python/experiments/test_basket.py


1
2
3
4
5
6
7
8

from analytics import TrancheBasket
import pandas as pd
from pandas.tseries.offsets import BDay
ig29 = TrancheBasket("IG", 29, "5yr", trade_date=pd.Timestamp.today().normalize() - BDay())

ig29.tweak()
ig29.build_skew()
df = ig29.tranche_deltas()