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 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 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 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("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
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")
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 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 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
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")