochasticrecov(R, Rtilde, Z, w, rho, porig, pmod):stochasticrecov
137,4423
def fitprob(Z, w, rho, p0):fitprob
153,4771
def shockprob(p, rho, Z, give_log):shockprob
161,4962
def shockseverity(S, rho, Z, p):shockseverity
165,5087
def BCloss_recov_dist(BCloss_recov_dist
169,5209
def BCloss_recov_trunc(BCloss_recov_trunc
193,5794
def lossdistrib_joint(p, pp, w, S, Ngrid=101, defaultflag=False):lossdistrib_joint
218,6406
def lossdistrib_joint_Z(p, pp, w, S, rho, Ngrid=101, defaultflag=False, nZ=500):lossdistrib_joint_Z
266,7598
def joint_default_averagerecov_distrib(p, S, Ngrid=101):joint_default_averagerecov_distrib
334,9247
def adjust_attachments(K, losstodate, factor):adjust_attachments
367,10129
def trancheloss(L, K1, K2):trancheloss
375,10334
def trancherecov(R, K1, K2):trancherecov
379,10421
def tranche_cl(L, R, cs, K1, K2, scaled=False):tranche_cl
383,10517
def tranche_cl_trunc(EL, ER, cs, K1, K2, scaled=False):tranche_cl_trunc
401,11063
def tranche_pl(L, cs, K1, K2, scaled=False):tranche_pl
414,11435
def tranche_pl_trunc(EL, cs, K1, K2, scaled=False):tranche_pl_trunc
428,11826
def tranche_pv(L, R, cs, K1, K2):tranche_pv
440,12118
def credit_schedule(tradedate, tenor, coupon, yc, enddate=None):credit_schedule
444,12222
def cds_accrued(tradedate, coupon):cds_accrued
472,13172
def dist_transform(q):dist_transform
489,13704
def dist_transform2(q):dist_transform2
505,14125
def compute_pv(q, strike):compute_pv
520,14528
def average_recov(p, R, Ngrid):average_recov
527,14724
    import numpy as npnp
555,15730

analytics/sabr.py,269
import numpy as npnp
3,30
def sabr_lognormal(alpha, rho, nu, F, K, T):sabr_lognormal
12,201
def sabr_normal(alpha, rho, nu, F, K, T):sabr_normal
29,710
def sabr(alpha, beta, rho, nu, F, K, T):sabr
63,1656
    def calib(x, option, strikes, pv, beta):calib
140,4114

analytics/tranche_basket.py,4566
import matplotlib.pyplot as pltplt
29,815
import pandas as pdpd
30,847
import numpy as npnp
31,867
class Skew:Skew
37,943
    def __init__(self, el: float, skew: CubicSpline):__init__
40,977
    def __iter__(self):__iter__
44,1082
    def __call__(self, k):__call__
48,1157
    def from_desc(from_desc
52,1249
    def plot(self, moneyness_space=True):plot
101,3248
class DualCorrTranche:DualCorrTranche
119,3879
    def __init__(__init__
123,3998
    def maturity(self):maturity
174,5753
    def maturity(self, m):maturity
178,5840
    def _default_prob(self, epsilon=0.0):_default_prob
182,5986
    def __hash__(self):__hash__
190,6208
        def aux(v):aux
191,6232
    def from_tradeid(cls, trade_id):from_tradeid
204,6593
    def value_date(self):value_date
238,7683
    def value_date(self, d: pd.Timestamp):value_date
242,7771
    def tranche_legs(self, K, rho, epsilon=0.0):tranche_legs
260,8437
    def index_pv(self, epsilon=0.0, discounted=True):index_pv
296,9783
    def direction(self):direction
313,10440
    def direction(self, d):direction
320,10589
    def pv(self):pv
329,10875
    def clean_pv(self):clean_pv
342,11307
    def _pv(self, epsilon=0.0):_pv
345,11387
    def spread(self):spread
363,11913
    def upfront(self):upfront
368,12013
    def price(self):price
374,12178
    def upfront(self, upf):upfront
379,12299
        def aux(rho):aux
380,12327
    def reset_pv(self):reset_pv
387,12507
    def singlename_spreads(self):singlename_spreads
391,12623
    def pnl(self):pnl
414,13373
    def __repr__(self):__repr__
426,13787
    def shock(self, params=["pnl"], *, spread_shock, corr_shock, **kwargs):shock
453,14877
    def mark(self, **args):mark
474,15748
    def jump_to_default(self, skew):jump_to_default
528,17715
    def tranche_factor(self):tranche_factor
565,19204
    def duration(self):duration
573,19393
    def hy_equiv(self):hy_equiv
577,19511
    def delta(self):delta
589,19837
    def theta(self, method="ATM", skew=None):theta
598,20099
        def aux(x, K2, shortened):aux
599,20145
        def find_upper_bound(k, shortened):find_upper_bound
609,20469
    def expected_loss(self, discounted=True, shortened=0):expected_loss
642,21616
    def expected_loss_trunc(self, K, rho=None, shortened=0):expected_loss_trunc
657,22163
    def gamma(self):gamma
679,22802
    def _greek_calc(self):_greek_calc
694,23303
class TrancheBasket(BasketIndex):TrancheBasket
706,23699
    def __init__(__init__
709,23807
    def _get_tranche_quotes(self, value_date):_get_tranche_quotes
737,24857
    def value_date(self, d: pd.Timestamp):value_date
786,26975
    def skew(self) -> Skew:skew
799,27543
    def tranche_factors(self):tranche_factors
802,27626
    def _get_quotes(self, spread=None):_get_quotes
805,27726
    def default_prob(self):default_prob
831,28604
    def tranche_legs(self, K, rho, complement=False, shortened=0, zero_recovery=False):tranche_legs
837,28834
    def jump_to_default(self, zero_recovery=False):jump_to_default
869,30140
    def tranche_pvs(tranche_pvs
911,31934
    def index_pv(self, discounted=True, shortened=0, zero_recovery=False):index_pv
938,32802
    def expected_loss(self, discounted=True, shortened=0):expected_loss
962,33732
    def expected_loss_trunc(self, K, rho=None, shortened=0):expected_loss_trunc
976,34205
    def probability_trunc(self, K, rho=None, shortened=0):probability_trunc
990,34774
    def tranche_durations(self, complement=False, zero_recovery=False):tranche_durations
1007,35331
    def tranche_EL(self, complement=False, zero_recovery=False):tranche_EL
1016,35693
    def tranche_spreads(self, complement=False, zero_recovery=False):tranche_spreads
1024,35999
    def _row_names(self):_row_names
1030,36337
    def tranche_thetas(tranche_thetas
1035,36529
    def tranche_fwd_deltas(self, complement=False, shortened=4, method="ATM"):tranche_fwd_deltas
1050,37149
    def tranche_deltas(self, complement=False, zero_recovery=False):tranche_deltas
1065,37724
    def tranche_corr01(self, eps=0.01, complement=False, zero_recovery=False):tranche_corr01
1085,38670
    def build_skew(self, skew_type="bottomup"):build_skew
1100,39160
        def aux(rho, obj, K, quote, spread, complement):aux
1104,39303
    def map_skew(self, index2, method="ATM", shortened=0):map_skew
1151,40880
        def aux(x, index1, el1, index2, el2, K2, shortened):aux
1152,40939
        def aux2(x, index1, index2, K2, shortened):aux2
1165,41424
        def find_upper_bound(*args):find_upper_bound
1174,41788

analytics/basket_index.py,1503
import numpy as npnp
12,390
import pandas as pdpd
13,409
def make_index(t, d, args):make_index
21,569
class BasketIndex(CreditIndex):BasketIndex
28,721
    def __init__(__init__
36,894
    def __reduce__(self):__reduce__
109,3672
    def __hash__(self):__hash__
114,3831
        def aux(v):aux
115,3855
    def _update_factor(self, d):_update_factor
128,4243
    def factor(self):factor
137,4531
    def cumloss(self):cumloss
141,4596
    def version(self):version
145,4663
    def _get_quotes(self, *args):_get_quotes
148,4716
    def value_date(self, d: pd.Timestamp):value_date
161,5197
    def recovery_rates(self):recovery_rates
173,5646
    def pv(self, maturity=None, epsilon=0.0, coupon=None):pv
178,5850
    def pv_vec(self):pv_vec
204,6690
    def coupon_leg(self, maturity=None):coupon_leg
209,6829
    def spread(self, maturity=None):spread
212,6934
    def protection_leg(self, maturity=None):protection_leg
215,7049
    def duration(self, maturity=None):duration
230,7599
    def theta(self, maturity=None, coupon=None, theta_date=None):theta
245,8125
    def coupon(self, maturity=None, assume_flat=True):coupon
286,9544
    def tweak(self, *args):tweak
298,10004
    def _snacpv(self, spread, coupon, recov, maturity):_snacpv
338,11384
    def _snacspread(self, coupon, recov, maturity):_snacspread
352,11737
class MarkitBasketIndex(BasketIndex):MarkitBasketIndex
367,12103
    def __init__(__init__
368,12141
    def _get_quotes(self):_get_quotes
386,12765

analytics/index_data.py,812
import numpy as npnp
3,74
import pandas as pdpd
12,295
def insert_quotes():insert_quotes
15,317
def get_index_quotes(get_index_quotes
57,1985
    def make_str(key, val):make_str
75,2430
    def make_params(args):make_params
92,2983
def index_returns(index_returns
118,3751
def get_singlenames_quotes(indexname, date, tenors):get_singlenames_quotes
172,5743
def build_curve(r, tenors):build_curve
179,5940
def build_curves(quotes, args):build_curves
208,6840
def build_curves_dist(quotes, args, workers=4):build_curves_dist
212,6942
def _get_singlenames_curves(index_type, series, trade_date, tenors):_get_singlenames_curves
221,7249
def get_singlenames_curves(get_singlenames_curves
229,7513
def get_tranche_quotes(index_type, series, tenor, date=datetime.date.today()):get_tranche_quotes
240,7882

analytics/curve_trades.py,1616
import pandas as pdpd
15,516
import statsmodels.formula.api as smfsmf
17,548
import numpy as npnp
18,586
import matplotlib.pyplot as pltplt
19,605
def curve_spread_diff(curve_spread_diff
22,639
def spreads_diff_table(spreads_diff):spreads_diff_table
43,1359
    def current(s):current
44,1397
    def zscore(s):zscore
47,1443
def theta_matrix_by_series(index="IG", rolling=6):theta_matrix_by_series
55,1665
def ratio_within_series(index="IG", rolling=6, param="duration"):ratio_within_series
69,2210
def on_the_run_theta(index="IG", rolling=6):on_the_run_theta
83,2746
def curve_returns(index="IG", rolling=6, years=3):curve_returns
93,3107
def curve_returns_stats(strategies_return):curve_returns_stats
120,3991
    def sharpe(df, period="daily"):sharpe
129,4207
def cross_series_curve(index="IG", rolling=6):cross_series_curve
144,4766
def forward_loss(index="IG"):forward_loss
165,5568
def curve_model(tenor_1="5yr", tenor_2="10yr"):curve_model
190,6492
def curve_model_results(df, model):curve_model_results
212,7129
def spread_fin_crisis(index="IG"):spread_fin_crisis
240,8052
def forward_spread(forward_spread
266,8943
def spot_forward(index="IG", series=None, tenors=["3yr", "5yr", "7yr", "10yr"]):spot_forward
283,9481
def curve_pos(value_date, index_type="IG"):curve_pos
312,10445
def curve_shape(value_date, index="IG", percentile=0.95, spread=None):curve_shape
345,11342
def plot_curve_shape(date):plot_curve_shape
379,12635
def pos_pnl_abs(portf, value_date, index="IG", rolling=6, years=3):pos_pnl_abs
401,13293
def curve_scen_table(portf, shock=10):curve_scen_table
441,14647

analytics/.ropeproject/config.py,90
def set_prefs(prefs):set_prefs
5,45
def project_opened(project):project_opened
120,4706

analytics/ir_swaption.py,407
class IRSwaption:IRSwaption
12,410
    def __init__(__init__
15,476
    def direction(self):direction
39,1214
    def direction(self, d):direction
46,1364
    def pv(self):pv
55,1620
    def sigma(self):sigma
59,1705
    def sigma(self, s):sigma
63,1778
    def from_tradeid(trade_id):from_tradeid
66,1833
    def value_date(self):value_date
85,2521
    def value_date(self, d):value_date
89,2636

analytics/cms_spread.py,1335
import matplotlib.pyplot as pltplt
3,30
import numpy as npnp
4,62
import pandas as pdpd
5,81
def h_call(z, K, S1, S2, mu_x, mu_y, sigma_x, sigma_y, rho):h_call
65,1736
def h_put(z, K, S1, S2, mu_x, mu_y, sigma_x, sigma_y, rho):h_put
95,2444
def _h1(n, args):_h1
111,2935
def get_fixings(conn, tenor1, tenor2, fixing_date=None):get_fixings
139,3547
def build_spread_index(tenor1, tenor2):build_spread_index
166,4454
def get_swaption_vol_data(get_swaption_vol_data
174,4755
def get_swaption_vol_surface(date, vol_type):get_swaption_vol_surface
196,5473
def get_swaption_vol_matrix(date, data, vol_type=VolatilityType.ShiftedLognormal):get_swaption_vol_matrix
202,5739
def quantlib_model(quantlib_model
224,6376
def plot_surf(surf, tenors):plot_surf
269,7924
def globeop_model(globeop_model
276,8104
def get_cms_coupons(trade_date, notional, option_tenor, spread_index, fixing_days=2):get_cms_coupons
297,9151
def get_params(cms_beta, cms_gamma, atm_vol):get_params
325,10095
class CmsSpread:CmsSpread
346,10924
    def __init__(__init__
347,10941
    def from_tradeid(trade_id):from_tradeid
414,13269
    def corr(self):corr
447,14277
    def corr(self, val):corr
451,14347
    def value_date(self):value_date
455,14418
    def value_date(self, d: pd.Timestamp):value_date
459,14500
    def pv(self):pv
470,14940

analytics/__init__.py,171
import pandas as pdpd
21,491
def on_the_run(index, value_date=datetime.date.today()):on_the_run
25,529
def init_ontr(value_date=datetime.date.today()):init_ontr
34,791

analytics/utils.py,737
import numpy as npnp
2,16
import pandas as pdpd
3,35
def GHquad(n):GHquad
40,952
def next_twentieth(d):next_twentieth
46,1080
def third_wednesday(d):third_wednesday
56,1285
def next_third_wed(d):next_third_wed
63,1491
def roll_date(d, tenor, nd_array=False):roll_date
71,1644
    def kwargs(t):kwargs
75,1774
def build_table(rows, format_strings, row_format):build_table
121,3455
    def apply_format(row, format_string):apply_format
122,3506
def memoize(f=None, *, hasher=lambda args: (hash(args),)):memoize
141,4064
    def cached_f(*args, **kwargs):cached_f
146,4203
def to_TDate(arr: np.ndarray):to_TDate
159,4496
def get_external_nav(engine, trade_id, value_date=None, trade_type="swaption"):get_external_nav
164,4620

.credentials/guillaume.horel@serenitascapital.com.json,2342
{"access_token": "ya29.Gl2ABp1nxBLEB-rKr6neCpHhDJvbxwXaYJ608mfORpdQmcPmtVhanAV5ezSh15c8AgRb7vNg0access_token
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{"access_token": "ya29.Gl2ABp1nxBLEB-rKr6neCpHhDJvbxwXaYJ608mfORpdQmcPmtVhanAV5ezSh15c8AgRb7vNg0client_id
1,0
{"access_token": "ya29.Gl2ABp1nxBLEB-rKr6neCpHhDJvbxwXaYJ608mfORpdQmcPmtVhanAV5ezSh15c8AgRb7vNg0client_secret
1,0
{"access_token": "ya29.Gl2ABp1nxBLEB-rKr6neCpHhDJvbxwXaYJ608mfORpdQmcPmtVhanAV5ezSh15c8AgRb7vNg0refresh_token
1,0
{"access_token": "ya29.Gl2ABp1nxBLEB-rKr6neCpHhDJvbxwXaYJ608mfORpdQmcPmtVhanAV5ezSh15c8AgRb7vNg0token_expiry
1,0
{"access_token": "ya29.Gl2ABp1nxBLEB-rKr6neCpHhDJvbxwXaYJ608mfORpdQmcPmtVhanAV5ezSh15c8AgRb7vNg0token_uri
1,0
{"access_token": "ya29.Gl2ABp1nxBLEB-rKr6neCpHhDJvbxwXaYJ608mfORpdQmcPmtVhanAV5ezSh15c8AgRb7vNg0user_agent
1,0
{"access_token": "ya29.Gl2ABp1nxBLEB-rKr6neCpHhDJvbxwXaYJ608mfORpdQmcPmtVhanAV5ezSh15c8AgRb7vNg0revoke_uri
1,0
{"access_token": "ya29.Gl2ABp1nxBLEB-rKr6neCpHhDJvbxwXaYJ608mfORpdQmcPmtVhanAV5ezSh15c8AgRb7vNg0id_token
1,0
{"access_token": "ya29.Gl2ABp1nxBLEB-rKr6neCpHhDJvbxwXaYJ608mfORpdQmcPmtVhanAV5ezSh15c8AgRb7vNg0id_token_jwt
1,0
{"access_token": "ya29.Gl2ABp1nxBLEB-rKr6neCpHhDJvbxwXaYJ608mfORpdQmcPmtVhanAV5ezSh15c8AgRb7vNg0access_token
1,0
{"access_token": "ya29.Gl2ABp1nxBLEB-rKr6neCpHhDJvbxwXaYJ608mfORpdQmcPmtVhanAV5ezSh15c8AgRb7vNg0expires_in
1,0
{"access_token": "ya29.Gl2ABp1nxBLEB-rKr6neCpHhDJvbxwXaYJ608mfORpdQmcPmtVhanAV5ezSh15c8AgRb7vNg0scope
1,0
{"access_token": "ya29.Gl2ABp1nxBLEB-rKr6neCpHhDJvbxwXaYJ608mfORpdQmcPmtVhanAV5ezSh15c8AgRb7vNg0token_type
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{"access_token": "ya29.Gl2ABp1nxBLEB-rKr6neCpHhDJvbxwXaYJ608mfORpdQmcPmtVhanAV5ezSh15c8AgRb7vNg0token_response
1,0
{"access_token": "ya29.Gl2ABp1nxBLEB-rKr6neCpHhDJvbxwXaYJ608mfORpdQmcPmtVhanAV5ezSh15c8AgRb7vNg00
1,0
{"access_token": "ya29.Gl2ABp1nxBLEB-rKr6neCpHhDJvbxwXaYJ608mfORpdQmcPmtVhanAV5ezSh15c8AgRb7vNg0scopes
1,0
{"access_token": "ya29.Gl2ABp1nxBLEB-rKr6neCpHhDJvbxwXaYJ608mfORpdQmcPmtVhanAV5ezSh15c8AgRb7vNg0token_info_uri
1,0
{"access_token": "ya29.Gl2ABp1nxBLEB-rKr6neCpHhDJvbxwXaYJ608mfORpdQmcPmtVhanAV5ezSh15c8AgRb7vNg0invalid
1,0
{"access_token": "ya29.Gl2ABp1nxBLEB-rKr6neCpHhDJvbxwXaYJ608mfORpdQmcPmtVhanAV5ezSh15c8AgRb7vNg0_class
1,0
{"access_token": "ya29.Gl2ABp1nxBLEB-rKr6neCpHhDJvbxwXaYJ608mfORpdQmcPmtVhanAV5ezSh15c8AgRb7vNg0_module
1,0

.credentials/ghorel@lmcg.com.json,94
    "password": "LMCG2019ggh",password
2,2
    "username": "LEEMUNDER\\ghorel"username
3,33

debug_forward_price.py,0

bespoke_utils.py,611
import pandas as pdpd
5,160
def insert_bbg_tickers(conn: connection, tickers: List[str]) -> Dict[str, Tuple[str, str]]:insert_bbg_tickers
8,182
def insert_bbg_markit_mapping(conn: connection, d: Dict[str, Tuple[str, str]], df: pd.DataFrame)insert_bbg_markit_mapping
48,1795
def backpopulate_short_codes(conn: connection):backpopulate_short_codes
60,2385
def get_bbg_ids(conn: connection, df: pd.DataFrame,get_bbg_ids
80,3332
def get_basketid(conn: connection, name: str) -> Tuple[int, int]:get_basketid
94,4090
def add_basket_constituents(conn: connection, basketid: int,add_basket_constituents
106,4558

download_markit_quotes.py,74
from selenium.webdriver.support import expected_conditions as ECEC
6,247

process_queue.py,976
import task_server.config as configconfig
9,110
def get_effective_date(d, swaption_type):get_effective_date
291,6943
def get_trades(q, trade_type="bond", fund="SERCGMAST"):get_trades
299,7214
def rename_keys(d, mapping):rename_keys
319,7916
def build_termination(build_termination
326,8098
def build_line(obj, trade_type="bond"):build_line
452,12102
def get_bbg_data(get_bbg_data
632,19360
def bond_trade_process(conn, session, trade):bond_trade_process
743,22752
def send_email(trade):send_email
765,23637
def is_tranche_trade(trade):is_tranche_trade
774,23867
def cds_trade_process(conn, session, trade):cds_trade_process
778,23963
def generate_csv(l, trade_type="bond", fund="SERCGMAST"):generate_csv
823,25362
def get_filepath(get_filepath
837,25758
def upload_file(file_path: pathlib.Path) -> None:upload_file
864,26493
def write_buffer(write_buffer
875,26800
def email_subject(trade):email_subject
886,27035
def print_trade(trade):print_trade
895,27240

bbg_newids.py,77
import pandas as pdpd
3,116
import numpy as npnp
4,136
def f(s):f
28,1065

futures.py,126
def nextIMMDates(startdate, length = 8):nextIMMDates
14,270
def QLnextIMMCodes(startdate, length = 8):QLnextIMMCodes
33,932

task_runner.py,22
def run():run
10,179

tasks.py,356
def build_portfolios(workdate, dealname, reinvflag):build_portfolios
8,124
def build_scenarios(workdate, dealname, reinvflag):build_scenarios
15,472
class Rpc(object):Rpc
22,818
    def __init__(self, fun, args):__init__
23,837
    def __str__(self):__str__
27,921
    def __call__(self):__call__
30,1025
    def from_json(cls, s):from_json
34,1107

test_dispertion.py,0

test_igoption.py,0

risk/tranches.py,177
def get_tranche_portfolio(date, conn, by_strat=False, fund="SERCGMAST"):get_tranche_portfolio
7,104
def insert_tranche_portfolio(portf, conn):insert_tranche_portfolio
52,1644

risk/swaptions.py,172
def get_swaption_portfolio(date, conn, **kwargs):get_swaption_portfolio
9,139
def insert_swaption_portfolio(portf, conn, overwrite=True):insert_swaption_portfolio
30,886

risk/bonds.py,518
import pandas as pdpd
1,0
import numpy as npnp
2,20
class AssetClass(Enum):AssetClass
10,129
def get_df(date, engine, *, zero_factor=False):get_df
17,228
def subprime_risk(pos_date, conn, engine, model_date=None):subprime_risk
85,2935
def insert_subprime_risk(df, conn):insert_subprime_risk
158,5440
def get_portfolio(date, conn, asset_class: AssetClass, fund="SERCGMAST"):get_portfolio
206,6510
def crt_risk(date, dawn_conn, engine):crt_risk
224,7192
def clo_risk(date, dawn_conn, et_conn):clo_risk
247,7886

risk/__main__.py,28
import pandas as pdpd
2,16

risk/indices.py,215
import pandas as pdpd
2,16
def get_index_portfolio(get_index_portfolio
11,266
def VaR(VaR
44,1089
def insert_curve_risk(d: datetime.date, conn: connection, strategies=("SER_IGCURVE",)):insert_curve_risk
90,2698

risk/__init__.py,0

dtcc_sdr.py,698
import pandas as pdpd
3,26
def download_credit_slices(d: datetime.date) -> None:download_credit_slices
15,288
def download_cumulative_credit(d: datetime.date) -> None:download_cumulative_credit
25,667
def load_data():load_data
34,997
def apply_corrections(conn: connection, df):apply_corrections
69,2031
def process_option_data(conn: connection, df):process_option_data
81,2381
def process_tranche_data(df):process_tranche_data
127,4051
def map_tranche(df):map_tranche
134,4271
def insert_correction(conn: connection, dissemination_id: int, **kwargs) -> None:insert_correction
187,6305
def get_correction(conn: connection, dissemination_id: int) -> Dict[str, Any]:get_correction
196,6571

optim_alloc.py,404
import numpy as npnp
2,13
from matplotlib import pyplot as pltplt
4,44
def cor2cov(Rho, vol):cor2cov
7,106
def rho(sigma, delta, volF):rho
10,175
def resid_vol(rho, delta, volF):resid_vol
14,329
def var(rho, delta, volF):var
18,462
def compute_allocation(rho_clo = 0.9, rho_cso=0.6, rho_subprime=0.2,compute_allocation
22,596
def plot_allocation(W, fund_return, fund_vol):plot_allocation
60,2146

.ipynb_checkpoints/backfill_cds-checkpoint.py,31
def convert(x):convert
10,156

position.py,1020
import numpy as npnp
3,80
import pandas as pdpd
4,99
def get_list(get_list
14,275
def get_list_range(engine, begin, end, asset_class=None):get_list_range
44,1207
def backpopulate_marks(begin_str="2015-01-15", end_str="2015-07-15"):backpopulate_marks
65,1956
def update_securities(engine, session, workdate):update_securities
93,3340
def init_fx(session, engine, startdate):init_fx
120,4354
def update_fx(conn, session, currencies):update_fx
131,4814
def init_swap_rates(init_swap_rates
150,5474
def init_swaption_vol(init_swaption_vol
173,6206
def split_tenor_expiry(ticker, vol_type="N"):split_tenor_expiry
188,6636
def insert_swaption_vol(data, conn, source, vol_type="N"):insert_swaption_vol
199,6952
def update_swaption_vol(update_swaption_vol
224,7946
def update_swap_rates(update_swap_rates
269,9558
def update_cash_rates(conn, session, start_date=None):update_cash_rates
286,10181
def populate_cashflow_history(engine, session, workdate=None, fund="SERCGMAST"):populate_cashflow_history
312,11097

cds_curve.py,122
import pandas as pdpd
5,142
def all_curves_pv(all_curves_pv
10,193
def calibrate_portfolio(calibrate_portfolio
35,1141

murano.py,187
import pandas as pdpd
1,0
def generate_table(df):generate_table
64,2976
def list_placeholders(df):list_placeholders
99,4294
def nat_to_null(d, _NULL=AsIs('NULL'),nat_to_null
118,4962

script_calibrate_tranches.py,26
import numpy as npnp
1,0

dates.py,380
import pandas as pdpd
2,16
    from dateutil.parser import parse as isoparseisoparse
9,157
def imm_dates(start_date, end_date):imm_dates
19,538
def previous_twentieth(d):previous_twentieth
30,886
def imm_date(d):imm_date
40,1100
def days_accrued(tradedate):days_accrued
49,1306
def isleapyear(date):isleapyear
62,1766
def yearfrac(date1, date2, daycount):yearfrac
66,1873

thetas-durations.py,209
import numpy as npnp
2,16
import pandas as pdpd
3,35
def get_legs(index, series, tenors):get_legs
23,604
def index_pv(fl, cl, value_date, step_in_date, cash_settle_date, yc, sc, recovery):index_pv
52,1678

markit/import_quotes.py,689
import numpy as npnp
4,42
import pandas as pdpd
5,61
def convert(x):convert
15,236
def get_index_list(database, workdate):get_index_list
22,335
def get_markit_bbg_mapping(database, basketid_list, workdate):get_markit_bbg_mapping
48,1007
def get_bbg_tickers(database, basketid_list, workdate):get_bbg_tickers
77,2202
def get_basketids(database, index_list, workdate):get_basketids
89,2625
def get_current_tickers(database, workdate):get_current_tickers
97,2881
def insert_cds(database, workdate):insert_cds
103,3115
def get_date(f):get_date
159,5266
def insert_index(engine, workdate=None):insert_index
168,5470
def insert_tranche(engine, workdate=None):insert_tranche
235,7845

markit/__main__.py,96
import numpy as npnp
3,31
import pandas as pdpd
4,50
def default_date():default_date
33,1091

markit/rates.py,180
import pandas as pdpd
6,81
import xml.etree.ElementTree as ETET
10,182
def downloadMarkitIRData(download_date=datetime.date.today(), currency="USD"):downloadMarkitIRData
16,295

markit/loans.py,265
def download_facility(workdate, payload):download_facility
12,170
def insert_facility(conn, workdate):insert_facility
24,566
def download_marks(conn, workdate, payload):download_marks
50,1489
def update_facility(conn, workdate, payload):update_facility
81,2669

markit/.ropeproject/config.py,90
def set_prefs(prefs):set_prefs
5,45
def project_opened(project):project_opened
120,4706

markit/cds.py,216
import pandas as pdpd
9,140
def convertToNone(v):convertToNone
14,205
def download_cds_data(payload):download_cds_data
18,261
def download_composite_data(payload, historical=False):download_composite_data
40,912

markit/README.md,0

markit/__init__.py,0

swaption_quotes.py,101
import pandas as pdpd
2,16
def get_refids(get_refids
8,138
def adjust_stacks(adjust_stacks
32,723

ecb_yieldcurve.py,0

load_cf.py,884
import pandas as pdpd
3,27
import numpy as npnp
5,101
import rpy2.robjects as roro
26,592
def sanitize_float(string):sanitize_float
30,636
def processzipfiles(tradedate=datetime.date.today()):processzipfiles
41,889
def get_configfile(dealname, tradedate):get_configfile
69,2057
def get_dist(date):get_dist
85,2483
def get_dealdata(dealname, tradedate):get_dealdata
96,2772
def get_cusipdata(cusip, tradedate):get_cusipdata
109,3241
def get_dealschedule(dealdata, freq="1Mo", adj=Unadjusted):get_dealschedule
115,3446
def dealname_from_cusip(conn, cusips):dealname_from_cusip
132,3968
def discounts(tradedate):discounts
139,4154
def getdealcf(dealnames, zipfiles, tradedate=datetime.date.today()):getdealcf
153,4716
def getcusipcf(params, cfdata, tradedate):getcusipcf
205,6912
def compute_delta(dist, dealweight, cusip_pv, tradedate, K1=0, K2=1):compute_delta
258,9042

globeop_reports.py,612
import pandas as pdpd
8,295
import numpy as npnp
9,315
def get_monthly_pnl(group_by=["identifier"]):get_monthly_pnl
13,352
def get_portfolio(report_date=None):get_portfolio
34,1003
def trade_performance():trade_performance
56,1672
def get_net_navs():get_net_navs
100,3322
def shift_cash(date, amount, df, strat):shift_cash
119,3981
def calc_trade_performance_stats():calc_trade_performance_stats
126,4229
def hist_pos(asset_class="rmbs", dm=False):hist_pos
147,4981
def rmbs_pos(date, model_date=None, dm=False):rmbs_pos
167,5643
def crt_pos(date):crt_pos
246,8526
def clo_pos(date):clo_pos
252,8626

risk_insight/templates/indices.html,246
    <div id="graph" class="graph">graph
7,131
    <div id="select-box">select-box
9,177
      <select id="index">index
10,203
      <select id="series">series
16,399
      <select id="tenor">tenor
21,535
      <select id="what">what
29,760

risk_insight/templates/tranches.html,268
    <div id="graph1" class="graph"></div>graph1
7,131
    <div id="graph2" class="graph"></div>graph2
8,173
      <select id="index">index
10,245
      <select id="series">series
16,439
      <select id="tenor">tenor
21,576
      <select id="greek">greek
29,823

risk_insight/templates/index.html,0

risk_insight/views.py,353
def get_attach_from_name(index_type, series):get_attach_from_name
11,165
def get_db():get_db
29,704
def close_connection(exception):close_connection
39,945
def get_risk_numbers():get_risk_numbers
46,1091
def get_indices_quotes():get_indices_quotes
71,2043
def tranches():tranches
109,3208
def indices():indices
118,3479
def main():main
123,3601

risk_insight/.ropeproject/config.py,90
def set_prefs(prefs):set_prefs
5,45
def project_opened(project):project_opened
120,4706

risk_insight/static/insight.css,86
.graph{.graph
6,74
#select-box{#select-box
14,193
.select-box2{.select-box2
19,255

risk_insight/__init__.py,0

thetas_durations.py,209
import numpy as npnp
2,16
import pandas as pdpd
3,35
def get_legs(index, series, tenors):get_legs
23,604
def index_pv(fl, cl, value_date, step_in_date, cash_settle_date, yc, sc, recovery):index_pv
52,1678

parse_preqin.py,0

exchange.py,275
def get_account(email_address):get_account
6,118
class ExchangeMessage:ExchangeMessage
19,527
    def get_msgs(self, count=None, path=["GS", "Swaptions"], **filters):get_msgs
22,597
    def send_email(self, subject, body, to_recipients, cc_recipients):send_email
34,1017

gmail_helpers.py,629
def get_gmail_service():get_gmail_service
19,424
def ListMessagesWithLabels(service, user_id, label_ids=[]):ListMessagesWithLabels
57,1602
def ListHistory(service, user_id, label_id=None, start_history_id=10000):ListHistory
94,2902
def labels_dict(service, user_id):labels_dict
137,4292
class GmailMessage(EmailMessage):GmailMessage
155,4873
    def __init__(self):__init__
159,4947
    def msgdict(self):msgdict
166,5206
    def send(self):send
169,5305
    def list_msg_ids(cls, label, start_history_id=None):list_msg_ids
182,5688
    def from_id(cls, msg_id, user_id="me"):from_id
196,6136
def main():main
214,6765

utils/db.py,664
import numpy as npnp
10,337
class InfDateAdapter:InfDateAdapter
14,372
    def __init__(self, wrapped):__init__
15,394
    def getquoted(self):getquoted
18,459
def nan_to_null(f, _NULL=AsIs("NULL"), _Float=psycopg2.extensions.Float):nan_to_null
27,749
def dbconn(dbname, cursor_factory=NamedTupleCursor):dbconn
38,1027
def dbengine(dbname, cursor_factory=NamedTupleCursor):dbengine
53,1426
def with_connection(dbname):with_connection
80,2315
    def decorator(f):decorator
81,2344
        def with_connection_(*args, **kwargs):with_connection_
84,2397
def query_db(conn, sqlstr, params=None, one=True):query_db
99,2754
def close_db():close_db
121,3229

utils/__init__.py,312
class SerenitasFileHandler(logging.FileHandler):SerenitasFileHandler
6,51
    def __init__(self, log_file):__init__
13,272
class SerenitasRotatingFileHandler(logging.handlers.RotatingFileHandler):SerenitasRotatingFileHandler
18,447
    def __init__(self, log_file, maxBytes=0, backupCount=0):__init__
21,587

swaption_pnl.py,111
import pandas as pdpd
2,16
def get_index_pv(get_index_pv
11,284
def get_swaption_pv(get_swaption_pv
47,1381

pyisda/Makefile,100
build:build
1,0
clean:clean
4,45
install:install
8,169
docs: builddocs
11,194
test:test
14,226

pyisda/c_layer/cdsbootstrap.c,61
int cdsBootstrapPointFunctioncdsBootstrapPointFunction
3,27

pyisda/c_layer/survival_curve.hpp,1078
struct CurveName {CurveName
3,19
    enum class __attribute__ ((__packed__)) Seniority {Seniority
4,38
        Senior,Senior
5,94
        SubordinatedSubordinated
6,110
    enum class __attribute__ ((__packed__)) DocClause {DocClause
9,139
        XR14,XR14
10,195
        MR14,MR14
11,209
        MM14,MM14
12,223
        CR14CR14
13,237
    void serialize(unsigned char* buf) {serialize
15,257
    std::string full_ticker() {full_ticker
23,523
    void serialize(unsigned char* buf, size_t num) {serialize
29,698
    CurveName(std::string& ticker, Seniority seniority, DocClause doc_clause) :CurveName
37,982
    CurveName(const unsigned char* buf) {CurveName
42,1152
    CurveName() {};CurveName
50,1416
    size_t size() {size
52,1437
    bool operator<(const CurveName &other) const {operator <
56,1541
    std::string str_seniority() const {str_seniority
63,1836
    std::string str_doc_clause() const {str_doc_clause
72,2057
    std::string ticker;ticker
85,2373
    Seniority seniority;seniority
86,2397
    DocClause doc_clause;doc_clause
87,2422

pyisda/c_layer/cdsbootstrap.h,512
#define SUCCESS SUCCESS
12,171
#define FAILURE FAILURE
13,189
{__anoneade35ba0108
16,224
    TDate           stepinDate;stepinDate
17,226
    TDate           cashSettleDate;cashSettleDate
18,258
    TCurve         *discountCurve;discountCurve
19,294
    TCurve         *cdsCurve;cdsCurve
20,329
    double          recoveryRate;recoveryRate
21,359
    double          spread;spread
22,393
    TContingentLeg *cl;cl
23,421
    TFeeLeg        *fl;fl
24,445
} cds_bootstrap_ctx;cds_bootstrap_ctx
25,469

pyisda/setup.py,0

pyisda/example.py,0

pyisda/pyisda/legs.pyx,864
cdef class ContingentLeg:ContingentLeg
7,221
    def __cinit__(self, start_date, end_date, double notional,__cinit__
20,532
    def __dealloc__(self):__dealloc__
30,989
    def __reduce__(self):__reduce__
34,1087
    def __hash__(self):__hash__
41,1459
    def end_date(self):end_date
48,1712
    def pv(self, today, step_in_date, value_date, YieldCurve yc not None,pv
51,1791
cdef class FeeLeg:FeeLeg
79,2932
    def __cinit__(self, start_date, end_date, bint pay_accrued_on_default,__cinit__
99,3520
    def __reduce__(self):__reduce__
122,4593
    def __hash__(self):__hash__
131,5114
    def inspect(self):inspect
140,5501
    def cashflows(self):cashflows
155,6149
    def pv(self, today, step_in_date, value_date, YieldCurve yc not None,pv
165,6479
    def accrued(self, today):accrued
193,7608
    def __dealloc__(self):__dealloc__
208,7914

pyisda/pyisda/logging.pxd,0

pyisda/pyisda/version.pyx,28
def version():version
4,71

pyisda/pyisda/cdsone.pxd,0

pyisda/pyisda/optim.pyx,375
cdef free_my_ctx(object cap):free_my_ctx
50,2064
def init_context(YieldCurve yc not None, trade_date, value_date, start_date,init_context
58,2310
cdef api double pv(double Z, void* ctx) nogil except NAN:pv
110,4631
def update_context(object ctx, double S0):update_context
144,6167
def expected_pv(double[:] tilt, double[:] w, double S0, object ctx):expected_pv
150,6382

pyisda/pyisda/credit_index.pyx,2474
from cython.operator cimport dereference as deref, preincrement as preincderef
7,272
from cython.operator cimport dereference as deref, preincrement as preincpreinc
7,272
cimport numpy as npnp
22,1113
import pandas as pdpd
24,1151
cdef TFeeLeg* copyFeeLeg(TFeeLeg* leg) nogil:copyFeeLeg
31,1278
cdef TContingentLeg* copyContingentLeg(TContingentLeg* leg) nogil:copyContingentLeg
43,1802
cdef class CurveList:CurveList
49,2048
    def __init__(self, list curves not None, value_date=None):__init__
52,2107
    def __getitem__(self, tuple name not None):__getitem__
92,3464
    def items(self):items
114,4453
    def weights(self):weights
128,4955
    def tickers(self):tickers
137,5277
    def value_date(self):value_date
146,5572
    def value_date(self, d):value_date
150,5669
    def curves(self):curves
154,5757
    def curves(self, list l not None):curves
173,6403
    def __reduce__(self):__reduce__
205,7564
cdef class CreditIndex(CurveList):CreditIndex
209,7698
    def __init__(self, start_date, maturities, list curves, value_date=None):__init__
210,7733
    def __dealloc__(self):__dealloc__
227,8566
    def __reduce__(self):__reduce__
264,10230
    def __hash__(self):__hash__
269,10421
    def pv_vec(self, step_in_date, cash_settle_date, YieldCurve yc not None):pv_vec
299,11771
    def accrued(self):accrued
355,14242
    def pv(self, step_in_date, cash_settle_date, maturity, YieldCurve yc not None,pv
360,14382
    def theta(self, step_in_date, cash_settle_date, maturity, YieldCurve yc not None,theta
390,15594
    def protection_leg(self, step_in_date, cash_settle_date, maturity, YieldCurve yc not None):protection_leg
447,18058
    def duration(self, step_in_date, cash_settle_date, maturity, YieldCurve yc not None):duration
482,19617
    def maturities(self):maturities
531,21337
    def maturities(self, list val):maturities
541,21560
    def tweak_portfolio(self, double epsilon, maturity, bint inplace=True):tweak_portfolio
554,22030
    def survival_matrix(self, const TDate[::1] schedule=None, double epsilon=0.):survival_matrix
575,22847
cdef unsigned long fill_mask(const TDate maturity, const vector[TDate]& maturities,fill_mask
604,23893
cdef inline int get_maturity_index(TDate maturity, const vector[TDate]& maturities):get_maturity_index
631,24590
cdef pair[TContingentLeg_ptr, TFeeLeg_ptr] get_legs(TDate maturity,get_legs
640,24830
cdef double pv(const vector[shared_ptr[TCurve]]& curves,pv
663,25819

pyisda/pyisda/date.pyx,965
from cpython cimport datetime as c_datetimec_datetime
2,16
cimport numpy as npnp
6,159
cpdef TDate pydate_to_TDate(c_datetime.date d):pydate_to_TDate
13,250
cpdef c_datetime.date TDate_to_pydate(TDate d):TDate_to_pydate
16,363
cdef long dcc(str day_count) except -1:dcc
24,601
def dcc_tostring(long day_count):dcc_tostring
34,862
cdef TDate _previous_twentieth(TDate d, bint roll) nogil:_previous_twentieth
39,980
def previous_twentieth(d, bint roll=True):previous_twentieth
66,1634
def cds_accrued(d, double coupon):cds_accrued
72,1804
cdef TMonthDayYear next_twentieth(TDate d) nogil:next_twentieth
78,2010
cdef inline TDate next_business_day(TDate date, long method) nogil:next_business_day
96,2451
cdef void _roll_date(TDate d, const double* tenors, int n_dates, TDate* output) nogil:_roll_date
103,2645
def roll_date(d, tenor):roll_date
139,3771
def default_accrual(trade_date, edd, start_date, end_date, double notional,default_accrual
166,4595

pyisda/pyisda/curve.pyx,3241
from cython.operator import dereference as deref, preincrement as preincderef
1,0
from cython.operator import dereference as deref, preincrement as preincpreinc
1,0
cimport numpy as npnp
14,726
import numpy as npnp
15,746
import pandas as pdpd
17,783
cdef inline void double_free(double* ptr) nogil:double_free
33,1198
cdef double survival_prob(const TCurve* curve, TDate start_date, TDate maturity_date, double epssurvival_prob
37,1263
cdef class Curve(object):Curve
57,1996
    def __getstate__(self):__getstate__
59,2023
    def __setstate__(self, bytes state):__setstate__
68,2318
    cdef size_t size(self) nogil:size
75,2564
    def from_bytes(cls, object state):from_bytes
79,2661
    def __hash__(self):__hash__
94,3192
    def inspect(self):inspect
104,3540
    def to_series(self, bint forward=True):to_series
120,4098
    def __iter__(self):__iter__
151,5303
    def __len__(self):__len__
158,5531
    def __deepcopy__(self, dict memo):__deepcopy__
161,5597
    def forward_hazard_rates(self):forward_hazard_rates
170,5875
    def base_date(self):base_date
202,7081
    def __forward_zero_price(self, d2, d1=None):__forward_zero_price
205,7166
cdef fArray_to_list(TRatePt* fArray, int fNumItems):fArray_to_list
224,7764
cdef class YieldCurve(Curve):YieldCurve
231,7971
    def __init__(self, date, str types,__init__
260,8933
    cdef size_t size(self) nogil:size
317,11087
    def __getstate__(self):__getstate__
320,11207
    def __setstate__(self, bytes state):__setstate__
332,11586
    def __deepcopy__(self, dict memo):__deepcopy__
345,12076
    def from_bytes(cls, object state):from_bytes
353,12363
    def __hash__(self):__hash__
376,13163
    def from_discount_factors(cls, base_date, list dates, double[:] dfs, str day_count_conv):from_discount_factors
393,13727
    def dates(self):dates
413,14661
    def expected_forward_curve(self, forward_date):expected_forward_curve
419,14801
cdef void tweak_curve(const TCurve* sc, TCurve* sc_tweaked, double epsilon,tweak_curve
443,15873
cdef class SpreadCurve(Curve):SpreadCurve
462,16544
    def __init__(self, today, YieldCurve yc not None, start_date, step_in_date,__init__
484,17217
    cdef size_t size(self) nogil:size
622,23359
    def __getstate__(self):__getstate__
627,23568
    def __setstate__(self, bytes state):__setstate__
644,24196
    def __deepcopy__(self, dict memo):__deepcopy__
662,24926
    def defaulted(self):defaulted
675,25549
    def default_date(self):default_date
679,25625
    def from_bytes(cls, bytes state):from_bytes
684,25755
    def __hash__(self):__hash__
710,26809
    def from_flat_hazard(cls, base_date, double rate, Basis basis=CONTINUOUS,from_flat_hazard
728,27502
    def tweak_curve(self, double epsilon, bint multiplicative=True,tweak_curve
764,29003
    def par_spread(self, today, step_in_date, start_date, end_dates,par_spread
801,30360
    def recovery_rates(self):recovery_rates
854,32556
    def ticker(self):ticker
862,32861
    def full_ticker(self):full_ticker
866,32936
    def seniority(self):seniority
870,33023
    def doc_clause(self):doc_clause
874,33120
cdef TCurve* _fill_curve(const TCurve* sc, const TDate* end_dates, int n_dates) nogil:_fill_curve
880,33257

pyisda/pyisda/credit_index.pxd,92
cdef class CurveList:CurveList
8,224
cdef class CreditIndex(CurveList):CreditIndex
16,471

pyisda/pyisda/legs.pxd,607
    cdef TContingentLeg* JpmcdsCdsContingentLegMake(JpmcdsCdsContingentLegMake
39,866
    cdef TFeeLeg* JpmcdsCdsFeeLegMake(JpmcdsCdsFeeLegMake
50,1276
    cdef int JpmcdsContingentLegPV(TContingentLeg *cl,    # Contingent legJpmcdsContingentLegPV
80,2612
   cdef int JpmcdsFeeLegPV(TFeeLeg *fl,JpmcdsFeeLegPV
90,3247
   cdef TCashFlowList* JpmcdsFeeLegFlows(TFeeLeg *fl)JpmcdsFeeLegFlows
99,3605
   cdef void JpmcdsFeeLegFree(TFeeLeg *p)JpmcdsFeeLegFree
101,3660
   cdef void FeeLegAI(TFeeLeg* fl,FeeLegAI
103,3703
cdef class ContingentLeg:ContingentLeg
107,3808
cdef class FeeLeg:FeeLeg
111,3870

pyisda/pyisda/date.pxd,440
from cpython cimport datetime as c_datetimec_datetime
1,0
cdef long dcc(str day_count) except -1dcc
7,206
cpdef TDate pydate_to_TDate(c_datetime.date d)pydate_to_TDate
89,3090
cpdef c_datetime.date TDate_to_pydate(TDate d)TDate_to_pydate
91,3138
cdef void _roll_date(TDate d, const double* tenors, int n_dates, TDate* output) nogil_roll_date
93,3186
cdef TDate _previous_twentieth(TDate d, bint roll) nogil_previous_twentieth
94,3272

pyisda/pyisda/logging.pyx,244
def enable_logging():enable_logging
3,53
def disable_logging():disable_logging
11,239
def set_logging_file(str file_name, TBoolean append = True):set_logging_file
15,312
def log_message(str msg):log_message
21,502
def flush():flush
25,585

pyisda/pyisda/curve.pxd,924
cdef inline size_t TCurve_size(const TCurve* curve) nogil:TCurve_size
46,1483
cdef inline unsigned char* serialize(const TCurve* curve, unsigned char* buf) nogil:serialize
50,1660
cdef inline void serialize_vector(const vector[TDate]& v, unsigned char* cursor) nogil:serialize_vector
62,2187
cdef inline const unsigned char* deserialize(const unsigned char* buf, TCurve* curve) nogil:deserialize
69,2435
cdef double survival_prob(const TCurve* curve, TDate start_date,survival_prob
184,7819
cdef inline const TCurve* get_TCurve(Curve c) nogil:get_TCurve
246,9502
cdef class Curve:Curve
249,9593
    cdef size_t size(self) nogilsize
251,9648
cdef class YieldCurve(Curve):YieldCurve
253,9682
cdef class SpreadCurve(Curve):SpreadCurve
256,9742
cdef fArray_to_list(TRatePt* fArray, int fNumItems)fArray_to_list
261,9878
cdef void tweak_curve(const TCurve* sc, TCurve* sc_tweaked, double epsilon,tweak_curve
263,9931

pyisda/pyisda/__init__.py,0

pyisda/pyisda/cdsone.pyx,198
def upfront_charge(date, value_date, benchmark_start_date, stepin_date,upfront_charge
7,119
def spread_from_upfront(date, value_date, benchmark_start_date, stepin_date,spread_from_upfront
69,2760

pyisda/pyisda/utils.py,317
import numpy as npnp
22,516
import xml.etree.ElementTree as ETET
27,605
def getMarkitIRData(getMarkitIRData
32,709
def rate_helpers(currency="USD", MarkitData=None):rate_helpers
62,1932
def YC(currency="USD", helpers=None, MarkitData=None):YC
117,3629
def build_yc(trade_date, ql_curve=False):build_yc
124,3864

pyisda/tests/test_pickle.py,236
import numpy as npnp
2,16
class TestPickle(unittest.TestCase):TestPickle
10,202
    def assertListAlmostEqual(self, l1, l2):assertListAlmostEqual
14,329
    def test_yc(self):test_yc
20,513
    def test_legs(self):test_legs
27,780

pyisda/docs/Makefile,1125
SPHINXOPTS    =SPHINXOPTS
5,92
SPHINXBUILD   = sphinx-buildSPHINXBUILD
6,108
PAPER         =PAPER
7,137
BUILDDIR      = _buildBUILDDIR
8,153
PAPEROPT_a4     = -D latex_paper_size=a4PAPEROPT_a4
11,199
PAPEROPT_letter = -D latex_paper_size=letterPAPEROPT_letter
12,240
ALLSPHINXOPTS   = -d $(BUILDDIR)/doctrees $(PAPEROPT_$(PAPER)) $(SPHINXOPTS) .ALLSPHINXOPTS
13,285
I18NSPHINXOPTS  = $(PAPEROPT_$(PAPER)) $(SPHINXOPTS) .I18NSPHINXOPTS
15,441
help:help
18,510
clean:clean
48,2155
html:html
52,2198
dirhtml:dirhtml
58,2351
singlehtml:singlehtml
64,2519
pickle:pickle
70,2693
json:json
76,2847
htmlhelp:htmlhelp
82,2997
qthelp:qthelp
89,3219
applehelp:applehelp
99,3614
devhelp:devhelp
108,3942
epub:epub
118,4239
epub3:epub3
124,4388
latex:latex
130,4542
latexpdf:latexpdf
138,4837
latexpdfja:latexpdfja
145,5082
text:text
152,5337
man:man
158,5486
texinfo:texinfo
164,5637
info:info
172,5932
gettext:gettext
179,6175
changes:changes
185,6345
linkcheck:linkcheck
191,6498
doctest:doctest
198,6723
coverage:coverage
204,6935
xml:xml
210,7146
pseudoxml:pseudoxml
216,7296
dummy:dummy
222,7473

pyisda/docs/conf.py,0

pyisda/docs/index.rst,121
Welcome to PyISDA's documentation!Welcome to PyISDA's documentation!
6,217
Indices and tablesIndices and tables
16,337

pyisda/docs/api.rst,18
PyISDAPyISDA
1,0

graphics.py,474
import numpy as npnp
1,0
import matplotlib.pyplot as pltplt
2,19
def shiftedColorMap(cmap, start=0, midpoint=0.5, stop=1.0, name='shiftedcmap'):shiftedColorMap
10,238
def plot_color_map(series, sort_order = [True,True], color_map=cm.RdYlGn, centered = True):plot_color_map
61,1995
def plot_prob_map(df, attr="pnl", path=".", color_map=cm.RdYlGn, index='IG'):plot_prob_map
94,3197
def plot_swaption_df(df, spread_shock, vol_shock, attr="pnl"):plot_swaption_df
122,4267

insert_index.py,0

bbg_prices.py,57
import numpy as npnp
3,101
import pandas as pdpd
4,120

tests/test_cds.py,357
import numpy as npnp
7,190
class TestUpfront(unittest.TestCase):TestUpfront
16,399
    def test_upfront(self):test_upfront
22,590
    def test_cdsone(self):test_cdsone
25,680
    def test_annuity(self):test_annuity
44,1722
class TestSpreadCurve(unittest.TestCase):TestSpreadCurve
49,1965
    def test_upfront_curves(self):test_upfront_curves
51,2008

tests/test_tranche_basket.py,320
import numpy as npnp
4,85
class TestPickle(unittest.TestCase):TestPickle
8,120
    def test_pickle(self):test_pickle
11,207
    def test_pv(self):test_pv
15,343
class TestTopDown(unittest.TestCase):TestTopDown
19,426
    def test_bottomup(self):test_bottomup
25,656
    def test_topdown(self):test_topdown
30,852

tests/test_upfront_cds.py,263
import pandas as pdpd
13,777
import numpy as npnp
21,1008
def snac_pv(spread, term_date, fixed_coupon=0.01, recovery=0.4, ts=YC()):snac_pv
23,1028
def jpmorgan_curves(trade_date, value_date, start_date, end_date, spread, recovery=0.4):jpmorgan_curves
45,2470

tests/test_cms_spread.py,350
import numpy as npnp
3,28
class TestCmsSpread(unittest.TestCase):TestCmsSpread
24,872
    def setUp(self):setUp
26,913
    def test_black_model(self):test_black_model
78,3182
    def test_h1_hcall(self):test_h1_hcall
91,3903
    def test_scipy_integrate(self):test_scipy_integrate
101,4301
    def test_CmsSpread(self):test_CmsSpread
108,4657

tests/test_yieldcurve.py,207
class TestYieldCurve(unittest.TestCase):TestYieldCurve
10,233
    def assertListAlmostEqual(self, list1, list2, places = 7):assertListAlmostEqual
12,275
    def test_bloomberg(self):test_bloomberg
17,476

tests/test_sabr_quantlib.py,28
import numpy as npnp
5,237

tests/test_index.py,626
import numpy as npnp
3,32
class TestPickle(unittest.TestCase):TestPickle
13,235
    def test_pickle(self):test_pickle
18,400
    def test_pickle_basket(self):test_pickle_basket
22,532
    def test_from_tradeid(self):test_from_tradeid
26,719
class TestStrike(unittest.TestCase):TestStrike
31,841
    def test_pv(self):test_pv
37,1060
    def test_strike(self):test_strike
42,1277
    def test_price_setting(self):test_price_setting
51,1722
class TestForwardIndex(unittest.TestCase):TestForwardIndex
56,1856
    def test_forward_pv(self):test_forward_pv
64,2149
    def test_forward_pv(self):test_forward_pv
70,2449

tests/test_scenarios.py,166
import numpy as npnp
2,16
import pandas as pdpd
3,35
class TestSenarios(unittest.TestCase):TestSenarios
12,344
    def test_portfolio(self):test_portfolio
20,779

tests/test_swap_index.py,107
class UsdLiborSwap(unittest.TestCase):UsdLiborSwap
8,176
    def test_creation(self):test_creation
9,215

tests/test_swaption.py,539
class TestPutCallParity(unittest.TestCase):TestPutCallParity
10,157
    def test_parity(self):test_parity
17,394
    def test_parity_black(self):test_parity_black
27,905
    def test_calibration(self):test_calibration
37,1432
    def test_hy(self):test_hy
45,1707
class TestBreakeven(unittest.TestCase):TestBreakeven
55,2093
    def test_hypayer(self):test_hypayer
68,2493
    def test_hyreceiver(self):test_hyreceiver
74,2726
    def test_igpayer(self):test_igpayer
81,3014
    def test_igreceiver(self):test_igreceiver
87,3239

tests/test_dates.py,1009
import pandas as pdpd
3,32
    roll_date as roll_date_c,roll_date_c
11,203
    cds_accrued as cds_accrued_c,cds_accrued_c
12,233
class TestStartDate(unittest.TestCase):TestStartDate
20,368
    def test_previous_twentieth(self):test_previous_twentieth
21,408
    def test_previous_twentieth_timestamp(self):test_previous_twentieth_timestamp
42,1210
class TestEndDate(unittest.TestCase):TestEndDate
57,1755
    def test_enddate(self):test_enddate
58,1793
    def test_enddate_pre2015(self):test_enddate_pre2015
72,2294
class TestEndDateC(unittest.TestCase):TestEndDateC
93,3041
    def test_enddate(self):test_enddate
94,3080
    def test_enddate_pre2015(self):test_enddate_pre2015
108,3589
class TestCdsAccrued(unittest.TestCase):TestCdsAccrued
129,4348
    def test_cdsaccrued(self):test_cdsaccrued
130,4389
    def test_cdsaccrued_c(self):test_cdsaccrued_c
145,4948
class TestDaysAccrued(unittest.TestCase):TestDaysAccrued
161,5537
    def test_days_accrued(self):test_days_accrued
162,5579

tests/.ropeproject/config.py,90
def set_prefs(prefs):set_prefs
5,45
def project_opened(project):project_opened
120,4706

tests/__init__.py,0

Dawn/templates/cds_blotter.html,0

Dawn/templates/bond_blotter.html,0

Dawn/templates/base.html,0

Dawn/templates/edit_cp.html,0

Dawn/templates/future_blotter.html,0

Dawn/templates/capfloor_blotter.html,0

Dawn/templates/trade_entry.html,179
    <datalist id="index_list"></datalist>index_list
8,235
              <input id="upload_globeop" name="upload_globeop" type="checkbox" value="y">Upload upload_globeop
31,1113

Dawn/templates/wire_blotter.html,0

Dawn/templates/wire_entry.html,996
          <select class="form-control" id="action" name="action">action
15,505
      <fieldset id="outgoing">outgoing
31,1159
      <fieldset id="incoming">incoming
34,1250
          <input class="form-control" id="trade_date" name="trade_date" value="{{trade_date}}" ttrade_date
47,1562
          <input class="form-control" id="csrf_token" name="csrf_token" value="{{csrf_token()}}"csrf_token
54,1763
              <input id="upload_globeop" name="upload_globeop" value="y" type="checkbox">Upload upload_globeop
63,2036
    <template id="fragment">fragment
74,2400
          <select class="form-control" id="folder" name="folder">folder
80,2585
          <select class="form-control" id="code" name="code">code
96,3025
          <input class="form-control" id="amount" name="amount" value="" type="text">amount
110,3452
          <select class="form-control" id="currency" name="currency">currency
116,3707
          <input id="btn" type="button" class="btn" value="+">btn
123,3964

Dawn/templates/counterparties.html,0

Dawn/templates/spot_blotter.html,0

Dawn/templates/swaption_blotter.html,0

Dawn/models.py,582
class Counterparties(db.Model):Counterparties
11,278
class Accounts(db.Model):Accounts
33,1140
class BondDeal(db.Model):BondDeal
235,5000
class CDSDeal(db.Model):CDSDeal
294,7143
class RepoDeal(db.Model):RepoDeal
372,10726
class SwaptionDeal(db.Model):SwaptionDeal
431,12904
class FutureDeal(db.Model):FutureDeal
488,15278
class CashFlowDeal(db.Model):CashFlowDeal
528,16918
class SpotDeal(db.Model):SpotDeal
544,17531
class CapFloorDeal(db.Model):CapFloorDeal
574,18827
class ModelForm(BaseModelForm):ModelForm
654,22090
    def get_session(self):get_session
656,22139

Dawn/views.py,1783
import pandas as pdpd
3,26
def cp_choices(kind="bond"):cp_choices
53,1030
def account_codes():account_codes
68,1522
def fcm_accounts():fcm_accounts
72,1632
def get_queue():get_queue
80,1812
def get_db():get_db
91,2114
def close_connection(exception):close_connection
101,2355
class CounterpartyForm(ModelForm):CounterpartyForm
107,2471
    class Meta:Meta
108,2506
class BondForm(ModelForm):BondForm
113,2591
    class Meta:Meta
116,2681
class CDSForm(ModelForm):CDSForm
127,2955
    class Meta:Meta
130,3044
class SwaptionForm(ModelForm):SwaptionForm
147,3423
    class Meta:Meta
150,3517
class FutureForm(ModelForm):FutureForm
163,3805
    class Meta:Meta
166,3897
class SpotForm(ModelForm):SpotForm
172,4021
    class Meta:Meta
175,4111
class CapFloorForm(ModelForm):CapFloorForm
181,4233
    class Meta:Meta
184,4327
def get_deal(kind):get_deal
197,4615
def _get_form(kind):_get_form
216,5067
def get_form(trade, kind):get_form
233,5458
def get_trade(tradeid, kind):get_trade
278,7072
def save_ticket(trade, old_ticket_name):save_ticket
283,7188
def save_confirm(trade, old_confirm):save_confirm
295,7584
def split_direction(g, direction):split_direction
305,7938
def gen_cashflow_deals(form, session, wire_id=None):gen_cashflow_deals
334,8715
    to_date = lambda s: datetime.datetime.strptime(s, "%Y-%m-%d")to_date
335,8768
def wire_manage(wire_id):wire_manage
373,10168
def trade_manage(tradeid, kind):trade_manage
418,12016
def list_trades(kind):list_trades
475,14015
def download_ticket(tradeid):download_ticket
490,14496
def download_confirm(tradeid):download_confirm
503,14913
def list_counterparties(instr):list_counterparties
513,15262
def edit_counterparty(cpcode):edit_counterparty
527,15767
def get_bbg_id():get_bbg_id
557,16692

Dawn/.ropeproject/config.py,90
def set_prefs(prefs):set_prefs
5,45
def project_opened(project):project_opened
120,4706

Dawn/config.ini,618
SQLALCHEMY_DATABASE_URI = 'postgresql://dawn_user:Serenitas2@debian/dawndb'SQLALCHEMY_DATABASE_URI
2,70
SQLALCHEMY_TRACK_MODIFICATIONS = FalseSQLALCHEMY_TRACK_MODIFICATIONS
3,146
TICKETS_FOLDER = '/home/serenitas/Daily/tickets'TICKETS_FOLDER
5,209
CONFIRMS_FOLDER = '/home/serenitas/Daily/confirms'CONFIRMS_FOLDER
6,258
CP_FOLDER = '/home/serenitas/Daily/counterparties'CP_FOLDER
7,309
SECRET_KEY = 'papa'SECRET_KEY
8,360
LOGFILE = '/home/serenitas/CorpCDOs/logs/dawn-ziggy.log'LOGFILE
9,380
DEBUG = FalseDEBUG
10,437
SEND_FILE_MAX_AGE_DEFAULT = 60SEND_FILE_MAX_AGE_DEFAULT
11,451
SCHEMA = NoneSCHEMA
13,497

Dawn/static/dawn.css,16
body {body
1,0

Dawn/__init__.py,0

Dawn/utils.py,99
def bump_rev(filename):bump_rev
5,37
def simple_serialize(obj, **kwargs):simple_serialize
12,268

bbg_cds_quotes.py,61
def build_tuple(k, v, workdate, source):build_tuple
32,1139

backfill_ref.py,0

client.py,21
def run():run
9,155

trade_template.py,0

backfill_cds.py,31
def convert(x):convert
10,162

calibrate_tranches_BC.py,139
import pandas as pdpd
7,145
def get_lastdate(conn, index, series, tenor):get_lastdate
13,235
def build_sql_str(df):build_sql_str
26,613

marks_to_HY.py,302
import pandas as pdpd
1,0
import numpy as npnp
3,44
import statsmodels.api as smsm
4,63
def monthlySpreadDiff(index="IG", tenor="5yr"):monthlySpreadDiff
16,435
def nearestDate(base, dates):nearestDate
27,1077
def interpolate_rates(s, hist_data):interpolate_rates
31,1235
def aux(df):aux
36,1410

mailing_list.py,50
def get_mailinglist(name):get_mailinglist
14,315

mark_backtest_backfill.py,270
import pandas as pdpd
1,0
def runAllFill():runAllFill
16,340
def runSingleFill(f):runSingleFill
22,497
def get_CUSIPs():get_CUSIPs
53,1849
def get_BVAL():get_BVAL
59,2039
def pop_BVAL_to_database(df):pop_BVAL_to_database
76,2794
def get_globs():get_globs
89,3293

secret.json,1244
{"installed":{"auth_uri":"https://accounts.google.com/o/oauth2/auth","client_secret":"kGFeE9blSXauth_uri
1,0
{"installed":{"auth_uri":"https://accounts.google.com/o/oauth2/auth","client_secret":"kGFeE9blSXclient_secret
1,0
{"installed":{"auth_uri":"https://accounts.google.com/o/oauth2/auth","client_secret":"kGFeE9blSXtoken_uri
1,0
{"installed":{"auth_uri":"https://accounts.google.com/o/oauth2/auth","client_secret":"kGFeE9blSXclient_email
1,0
{"installed":{"auth_uri":"https://accounts.google.com/o/oauth2/auth","client_secret":"kGFeE9blSX0
1,0
{"installed":{"auth_uri":"https://accounts.google.com/o/oauth2/auth","client_secret":"kGFeE9blSX1
1,0
{"installed":{"auth_uri":"https://accounts.google.com/o/oauth2/auth","client_secret":"kGFeE9blSXredirect_uris
1,0
{"installed":{"auth_uri":"https://accounts.google.com/o/oauth2/auth","client_secret":"kGFeE9blSXclient_x509_cert_url
1,0
{"installed":{"auth_uri":"https://accounts.google.com/o/oauth2/auth","client_secret":"kGFeE9blSXclient_id
1,0
{"installed":{"auth_uri":"https://accounts.google.com/o/oauth2/auth","client_secret":"kGFeE9blSXauth_provider_x509_cert_url
1,0
{"installed":{"auth_uri":"https://accounts.google.com/o/oauth2/auth","client_secret":"kGFeE9blSXinstalled
1,0

parse_html.py,320
import pandas as pdpd
1,0
def combine_df(state, new):combine_df
9,135
def event_loop(conn):event_loop
15,267
def get_index_indicative(conn):get_index_indicative
41,1280
def parse_soup(soup):parse_soup
49,1486
def parse_index(df, df_indic):parse_index
72,2316
def parse_options(df, df_indic):parse_options
88,2790

calibrate_tranches.py,89
import numpy as npnp
1,0
import pandas as pdpd
7,115
        def aux(rho):aux
70,1906