def main(job_date, cpty):
base_path = os.getcwd() + "/"
os.makedirs("Input", mode=0o777, exist_ok=True)
os.makedirs("Market", mode=0o777, exist_ok=True)
os.makedirs("Output", mode=0o777, exist_ok=True)
storage_client = storage.Client.from_service_account_json(
'./vannarho-fb3267082c74.json')
risk_engine = RiskEngine(sys.argv[1] if len(sys.argv) > 1 else False)
risk_engine.risk_exe = '/home/condor/risk_engine/build/App/ore'
# download params for counterparty
bucket_name = 'risk_params'
prefix = job_date + '/' + cpty + '/'
# prefix = '09-10-20/cpty_01/'
dl_dir = './Input/'
get_input_blobs(bucket_name, prefix, dl_dir, storage_client)
# download params for market
bucket_name = 'market_params'
prefix = job_date + '/'
dl_dir = './Market/'
get_input_blobs(bucket_name, prefix, dl_dir, storage_client)
# run risk analytics
risk_engine.print_headline(
"Run risk engine to produce NPV cube and exposures")
risk_engine.run("Input/ore.xml")
# risk_engine.get_times("Output/log.txt")
# upload risk output files
bucket_name = 'cpty_risk_outputs'
# destination_blob_name = '09-10-20/cpty_01/'
destination_blob_name = job_date + '/' + cpty + '/'
source_dir = './Output/'
# source_dir = '/risk_run/Output/'
upload_blob(bucket_name, source_dir, destination_blob_name, storage_client)
#!/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 cube and exposures without horizon shift")
risk_engine.run("Input/ore.xml")
risk_engine.get_times("Output/log.txt")
risk_engine.print_headline(
"Run RiskEngine to produce NPV cube and exposures with horizon shift")
risk_engine.run("Input/ore2.xml")
risk_engine.print_headline("Run RiskEngine again to price European Swaptions")
risk_engine.run("Input/ore_swaption.xml")
risk_engine.print_headline(
"Plot results: Simulated exposures vs analytical swaption prices")
risk_engine.setup_plot("swaptions")
risk_engine.plot("exposure_trade_Swap_50y.csv", 2, 3, 'b',
"Swap EPE (no horizon shift)")
risk_engine.plot("exposure_trade_Swap_50y.csv", 2, 4, 'r',
"Swap ENE (no horizon shift)")
risk_engine.plot("exposure_trade_Swap_50y_2.csv", 2, 3, 'g',
"Swap EPE (shifted horizon)")
risk_engine.plot("exposure_trade_Swap_50y_2.csv", 2, 4, 'y',
"Swap ENE (shifted horizon)")
#!/usr/bin/env python
import sys
sys.path.append('../')
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 cube and exposures, without collateral")
risk_engine.run("Input/ore.xml")
risk_engine.get_times("Output/log.txt")
risk_engine.print_headline("Plot results")
risk_engine.setup_plot("plot_callable_swap")
risk_engine.plot("exposure_trade_Swap.csv", 2, 3, 'b', "EPE Swap")
risk_engine.plot("exposure_trade_Swaption.csv", 2, 4, 'r', "ENE Swaption")
risk_engine.plot("exposure_nettingset_CPTY_A.csv", 2, 3, 'g',
"EPE Netting Set")
risk_engine.plot("exposure_trade_ShortSwap.csv", 2, 3, 'm', "EPE Short Swap")
risk_engine.decorate_plot(title="Example 5")
risk_engine.save_plot_to_file()
#!/usr/bin/env python
import sys
sys.path.append('../')
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 cube and exposures, without collateral")
risk_engine.run("Input/ore.xml")
risk_engine.get_times("Output/log.txt")
risk_engine.setup_plot("example_swap_cash_physical")
risk_engine.plot("exposure_trade_Swap.csv", 2, 3, 'b', "EPE Swap")
risk_engine.plot("exposure_trade_SwaptionCash.csv", 2, 3, 'r',
"EPE Swaption Cash")
risk_engine.plot("exposure_trade_SwaptionPhysical.csv", 2, 3, 'g',
"EPE Swaption Physical")
risk_engine.plot("exposure_trade_SwaptionCashPremium.csv", 2, 3, 'c',
"EPE Swaption Cash with Premium")
#risk_engine.plot("exposure_trade_SwaptionPhysicalPremium.csv", 2, 3, 'y', "EPE Swaption Physical with Premium")
risk_engine.decorate_plot(title="Example 3")
risk_engine.save_plot_to_file()
#!/usr/bin/env python
import sys
sys.path.append('../')
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 cube and exposures")
risk_engine.run("Input/ore.xml")
risk_engine.get_times("Output/log.txt")
npv = open("Output/npv.csv")
call = []
put = []
for line in npv.readlines():
if "CALL" in line:
line_list = line.split(',')
call = ([[0.0, float(line_list[6])],
[float(line_list[3]),
float(line_list[6])]])
if "PUT" in line:
line_list = line.split(',')
put = ([[0.0, float(line_list[6])],
[float(line_list[3]), float(line_list[6])]])
risk_engine.print_headline(
"Plot results: Simulated exposures vs analytical option prices")
risk_engine.setup_plot("forward")
risk_engine.plot("exposure_trade_FXFWD_EURUSD_10Y.csv", 2, 3, 'b', "EPE")
#!/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, Stress and Parametric VaR Analysis")
risk_engine.run("Input/ore.xml")
risk_engine.get_times("Output/log.txt")
#!/usr/bin/env python
import sys
sys.path.append('../')
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 cube and exposures for CrossCurrencySwaps")
risk_engine.run("Input/ore.xml")
risk_engine.get_times("Output/log.txt")
risk_engine.print_headline("Plot results: Cross Currency Swap exposures, with and without FX reset")
risk_engine.setup_plot("example_xccy_reset")
risk_engine.plot("exposure_trade_XCCY_Swap_EUR_USD.csv", 2, 3, 'b', "Swap")
risk_engine.plot("exposure_trade_XCCY_Swap_EUR_USD_RESET.csv", 2, 3, 'r', "Resettable Swap")
risk_engine.decorate_plot(title="Example 9", legend_loc="upper left")
risk_engine.save_plot_to_file()
#!/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")
#!/usr/bin/env python
import glob
import os
import sys
from risk_helper import RiskEngine
risk_engine = RiskEngine(sys.argv[1] if len(sys.argv) > 1 else False)
# whithout collateral
risk_engine.print_headline(
"Run RiskEngine to produce NPV cube and exposures, without collateral")
risk_engine.run("Input/ore.xml")
risk_engine.get_times("Output/log.txt")
risk_engine.save_output_to_subdir(
"collateral_none", ["log.txt", "xva.csv"] +
glob.glob(os.path.join(os.getcwd(), os.path.join("Output", "exposure*"))))
# Threshhold>0
risk_engine.print_headline(
"Run RiskEngine to postprocess the NPV cube, with collateral (threshold>0)"
)
risk_engine.run("Input/ore_threshold.xml")
risk_engine.save_output_to_subdir(
"collateral_threshold", ["log.txt", "xva.csv"] +
glob.glob(os.path.join(os.getcwd(), os.path.join("Output", "exposure*"))) +
glob.glob(os.path.join(os.getcwd(), os.path.join("Output", "colva*"))))
# mta=0
risk_engine.print_headline(
"Run RiskEngine to postprocess the NPV cube, with collateral (threshold=0)"
#!/usr/bin/env python
import sys
sys.path.append('../')
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 cube and exposures, without collateral")
risk_engine.run("Input/ore.xml")
risk_engine.get_times("Output/log.txt")
risk_engine.print_headline("Plot results")
risk_engine.setup_plot("example_swaption")
risk_engine.plot("exposure_trade_Swap.csv", 2, 3, 'b', "EPE Forward Swap")
risk_engine.plot("exposure_trade_SwaptionCash.csv", 2, 3, 'r',
"EPE Swaption (Cash)")
risk_engine.plot("exposure_trade_SwaptionPhysical.csv", 2, 3, 'g',
"EPE Swaption (Physical)")
risk_engine.decorate_plot(title="Example 4", ylabel="Exposure")
risk_engine.save_plot_to_file()
#!/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 cube and exposures")
risk_engine.run("Input/ore.xml")
risk_engine.get_times("Output/log.txt")
risk_engine.print_headline("Run RiskEngine to price European Payer Swaptions")
risk_engine.run("Input/ore_payer_swaption.xml")
risk_engine.print_headline(
"Run RiskEngine to price European Receiver Swaptions")
risk_engine.run("Input/ore_receiver_swaption.xml")
risk_engine.print_headline(
"Plot results: Simulated exposures vs analytical Swaption prices")
risk_engine.setup_plot("swaptions")
risk_engine.plot("exposure_trade_Swap_20.csv", 2, 3, 'b', "EPE")
risk_engine.plot("exposure_trade_Swap_20.csv", 2, 4, 'r', "ENE")
risk_engine.plot_npv("npv_payer.csv", 6, 'g', 'Payer Swaption', marker='s')
risk_engine.plot_npv("npv_receiver.csv",
6,
'm',
"Receiver Swaption",
marker='s')
risk_engine.decorate_plot(title="Example 2")
#!/usr/bin/env python
import os
import sys
from risk_helper import RiskEngine
risk_engine = RiskEngine(sys.argv[1] if len(sys.argv) > 1 else False)
# Case A
risk_engine.print_headline(
"Run RiskEngine (case A (swap eur), 1st order regression)")
risk_engine.run("Input/ore_A1.xml")
risk_engine.get_times("Output/log_1.txt")
risk_engine.save_output_to_subdir(
"case_A_eur_swap",
["log_1.txt", "dim_evolution_1.txt", "dim_regression_1.txt"])
risk_engine.print_headline(
"Run RiskEngine (case A (swap eur), 2nd order regression)")
risk_engine.run("Input/ore_A2.xml")
risk_engine.save_output_to_subdir(
"case_A_eur_swap",
["log_2.txt", "dim_evolution_2.txt", "dim_regression_2.txt"])
risk_engine.print_headline(
"Run RiskEngine (case A (swap eur), zero order regression)")
risk_engine.run("Input/ore_A0.xml")
risk_engine.save_output_to_subdir(
"case_A_eur_swap",
["log_0.txt", "dim_evolution_0.txt", "dim_regression_0.txt"])
risk_engine.print_headline("Plot results")
#!/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 cube and exposures")
risk_engine.run("Input/ore.xml")
risk_engine.get_times("Output/log.txt")
risk_engine.print_headline("Run RiskEngine again to price European Swaptions")
risk_engine.run("Input/ore_swaption.xml")
risk_engine.print_headline(
"Plot results: Simulated exposures vs analytical swaption prices")
risk_engine.setup_plot("swaptions")
risk_engine.plot("exposure_trade_Swap_20y.csv", 2, 3, 'b', "Swap EPE")
risk_engine.plot("exposure_trade_Swap_20y.csv", 2, 4, 'r', "Swap ENE")
risk_engine.plot("swaption_npv.csv", 3, 4, 'g', "NPV Swaptions", marker='s')
risk_engine.decorate_plot(
title="Example 1 - Simulated exposures vs analytical swaption prices")
risk_engine.save_plot_to_file()
#!/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
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 illustrate use of fixed vs float cross currency swaps")
risk_engine.run("Input/ore.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 for equity derivatives")
risk_engine.run("Input/ore.xml")
risk_engine.print_headline(
"Plot results: Simulated exposures (Equity call option, forward, swap)")
risk_engine.setup_plot("eq_call")
risk_engine.plot("exposure_trade_EqCall_Luft.csv", 2, 3, 'r', "Call EPE")
risk_engine.plot("exposure_trade_EqForwardTrade_Luft.csv", 2, 3, 'b',
"Fwd EPE")
risk_engine.decorate_plot(
title="Example 16 - Simulated exposures for Luft call option and fwd trade"
)
risk_engine.save_plot_to_file()
#risk_engine.setup_plot("eq_swap")
#risk_engine.plot("exposure_trade_EquitySwap_1.csv", 2, 3, 'r', "Equity Swap 1 EPE")
#risk_engine.plot("exposure_trade_EquitySwap_2.csv", 2, 4, 'b', "Equity Swap 2 ENE")
#risk_engine.decorate_plot(title="Example 16 - Simulated exposures for Equity Swaps")
#risk_engine.save_plot_to_file()
#!/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("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("Plot results for portfolio 2")
risk_engine.setup_plot("portfolio_2")
risk_engine.plot(os.path.join("portfolio_2", "exposure_trade_floor_01.csv"), 2, 3, 'b', "EPE Floor")
risk_engine.plot(os.path.join("portfolio_2", "exposure_trade_cap_01.csv"), 2, 4, 'r', "ENE Cap")
risk_engine.plot(os.path.join("portfolio_2", "exposure_nettingset_CPTY_B.csv"), 2, 3, 'g', "EPE Net Cap and Floor")
risk_engine.plot(os.path.join("portfolio_2", "exposure_trade_collar_02.csv"), 2, 4, 'g', "ENE Collar", offset=1, marker='o', linestyle='')
risk_engine.decorate_plot(title="Example 6, Portfolio 2")
risk_engine.save_plot_to_file(os.path.join("Output", "portfolio_2"))
import os
import sys
sys.path.append('Helpers/')
import TradeGenerator
from risk_helper import RiskEngine
risk_engine = RiskEngine(sys.argv[1] if len(sys.argv)>1 else False)
risk_engine.print_headline("Running in currency trades")
risk_engine.run("Input/ois_ore.xml")
risk_engine.print_headline("Running EUR out of currency trades")
risk_engine.run("Input/EUR_xois_ore.xml")
risk_engine.print_headline("Running USD out of currency trades")
risk_engine.run("Input/USD_xois_ore.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 with flat vols")
risk_engine.run("Input/ore_flat.xml")
risk_engine.print_headline("Run RiskEngine with smiles")
risk_engine.run("Input/ore_smile.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 cube and exposures")
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("cmsspread")
risk_engine.plot("exposure_trade_CMS_Spread_Swap.csv", 2, 3, 'b', "Swap EPE")
risk_engine.plot("exposure_trade_CMS_Spread_Swap.csv", 2, 4, 'r', "Swap ENE")
risk_engine.decorate_plot(title="Example 28 - Simulated exposures for CMS Spread trades")
risk_engine.save_plot_to_file()
#!/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 illustrate use of discount ratio curve")
risk_engine.print_headline("Run with USD base currency")
risk_engine.run("Input/ore_usd_base.xml")
risk_engine.print_headline(
"Run with EUR base currency using GBP-IN-EUR discount modified ratio curve"
)
risk_engine.run("Input/ore_eur_base.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 build USD-Prime curve.")
risk_engine.run("Input/ore.xml")
risk_engine.get_times("Output/log.txt")
