modelflowib 2.73__py3-none-any.whl

modeluserfunk.py

@@ -0,0 +1,97 @@
+# -*- coding: utf-8 -*-
+"""
+To make userdefined function avaiable to Business logic define them here
+Function names have to be all lower case !!!
+
+Created on Fri Mar  2 14:50:18 2018
+
+@author: hanseni
+"""
+
+try:
+    from numba import jit
+    
+    @jit("f8(b1,f8,f8)",nopython=True)
+    def recode(condition,yes,no):
+        '''Function which recreates the functionality of @recode from eviews ''' 
+        return yes if condition else no
+except Exception as e:
+    print(f' Import of numba failed {e} ')
+    def recode(condition,yes,no):
+        '''Function which recreates the functionality of @recode from eviews ''' 
+        return yes if condition else no
+    
+
+try:
+    from stem import ste 
+except:
+    pass 
+
+def __pd():
+    ''' Returns functions translating pd to REA veights. 
+    
+    The reason for making a closure is to avoid namespace clutter with the imported functions'''
+    
+    
+    from math import isclose,sqrt,erf 
+    from math import exp, log
+    from scipy.special import erfinv , ndtri
+
+    
+    def phi(x):
+        ''' Cumulative normal distribution function '''
+        return (1.0 + erf(x / sqrt(2.0))) / 2.0
+
+    def phiinv(x):
+        ''' inverse Cumulative normal distribution function '''
+        return ndtri(x) 
+
+    
+    
+    def pd_to_w(PD=0.01,LGD=0.5,cat='mrtg'):
+        ''' based on pd,lgd and sector this function calculates the risk weigts based on Basel 3
+        this function is based on Marco Gross's matlab function and chekked against the results 
+        the function is Risk_weights.m and a copy is located at 'Python poc' directory 
+        This function only distinguis betwen 3 types,
+        Alternative is to implement the parameters from BST.steet(CR_MAP) ''' 
+        NORM99 = 3.0902323061678132
+        # from phiinv(0.999)
+        
+        PD_ = 1e-10 if isclose(PD,0.0,abs_tol=1e-9)  else PD
+        if PD < -1e-9:
+            PD_ =  1e-10
+    
+        if cat == 'corp':
+             R = 0.12*(1-exp(-50*PD_   ))/(1-exp(-50)) + 0.24* (1-(1-exp(-50*PD_   ))/(1-exp(-50)))
+             b = (0.11852 - 0.05478*log(PD_))**2.
+             M = 2.5;
+             normal_dist_comp = phi(((1-R)**-0.5) *phiinv(PD_)   + NORM99 * ((R /(1-R))**0.5))
+             K = LGD    *(normal_dist_comp-PD_   )  *(1+(b*(M-2.5))) /(1- b*1.5)
+        elif cat == 'mrtg':
+            R = 0.15;
+            normal_dist_comp = phi(((1-R)**-0.5)*phiinv(PD_) + NORM99 *((R/(1-R))**0.5))
+            K = LGD*(normal_dist_comp-PD)
+        elif cat == 'retail':
+            R = 0.03*(1-exp(-35*PD_))/(1-exp(-35)) + 0.16*(1-(1-exp(-35*PD_))/(1-exp(-35)));
+            normal_dist_comp = phi(((1-R)**-0.5)*phiinv(PD_) + NORM99 * ((R/(1-R))**0.5))
+            K = LGD*(normal_dist_comp-PD)
+        else: 
+            print('Major mistake. No Basel categori :',cat)
+         
+        return K * 12.5
+    
+    
+    def pd_to_w_corp(PD=0.01,LGD=0.5):
+        return pd_to_w(PD,LGD,cat='corp' )
+    
+    
+    def pd_to_w_mrtg(PD=0.01,LGD=0.5):
+        return pd_to_w(PD,LGD,cat='mrtg' )
+    
+    
+    def pd_to_w_retail(PD=0.01,LGD=0.5):
+        return pd_to_w(PD,LGD,cat='retail' )
+    
+    return pd_to_w,pd_to_w_corp,pd_to_w_mrtg,pd_to_w_retail,phi,phiinv
+
+# pd_to_w,pd_to_w_corp,pd_to_w_mrtg,pd_to_w_retail,phi,phiinv = __pd()