diff options
| -rw-r--r-- | python/notebooks/swaption_risk.ipynb | 27 |
1 files changed, 18 insertions, 9 deletions
diff --git a/python/notebooks/swaption_risk.ipynb b/python/notebooks/swaption_risk.ipynb index f70a1c34..2e4125e5 100644 --- a/python/notebooks/swaption_risk.ipynb +++ b/python/notebooks/swaption_risk.ipynb @@ -6,20 +6,26 @@ "metadata": { "jupyter": { "source_hidden": true - } + }, + "tags": [] }, "outputs": [], "source": [ "# better formatting for large floats\n", "import pandas as pd\n", "pd.options.display.float_format = \"{:,.2f}\".format\n", - "from ipywidgets import widgets" + "from ipywidgets import widgets\n", + "import os\n", + "os.environ[\"SERENITAS_APP_NAME\"] = \"notebook\"" ] }, { "cell_type": "code", "execution_count": null, "metadata": { + "jupyter": { + "source_hidden": true + }, "tags": [] }, "outputs": [], @@ -50,15 +56,15 @@ { "cell_type": "code", "execution_count": null, - "metadata": {}, + "metadata": { + "tags": [] + }, "outputs": [], "source": [ "from risk.swaptions import get_swaption_portfolio\n", "import datetime\n", - "from serenitas.utils.db import dbconn\n", "from serenitas.analytics import init_ontr\n", - "conn = dbconn('dawndb')\n", - "conn.autocommit = True\n", + "from serenitas.utils.db2 import dawn_pool\n", "value_date = datetime.date.today()\n", "init_ontr(value_date)" ] @@ -66,10 +72,13 @@ { "cell_type": "code", "execution_count": null, - "metadata": {}, + "metadata": { + "tags": [] + }, "outputs": [], "source": [ - "portf = get_swaption_portfolio(value_date, conn, fund=fund)\n", + "with dawn_pool.connection() as conn:\n", + " portf = get_swaption_portfolio(value_date, conn, fund=fund)\n", "portf" ] }, @@ -145,7 +154,7 @@ " 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['IG34 5yr', 'current hedge']" + "df.delta += risk.loc['IG37 5yr', 'current hedge']" ] }, { |