Fixed problem with Gaussian Loss Dbn.

domokane · Feb 19, 2024 · 34e3181 · 34e3181
1 parent 81685a4
commit 34e3181
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Showing 20 changed files with 729 additions and 737 deletions.
diff --git a/financepy/__init__.py b/financepy/__init__.py
@@ -1,7 +1,7 @@
 cr = "\n"
 
 s = "####################################################################" + cr
-s += "#  FINANCEPY BETA Version " + str('0.34') + " - This build:  19 Feb 2024 at 04:06 #" + cr
+s += "#  FINANCEPY BETA Version " + str('0.34') + " - This build:  19 Feb 2024 at 21:02 #" + cr
 s += "#     This software is distributed FREE AND WITHOUT ANY WARRANTY   #" + cr
 s += "#  Report bugs as issues at https://github.com/domokane/FinancePy  #" + cr
 s += "####################################################################"

diff --git a/financepy/models/gauss_copula_onefactor.py b/financepy/models/gauss_copula_onefactor.py
@@ -218,7 +218,9 @@ def gauss_approx_tranche_loss(k1, k2, mu, sigma):
         d1 = (mu - k1) / sigma
         d2 = (mu - k2) / sigma
 
-        gauss_approx_tranche_loss = (mu - k1) * N(d1) - (mu - k2) * N(d2) + sigma * np.exp(-0.5 * d1 * d1) * INVROOT2PI - sigma * np.exp(-0.5 * d2 * d2) * INVROOT2PI
+        gauss_approx_tranche_loss = ((mu - k1) * N(d1) - (mu - k2) * N(d2) 
+        + sigma * np.exp(-0.5 * d1 * d1) * INVROOT2PI 
+        - sigma * np.exp(-0.5 * d2 * d2) * INVROOT2PI)
 
     return gauss_approx_tranche_loss
 

diff --git a/financepy/products/bonds/__init__.py b/financepy/products/bonds/__init__.py
@@ -1,13 +1,13 @@
 from .bond import *
 from .bond_zero import *
 from .bond_annuity import *
-from .zero_curve import *
+from .bond_zero_curve import *
 from .bond_convertible import *
 from .bond_callable import *
 from .bond_frn import *
 from .bond_future import *
 from .bond_market import *
 from .bond_option import *
-from .yield_curve import *
-from .yield_curve_model import *
+from .bond_yield_curve import *
+from .curve_fits import *
 from .bond_mortgage import *
diff --git a/financepy/products/bonds/bond.py b/financepy/products/bonds/bond.py
@@ -38,7 +38,7 @@
 from ...utils.math import npv
 from ...market.curves.discount_curve import DiscountCurve
 from ...market.curves.interpolator import InterpTypes
-from .zero_curve import BondZeroCurve
+from .bond_zero_curve import BondZeroCurve
 
 # References https://www.dmo.gov.uk/media/15011/yldeqns_v1.pdf
 # DO TRUE YIELD
@@ -390,7 +390,6 @@ def modified_duration(self,
     ###########################################################################
 
     def key_rate_durations(self, 
-                           bond,
                            settle_dt: Date,
                            ytm: float,
                            key_rate_tenors: list = None,
@@ -455,7 +454,7 @@ def key_rate_durations(self,
                 mat_dt = settle_dt.add_years(tenor)
 
                 par_bond = Bond(settle_dt, mat_dt, cpn,
-                                bond._freq_type, bond._dc_type)
+                                self._freq_type, self._dc_type)
 
                 par_bonds.append(par_bond)
 
@@ -473,7 +472,7 @@ def key_rate_durations(self,
                                     lin_zero_interp)
 
             # calculate the dirty price of the bond using the discount curve
-            p_zero = bond.dirty_price_from_discount_curve(settle_dt,
+            p_zero = self.dirty_price_from_discount_curve(settle_dt,
                                                           par_crv)
 
             # shift up by the yield of corresponding par bond
@@ -485,7 +484,8 @@ def key_rate_durations(self,
                 mat = settle_dt.add_years(tenor)
 
                 par_bond = Bond(settle_dt, mat, cpn,
-                                bond._freq_type, bond._dc_type)
+                                self._freq_type, 
+                                self._dc_type)
 
                 par_bonds.append(par_bond)
 
@@ -504,7 +504,7 @@ def key_rate_durations(self,
 
             # calculate the full price of the bond
             # using the discount curve with the key rate shifted up
-            p_up = bond.dirty_price_from_discount_curve(
+            p_up = self.dirty_price_from_discount_curve(
                 settle_dt, par_crv_up)
 
             # create a curve again with the key rate shifted down
@@ -517,7 +517,7 @@ def key_rate_durations(self,
                 mat = settle_dt.add_years(tenor)
 
                 par_bond = Bond(settle_dt, mat, cpn,
-                                bond._freq_type, bond._dc_type)
+                                self._freq_type, self._dc_type)
 
                 par_bonds.append(par_bond)
 
@@ -535,7 +535,7 @@ def key_rate_durations(self,
                                          lin_zero_interp)
 
             # calculate the full price of the bond using
-            p_down = bond.dirty_price_from_discount_curve(
+            p_down = self.dirty_price_from_discount_curve(
                 settle_dt, par_crv_down)
 
             # calculate the key rate duration