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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
from db import serenitas_engine
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': .3, 'EU': .22, "BS": 0.5}
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