#!/usr/bin/env python
import sys
from risk_helper import RiskEngine
risk_engine = RiskEngine(sys.argv[1] if len(sys.argv)>1 else False)
risk_engine.print_headline("Run RiskEngine to produce CDS NPV")
risk_engine.run("Input/ore.xml")
risk_engine.get_times("Output/log.txt")
#!/usr/bin/env python
import sys
from risk_helper import RiskEngine
risk_engine = RiskEngine(sys.argv[1] if len(sys.argv) > 1 else False)
risk_engine.print_headline(
"Run RiskEngine for Sensitivity Analysis (simulating full volatility surfaces)"
)
risk_engine.run("Input/ore_fullSurface.xml")
risk_engine.get_times("Output/log_fullSurface.txt")
risk_engine.print_headline(
"Run RiskEngine for Sensitivity Analysis (simulating volatility atm strikes only)"
)
risk_engine.run("Input/ore_atmOnly.xml")
risk_engine.get_times("Output/log_atmOnly.txt")
#!/usr/bin/env python
import sys
import os
from risk_helper import RiskEngine
risk_engine = RiskEngine(sys.argv[1] if len(sys.argv) > 1 else False)
# Portfolio 1 run
risk_engine.print_headline(
"Run RiskEngine to produce NPV cube and exposures for portfolio 1")
risk_engine.run("Input/ore_portfolio_1.xml")
risk_engine.get_times("Output/portfolio_1/log.txt")
risk_engine.print_headline("Plot results for portfolio 1")
risk_engine.setup_plot("portfolio_1")
risk_engine.plot(os.path.join("portfolio_1", "exposure_trade_swap_01.csv"), 2,
3, 'b', "EPE Swap")
risk_engine.plot(os.path.join("portfolio_1", "exposure_trade_collar_01.csv"),
2, 4, 'r', "ENE Collar")
risk_engine.plot(os.path.join("portfolio_1", "exposure_nettingset_CPTY_A.csv"),
2, 4, 'g', "ENE Netting")
#risk_engine.plot(os.path.join("portfolio_1", "exposure_nettingset_CPTY_A.csv"), 2, 3, 'g', "EPE Netting")
risk_engine.decorate_plot(title="Example 6, Portfolio 1")
risk_engine.save_plot_to_file(os.path.join("Output", "portfolio_1"))
# Portfolio 2 run
risk_engine.print_headline(
"Run RiskEngine to produce NPV cube and exposures for portfolio 2")
risk_engine.run("Input/ore_portfolio_2.xml")
#!/usr/bin/env python
import sys
from risk_helper import RiskEngine
risk_engine = RiskEngine(sys.argv[1] if len(sys.argv) > 1 else False)
risk_engine.print_headline("Run RiskEngine to produce NPV")
risk_engine.run("Input/ore.xml")
risk_engine.get_times("Output/log.txt")
risk_engine.print_headline("Plot results: Simulated exposures")
risk_engine.setup_plot("CPI Swap")
risk_engine.plot("exposure_trade_CPI_Swap_1.csv", 2, 3, 'b', "EPE CPI Swap")
risk_engine.decorate_plot(title="Example 17", ylabel="Exposure")
risk_engine.save_plot_to_file()
risk_engine.setup_plot("YoY Swap")
risk_engine.plot("exposure_trade_YearOnYear_Swap.csv", 2, 3, 'b',
"EPE YoY Swap")
risk_engine.decorate_plot(title="Example 17", ylabel="Exposure")
risk_engine.save_plot_to_file()
risk_engine.run("Input/ore_capfloor.xml")
risk_engine.get_times("Output/log_capfloor.txt")