diff options
| -rw-r--r-- | python/analytics/option.py | 2 | ||||
| -rw-r--r-- | python/analytics/scenarios.py | 7 | ||||
| -rw-r--r-- | python/tests/test_scenarios.py | 9 |
3 files changed, 6 insertions, 12 deletions
diff --git a/python/analytics/option.py b/python/analytics/option.py index 34f1b7a0..a714ae17 100644 --- a/python/analytics/option.py +++ b/python/analytics/option.py @@ -352,7 +352,7 @@ class BlackSwaption(ForwardIndex): actual_params = [p for p in params if hasattr(self, p)] for ss in spread_shock: self.index.spread = orig_spread * (1 + ss) - curr_vol = vol_surface.ev(self.T, self.moneyness) + curr_vol = vol_surface.ev(self.T, math.log(self.moneyness)) for vs in vol_shock: self.sigma = curr_vol * (1 + vs) r.append([getattr(self, p) for p in actual_params]) diff --git a/python/analytics/scenarios.py b/python/analytics/scenarios.py index 9996d405..1ebf9371 100644 --- a/python/analytics/scenarios.py +++ b/python/analytics/scenarios.py @@ -1,3 +1,4 @@ +import math import pandas as pd from copy import deepcopy import numpy as np @@ -33,13 +34,11 @@ def run_swaption_scenarios(swaption, date_range, spread_shock, vol_shock, if vol_time_roll: T = swaption.T for s in spreads: swaption.index.spread = s - curr_vol = max(0, float(vol_surface(T, swaption.moneyness))) - if date.date() > swaption.exercise_date: curr_vol = 0 + curr_vol = float(vol_surface(T, math.log(swaption.moneyness))) for vs in vol_shock: swaption.sigma = curr_vol * (1 + vs) - r.append([date, s, round(vs,2)] + [getattr(swaption, p) for p in params]) + r.append([date, s, round(vs, 2)] + [getattr(swaption, p) for p in params]) df = pd.DataFrame.from_records(r, columns=['date', 'spread', 'vol_shock'] + params) - df.loc[df.date > pd.to_datetime(swaption.exercise_date), 'delta'] = 0 return df.set_index(['date', 'spread', 'vol_shock']) diff --git a/python/tests/test_scenarios.py b/python/tests/test_scenarios.py index c22c8be3..6536c97e 100644 --- a/python/tests/test_scenarios.py +++ b/python/tests/test_scenarios.py @@ -12,7 +12,7 @@ class TestSenarios(unittest.TestCase): option_delta = CreditIndex.from_tradeid(874) option1 = BlackSwaption.from_tradeid(7, option_delta) option2 = BlackSwaption.from_tradeid(8, option_delta) - portf = Portfolio([option1, option2, option_delta]) + portf = Portfolio([option1, option2, option_delta], trade_ids=['opt1', 'opt2', 'delta']) date_range = pd.bdate_range(option_delta.value_date, pd.Timestamp('2017-05-17') - BDay(), freq='5B') @@ -26,21 +26,16 @@ class TestSenarios(unittest.TestCase): spread_shock=spread_shock, vol_shock=vol_shock, vol_surface=vol_surface) - df = df.set_index(['spread', 'vol_shock'], append=True) - df1 = run_swaption_scenarios(self.option1, self.date_range, spread_shock, vol_shock, vol_surface, ["pnl"]) df2 = run_swaption_scenarios(self.option2, self.date_range, spread_shock, vol_shock, vol_surface, ["pnl"]) df_index = run_index_scenarios(self.option_delta, self.date_range, spread_shock) - df1 = df1.set_index(['spread', 'vol_shock'], append=True) - df2 = df2.set_index(['spread', 'vol_shock'], append=True) - df_index = df_index.set_index(['spread'], append=True) df_swaptions = df1 + df2 df_swaptions = df_swaptions.reset_index(level='vol_shock') df_orig = df_index.add(df_swaptions, fill_value=0) df_orig = df_orig.set_index('vol_shock', append=True) - self.assertFalse(np.any((df-df_orig).values)) + self.assertFalse(np.any((df.sum(axis=1).values-df_orig['pnl'].values))) if __name__ == "__main__": unittest.main() |