diff options
| -rw-r--r-- | python/mark_swaptions.py | 29 |
1 files changed, 17 insertions, 12 deletions
diff --git a/python/mark_swaptions.py b/python/mark_swaptions.py index 7b2a1127..1623a181 100644 --- a/python/mark_swaptions.py +++ b/python/mark_swaptions.py @@ -58,30 +58,35 @@ def mark_trades(date, engine): trade.index, trade.series, '5yr', date)) underlying = Index.from_name(trade.index, trade.series, '5yr', date, trade.notional) - sigma = get_swaptionvol(trade.index, trade.series, trade.strike, trade.expiration_date.date(), + quote = get_swaptionvol(trade.index, trade.series, trade.strike, trade.expiration_date.date(), date, serenitas_engine) - if sigma is None: + if quote is None: continue - if trade.index == "IG": - underlying.spread = sigma.ref - elif trade.index == "HY": - underlying.price = sigma.ref + underlying.ref = quote.ref swaption = Swaption(underlying, trade.expiration_date.date(), trade.strike, trade.swaption_type.lower()) - swaption.sigma = getattr(sigma, swaption.option_type) + if swaption.option_type == "payer": + if quote.payer is None: + swaption.sigma = quote.receiver + else: + swaption.sigma = quote.payer + else: + if quote.receiver is None: + swaption.sigma = quote.payer + else: + swaption.sigma = quote.receiver direction = 1. if trade.buysell else -1. market_value = swaption.pv * trade.notional * direction - market_value += swaption.DV01 * (closespread-sigma.ref) * trade.notional * direction + market_value += swaption.DV01 * (closespread - quote.ref) * trade.notional * direction #compute the greeks at index mark swaption.index.spread = closespread swaption._update() try: - test = (trade.Index, date, market_value, swaption.delta, swaption.gamma, - swaption.vega) + to_insert = (trade.Index, date, market_value, swaption.delta, swaption.gamma, + swaption.vega) engine.execute("INSERT INTO swaption_marks VALUES(%s, %s, %s, %s, %s, %s)", - (trade.Index, date, market_value, swaption.delta, swaption.gamma, - swaption.vega)) + to_insert) except exc.DataError as e: logging.error(e) finally: |