diff options
| -rw-r--r-- | python/notebooks/swaption_risk.ipynb | 2 |
1 files changed, 1 insertions, 1 deletions
diff --git a/python/notebooks/swaption_risk.ipynb b/python/notebooks/swaption_risk.ipynb index 2731a82e..f3a52bdf 100644 --- a/python/notebooks/swaption_risk.ipynb +++ b/python/notebooks/swaption_risk.ipynb @@ -73,7 +73,7 @@ "hedges[\"Index\"] = hedges[\"security_desc\"].apply(f)\n", "hedges = hedges.rename(columns={\"notional\": \"current hedge\"})\n", "hedges = hedges.set_index(\"Index\")[\"current hedge\"]\n", - "\n", + "hedges = hedges.reindex(positions.index, fill_value=0.)\n", "risk = pd.concat([hedges, positions, gamma], axis=1)\n", "risk['net_delta'] = risk[\"current hedge\"] + risk.current_delta\n", "risk" |