In [2]:

    




    

    




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ImportError                               Traceback (most recent call last)
<ipython-input-2-7e7425fa6d1d> in <module>()
----> 1 from Curves.PortfolioLoss import PortfolioLossCalculations

ImportError: No module named 'Curves'

In [ ]:

    

t_step = 1.0 / 365.0
simNumber = 10
start_date = date(2012,2,28)
end_date = date(2015,12,31)  # Last Date of the Portfolio
referenceDate = date(2012, 12, 20)

#tvalues = [today + timedelta(days = 30) * n for n in range(37)] #3 years
#print(tvalues)

K1 = 0.01
K2 = 0.03
Fs = [0.3, 0.8]
Rs = [0.40, 0.60]
betas = [0.30, 1]
freq = "3M"
test = PortfolioLossCalculations.PortfolioLossCalculation(K1 = K1, K2 = K2, Fs = Fs, Rs =Rs, betas = betas,
                                start_date = start_date,end_date = end_date,freq=freq,
                                coupon = 0.001,referenceDate = referenceDate,rating="AAA",
                                R=0)
test.getQ()
test.Q_lhp(K1=K1, K2 = K2, R =0.4,beta = 0.30)