import pandas as pd
import numpy as np
import hazard
pd.set_option('display.max_columns', 13)
hz_static_data = pd.read_csv('static.csv', thousands=',')
hz = hazard.Hazard(hz_static_data,
prepay_col="prepay",
end_col="period_end",
beg_col="period_begin",
end_max=60,
cov_cols=["cpn_gap", "summer"])
#hz.fit_parameters_brute()
hz.fit_parameters_grad()
#hz.baseline_hazard()
hz.parameters_hessian()
hz.parameters_se()
#Part d
##Dynamic covariates
hz_dynamic_data = pd.read_csv('dynamic.csv', thousands=',')
hz_dynamic = hazard.Hazard(hz_static_data,
prepay_col="prepay",
end_col="period_end",
beg_col="period_begin",
end_max=60,
cov_cols=["cpn_gap", "summer"])
hz_dynamic.param_estimate_dynamic()
pools_info,
classes_info,
principal_sequential_pay,
accruals_sequential_pay,
simulated_rates_A,
tables_file,
show_prints=True,
show_plots=False)
# Static Hazard Model and consequent REMIC bonds results
hz_static_data = pd.read_csv('./Given_Files/static.csv', thousands=',')
hz = hazard.Hazard(hz_static_data,
prepay_col="prepay",
end_col="period_end",
beg_col="",
end_max=60,
cov_cols=["cpn_gap", "summer"],
tables_file=tables_file,
show_prints=True,
show_plots=False)
hz.fit_parameters_grad()
hz.parameters_se()
hw_remic.simulation_result(hz, simulated_lagged_10_year_rates_A, 'B', 'C',
'Static Data')
# Dynamic Hazard Model and consequent REMIC bonds results
hz_dynamic_data = pd.read_csv('./Given_Files/dynamic.csv', thousands=',')
hz_dynamic = hazard.Hazard(hz_dynamic_data,
prepay_col="prepay",
end_col="period_end",
beg_col="period_begin",
def play():
"returns true if the game should quit, false if another game should be played"
def get_status_string(players):
parts = [
str.format('{0.name: >8}: {0.score: <4}', i) for i in players
]
if winner is not None: parts += ['Winner: ' + winner.name]
elif paused: parts += ['***PAUSED***']
return string.join(parts, ' ')
# set up objects on the game board
game_area = pygame.Surface(config.size)
paused = False
winner = None
players = []
keys_up = {}
keys_down = {}
hazards = pygame.sprite.Group()
paddles = pygame.sprite.Group()
collideables = pygame.sprite.Group()
score_zones = pygame.sprite.Group()
balls = pygame.sprite.Group()
for i in hazard.Hazard.ALL:
hazards.add(hazard.Hazard(config, i))
for i in config.hazard['custom']:
hazards.add(hazard.Hazard(config, **i))
for i in config.PLAYER_ALL:
players.append(
player.Player(config,
i,
paddles,
score_zones,
hazards,
balls,
paddle_type=config.paddle['paddle_type'][i]))
for i in players:
try:
keys_down[i.paddle.key_pos] = i.paddle.move_pos
keys_down[i.paddle.key_neg] = i.paddle.move_neg
keys_up[i.paddle.key_pos] = i.paddle.move_stop
keys_up[i.paddle.key_neg] = i.paddle.move_stop
except AttributeError:
pass
collideables.add(hazards)
collideables.add(paddles)
for i in xrange(config.ball['num']):
balls.add(ball.Ball(config, collideables, score_zones))
for i in collideables:
i.balls = balls
# run the game
while True:
ticks = pygame.time.get_ticks()
for event in pygame.event.get():
if event.type == pygame.QUIT:
return True
elif event.type == pygame.KEYDOWN:
try:
keys_down[event.key]()
except KeyError:
pass
if event.key == pygame.K_PAUSE or (event.key == pygame.K_p
and event.mod
& pygame.KMOD_CTRL):
paused = not paused
elif event.key == pygame.K_n and event.mod & pygame.KMOD_CTRL:
return False
elif event.key == pygame.K_q and event.mod & pygame.KMOD_CTRL:
return True
elif event.key == pygame.K_o and event.mod & pygame.KMOD_CTRL:
config_dialog.show()
return False
elif event.type == pygame.KEYUP:
try:
keys_up[event.key]()
except KeyError:
pass
winner = config.get_winner(players)
if not paused and winner is None:
hazards.update()
paddles.update()
balls.update()
while len(balls) < config.ball['num']:
balls.add(ball.Ball(config, collideables, score_zones))
# draw everything
screen.fill(config.colors['bg'])
screen.fill(config.colors['border'], border_rect)
game_area.fill(config.colors['bg'])
balls.draw(game_area)
paddles.draw(game_area)
hazards.draw(game_area)
screen.blit(game_area, game_area_rect)
screen.blit(
font.render(get_status_string(players), True,
config.colors['fg']), status_rect)
line_num = 0
for line in string.split(config.help_string, '\n'):
screen.blit(font.render(line, True, config.colors['fg']), \
(help_rect.left, help_rect.top + line_num*font.get_linesize(), help_rect.width, help_rect.height))
line_num += 1
pygame.display.flip()
pygame.time.wait(
max(0, config.sleep - (pygame.time.get_ticks() - ticks)))
for obj in m.objectgroups["Objects"].get_by_type("Subghost"):
sg = subghost.SubGhost(
pyglet.sprite.Sprite(img=resources.subghost_frames[0],
x=obj.get(u'x'),
y=m_height - obj.get(u'y')))
sg.frames = resources.subghost_frames
game_objects.append(sg)
"""
sg = subghost.SubGhost(pyglet.sprite.Sprite(img = resources.subghost_frames[0], x=400, y=200))
sg.frames = resources.subghost_frames
game_objects.append(sg)
"""
for obj in m.objectgroups["Objects"].get_by_type("Hazard"):
hz = hazard.Hazard(
pyglet.sprite.Sprite(img=resources.salamander_frames[0],
x=obj.get(u'x'),
y=m_height - obj.get(u'y')))
hz.frames = resources.salamander_frames
game_objects.append(hz)
"""
sg = subghost.SubGhost(pyglet.sprite.Sprite(img = resources.subghost_frames[0], x=200, y=400))
sg.frames = resources.subghost_frames
game_objects.append(sg)
"""
#game_objects.append(subghost.SubGhost(pyglet.sprite.Sprite(img = resources.subghost_image, x=100, y=600)))
#game_objects.append(speech.Speech("Hi"))
sp = spirit.Spirit(
pyglet.sprite.Sprite(img=resources.sprite_frames[0], x=200,
y=m_height / 2))
# House price evolutions for FRM and ARM
rental_flow_rate = 0.025
vol_house_prices = 0.12
hw_remic.simulate_house_prices(n_simulations, rental_flow_rate,
vol_house_prices)
# Hazard models
optimize_hazard_models = True # True to run all hazard models optimizations.
# FRM prepayment
hz_frm_data = pd.read_csv('./Given_Files/FRM_perf.csv')
hz_frm_prepay = hazard.Hazard(hz_frm_data,
prepay_col="Prepayment_indicator",
end_col="Loan_age",
beg_col="period_beginning",
end_max=44,
cov_cols=["Spread", "spring_summer"],
tables_file=tables_file,
show_prints=True,
show_plots=False)
hz_frm_prepay.param_estimate_dynamic(
optimize_flag=optimize_hazard_models,
theta=[1.196813, 0.013147, -0.048916, -0.215195])
# FRM default
hz_frm_default = hazard.Hazard(hz_frm_data,
prepay_col="Default_indicator",
end_col="Loan_age",
beg_col="period_beginning",
end_max=44,
cov_cols=["LTV"],