diff options
| -rw-r--r-- | python/exploration/swaption_calendar_spread.py | 10 |
1 files changed, 5 insertions, 5 deletions
diff --git a/python/exploration/swaption_calendar_spread.py b/python/exploration/swaption_calendar_spread.py index f8df96ce..3cf23b52 100644 --- a/python/exploration/swaption_calendar_spread.py +++ b/python/exploration/swaption_calendar_spread.py @@ -151,11 +151,11 @@ def dec_jan_2017_trade(): vol_select = vs.list('BAML', 'payer', 'black')[-1] vol_surface = vs[vol_select] - df = run_portfolio_scenarios(portf, date_range, spread_shock, vol_shock, vol_surface, params=["pnl", "delta"], vol_time_roll=False) + df = run_portfolio_scenarios(portf, date_range, spread_shock, vol_shock, + vol_surface, params=["pnl", "delta"], vol_time_roll=False) plot_time_color_map(df[round(df.vol_shock,2)==0], option_delta.spread * (1 + spread_shock), 'pnl') - -def april_may_2017_trade(): +def april_may_2017_trade(what='pnl'): option_delta = Index.from_tradeid(870) option1 = BlackSwaption.from_tradeid(5, option_delta) option2 = BlackSwaption.from_tradeid(6, option_delta) @@ -169,8 +169,8 @@ def april_may_2017_trade(): vol_surface = vs[vol_select] df = run_portfolio_scenarios(portf, date_range, spread_shock, vol_shock, - vol_surface, params=["pnl", "delta"], vol_time_roll=False) - plot_time_color_map(df[round(df.vol_shock,2)==0], option_delta.spread * (1 + spread_shock), 'pnl') + vol_surface, params=[what], vol_time_roll=False) + plot_time_color_map(df[abs(df.vol_shock)<1e-3], option_delta.spread * (1 + spread_shock), what) def june_july_2017_trade(): |