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| -rw-r--r-- | python/notebooks/swaption_risk.ipynb | 49 |
1 files changed, 49 insertions, 0 deletions
diff --git a/python/notebooks/swaption_risk.ipynb b/python/notebooks/swaption_risk.ipynb index 97f9a1c9..146b0969 100644 --- a/python/notebooks/swaption_risk.ipynb +++ b/python/notebooks/swaption_risk.ipynb @@ -95,6 +95,55 @@ "execution_count": null, "metadata": {}, "outputs": [], + "source": [ + "import numpy as np\n", + "sr = np.linspace(47, 51, 100)\n", + "rec= []\n", + "for s in sr:\n", + " delta = 0.\n", + " gamma = 0.\n", + " for t in portf.trades:\n", + " if t.index.index_type == \"IG\":\n", + " t.index.mark(ref=s)\n", + " delta += t.delta * t.notional\n", + " gamma += t.gamma\n", + " rec.append((s, gamma, delta))\n", + "df = pd.DataFrame.from_records(rec, columns=['spread', 'gamma', 'delta'])\n", + "df = df.set_index('spread')\n", + "df.delta += risk.loc['IG33 5yr', 'current hedge']" + ] + }, + { + "cell_type": "code", + "execution_count": null, + "metadata": {}, + "outputs": [], + "source": [ + "from matplotlib import pyplot as plt\n", + "def get_newaxes(num):\n", + " plt.close(num)\n", + " fix, axes = plt.subplots(figsize=(10,5), num=num)\n", + " return axes\n", + "\n", + "axes = get_newaxes(1)\n", + "df.delta.plot(ax=axes)" + ] + }, + { + "cell_type": "code", + "execution_count": null, + "metadata": {}, + "outputs": [], + "source": [ + "axes = get_newaxes(2)\n", + "df.gamma.plot(ax=axes)" + ] + }, + { + "cell_type": "code", + "execution_count": null, + "metadata": {}, + "outputs": [], "source": [] } ], |