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| -rw-r--r-- | python/notebooks/Option Trades.ipynb | 15 |
1 files changed, 15 insertions, 0 deletions
diff --git a/python/notebooks/Option Trades.ipynb b/python/notebooks/Option Trades.ipynb index 4440d5f2..9def8e82 100644 --- a/python/notebooks/Option Trades.ipynb +++ b/python/notebooks/Option Trades.ipynb @@ -10,6 +10,7 @@ "from analytics.scenarios import run_swaption_scenarios, run_index_scenarios, run_portfolio_scenarios\n", "import datetime\n", "\n", + "#import exploration.swaption_calendar_spread as spread\n", "import swaption_calendar_spread as spread" ] }, @@ -115,6 +116,20 @@ "execution_count": null, "metadata": {}, "outputs": [], + "source": [ + "#July 2017: Buy Sept HY payer spread\n", + "option_delta = Index.from_tradeid(891)\n", + "option1 = BlackSwaption.from_tradeid(10, option_delta)\n", + "option2 = BlackSwaption.from_tradeid(11, option_delta)\n", + "portf = Portfolio([option1, option2, option_delta])\n", + "spread.plot_trade_scenarios(portf)" + ] + }, + { + "cell_type": "code", + "execution_count": null, + "metadata": {}, + "outputs": [], "source": [] } ], |