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import sys
sys.path.append("..")
from utils.db import serenitas_engine, dawn_engine, dbconn, DataError, serenitas_pool
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 on_the_run(index, value_date=datetime.date.today()):
r = serenitas_engine.execute(
"SELECT max(series) FROM index_maturity WHERE index=%s " "and issue_date <= %s",
(index, value_date),
)
series, = r.fetchone()
return series
def init_ontr(value_date=datetime.date.today()):
global _ontr, _beta
_ontr = CreditIndex("HY", on_the_run("HY", value_date), "5yr", value_date)
_ontr.mark()
_beta = {"HY": 1, "IG": 0.3, "EU": 0.22, "BS": 0.5, "SUBPRIME": 1}
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