python/analytics/__init__.py


1
2
3
4
5
6
7
8
9
10
11
12
13
14
15

from .index import CreditIndex, ForwardIndex
from .option import (BlackSwaption, Swaption, ATMstrike, ProbSurface,
                     QuoteSurface, VolSurface, BlackSwaptionVolSurface)
from .portfolio import Portfolio
from .basket_index import MarkitBasketIndex
from .tranche_basket import DualCorrTranche, TrancheBasket
from .ir_swaption import IRSwaption

import datetime

def init_ontr():
    global _ontr, _beta
    _ontr = CreditIndex('HY', 31, '5yr')
    _ontr.mark()
    _beta = {'HY': 1, 'IG': .3, 'EU': .22}