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{
"cells": [
{
"cell_type": "code",
"execution_count": null,
"metadata": {},
"outputs": [],
"source": [
"import portfolio_var as port\n",
"from analytics import Swaption, BlackSwaption, Index, VolatilitySurface, Portfolio\n",
"from analytics.scenarios import run_swaption_scenarios, run_index_scenarios, run_portfolio_scenarios\n",
"import datetime\n",
"import pandas as pd\n",
"\n",
"#import exploration.swaption_calendar_spread as spread\n",
"import exploration.swaption_calendar_spread as spread"
]
},
{
"cell_type": "code",
"execution_count": null,
"metadata": {},
"outputs": [],
"source": [
"df, spread, dur = port.rel_spread_diff()"
]
},
{
"cell_type": "code",
"execution_count": null,
"metadata": {},
"outputs": [],
"source": [
"#The 95%tile \n",
"stress = pd.DataFrame(index = ['widen', 'tighten'], columns=['pts'])\n",
"stress.loc['widen'] = df.quantile(.975) \n",
"stress.loc['tighten'] = df.quantile(.025)\n",
"stress = -stress * spread * dur/100"
]
},
{
"cell_type": "code",
"execution_count": null,
"metadata": {},
"outputs": [],
"source": [
"#August ME Bond HY Equiv\n",
"bond_HY_equiv = .1652\n",
"stress['nav_impact'] = bond_HY_equiv * stress"
]
},
{
"cell_type": "code",
"execution_count": null,
"metadata": {},
"outputs": [],
"source": [
"#Swaptions\n",
"#Aug 2018: Buy Sept HY payer spread\n",
"option_delta = Index.from_tradeid(891)\n",
"option1 = BlackSwaption.from_tradeid(10, option_delta)\n",
"option2 = BlackSwaption.from_tradeid(11, option_delta)\n",
"portf = Portfolio([option1, option2, option_delta])\n",
"portf.trade_date = datetime.date(2017, 8, 31)\n",
"portf.mark()\n",
"orig_pv = portf.pv\n",
"orig_ref = portf.ref"
]
},
{
"cell_type": "code",
"execution_count": null,
"metadata": {},
"outputs": [],
"source": [
"for x, y in stress.pts.iteritems():\n",
" portf.ref = orig_ref + y\n",
" stress[x] = portf.pv - orig_pv"
]
},
{
"cell_type": "code",
"execution_count": null,
"metadata": {},
"outputs": [],
"source": [
"stress"
]
},
{
"cell_type": "code",
"execution_count": null,
"metadata": {},
"outputs": [],
"source": []
}
],
"metadata": {
"kernelspec": {
"display_name": "Python 3",
"language": "python",
"name": "python3"
},
"language_info": {
"codemirror_mode": {
"name": "ipython",
"version": 3
},
"file_extension": ".py",
"mimetype": "text/x-python",
"name": "python",
"nbconvert_exporter": "python",
"pygments_lexer": "ipython3",
"version": "3.6.1"
}
},
"nbformat": 4,
"nbformat_minor": 2
}
|
