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{
"cells": [
{
"cell_type": "code",
"execution_count": null,
"metadata": {},
"outputs": [],
"source": [
"from analytics.tranche_basket import DualCorrTranche, TrancheBasket\n",
"import datetime"
]
},
{
"cell_type": "code",
"execution_count": null,
"metadata": {},
"outputs": [],
"source": [
"ig29 = TrancheBasket(\"IG\", 29, \"5yr\", value_date=datetime.date(2019, 3, 5))\n",
"ig29.tweak()\n",
"ig29.build_skew()"
]
},
{
"cell_type": "code",
"execution_count": null,
"metadata": {},
"outputs": [],
"source": [
"bs3 = DualCorrTranche(\"BS\", 3, \"2yr\", attach=5, detach=7, corr_attach=0.4, corr_detach=0.42, tranche_running=100,\n",
" value_date=datetime.date(2019, 3, 5))"
]
},
{
"cell_type": "code",
"execution_count": null,
"metadata": {},
"outputs": [],
"source": [
"bs3.singlename_spreads()"
]
},
{
"cell_type": "code",
"execution_count": null,
"metadata": {},
"outputs": [],
"source": [
"bs3.mark(skew=ig29.skew)\n",
"bs3.rho"
]
},
{
"cell_type": "code",
"execution_count": null,
"metadata": {},
"outputs": [],
"source": [
"bs3._index.spread()"
]
},
{
"cell_type": "code",
"execution_count": null,
"metadata": {},
"outputs": [],
"source": [
"bs3.spread"
]
},
{
"cell_type": "code",
"execution_count": null,
"metadata": {},
"outputs": [],
"source": [
"bs3.duration"
]
},
{
"cell_type": "code",
"execution_count": null,
"metadata": {},
"outputs": [],
"source": [
"bs3"
]
},
{
"cell_type": "code",
"execution_count": null,
"metadata": {},
"outputs": [],
"source": [
"jtd = bs3.jump_to_default(ig29.skew)"
]
},
{
"cell_type": "code",
"execution_count": null,
"metadata": {},
"outputs": [],
"source": [
"jtd.sort_values()"
]
},
{
"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": "3.7.3"
}
},
"nbformat": 4,
"nbformat_minor": 2
}
|
