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from .basket_index import BasketIndex
from .db import _engine
from .tranche_functions import credit_schedule
from index_data import get_singlenames_curves, get_tranche_quotes
from pyisda.cdsone import upfront_charge
from pandas.tseries.offsets import BDay
import pandas as pd
class TrancheBasket(BasketIndex):
def __init__(self, index_type: str, series: int, tenor: str, *args,
trade_date: pd.Timestamp=pd.Timestamp.today().normalize() - BDay()):
super().__init__(index_type, series, [tenor], *args, trade_date)
self.tranche_quotes = get_tranche_quotes(index_type, series, tenor, trade_date.date())
index_desc = self.index_desc.reset_index('maturity').set_index('tenor')
self.maturity = index_desc.loc[tenor].maturity
self.start_date, self.cs = credit_schedule(trade_date, tenor[:-1], 1, self.yc)
self.K_orig = [0] + [q['detach'] for q in self.tranche_quotes]
#self.K = adjust_attachments(self.K_orig, self
def _get_quotes(self):
refprice = self.tranche_quotes[0]['indexrefprice']
refspread = self.tranche_quotes[0]['indexrefspread']
if refprice is not None:
return {self.maturity: 1 - refprice / 100}
if refspread is not None:
return {self.maturity:
upfront_charge(self.trade_date, self.value_date, self.start_date,
self.step_in_date, self.start_date, self.maturity,
self.coupon(self.maturity), self.yc,
refspread * 1e-4, self.recovery)}
raise ValueError("ref is missing")
@property
def survival_matrix(self):
return super().survival_matrix(self.cs.index.values.astype('M8[D]').view('int') + 134774)
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