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from db import dbconn, dbengine
from analytics import TrancheBasket
import datetime
import pandas as pd
from yaml import load
start_dates = {'ig19': datetime.date(2013, 5, 1),
'ig21': datetime.date(2013, 9, 26),
'ig23': datetime.date(2014, 10, 14),
'ig25': datetime.date(2015, 9, 22),
'ig27': datetime.date(2016, 9, 27),
'ig29': datetime.date(2017, 9, 26),
'ig31': datetime.date(2018, 9, 25)}
serenitas_engine = dbengine('serenitasdb')
with open("/home/guillaume/projects/code/etc/runs.yml") as fh:
runs = load(fh)['runs']
for index, tenor in runs:
print(index, tenor)
if index not in start_dates:
continue
else:
begin_date = start_dates[index]
index, series = index[:2].upper(), int(index[2:])
tranche_index = TrancheBasket(index, series, tenor)
dr = pd.bdate_range(begin_date, "2018-10-10")
for d in dr:
print(d)
try:
tranche_index.value_date = d
except ValueError as e:
print(e)
continue
tranche_index.tweak()
tranche_index.build_skew()
df = pd.concat([tranche_index.tranche_deltas(),
tranche_index.tranche_thetas(),
tranche_index.tranche_fwd_deltas(),
tranche_index.tranche_durations(),
tranche_index.tranche_EL(),
tranche_index.tranche_spreads()], axis=1)
df['index_duration'], df['index_expected_loss'], df['index_price'] = tranche_index.index_pv()
df['index_expected_loss'] *= -1
df['index_duration'] -= tranche_index.accrued()
df['index_basis'] = tranche_index.tweaks[0]
df['index_theta'] = tranche_index.theta()[tenor]
df['tranche_id'] = tranche_index.tranche_quotes.id.values
df['corr_at_detach'] = tranche_index.rho[1:]
df['corr01'] = tranche_index.tranche_corr01()
del df['fwd_gamma']
df.to_sql("tranche_risk", serenitas_engine, if_exists='append', index=False)
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