diff options
| -rw-r--r-- | python/notebooks/swaption_risk.ipynb | 6 |
1 files changed, 3 insertions, 3 deletions
diff --git a/python/notebooks/swaption_risk.ipynb b/python/notebooks/swaption_risk.ipynb index 311b27a3..1f023e39 100644 --- a/python/notebooks/swaption_risk.ipynb +++ b/python/notebooks/swaption_risk.ipynb @@ -49,7 +49,7 @@ "outputs": [], "source": [ "with dawn_pool.connection() as conn:\n", - " portf = get_swaption_portfolio(value_date, conn)\n", + " portf = get_swaption_portfolio(value_date, conn, override={k: 0.8 for k in [430, 431, 432, 433, 422, 423, 424, 425, 426, 427, 428, 429, 430]})\n", "portf.index_formatter = lambda t: (t[2], t[1])\n", "df = portf._todf().dropna(axis=1, how=\"all\")\n", "df.index.names = [\"fund\", \"trade_id\"]\n", @@ -64,7 +64,7 @@ "metadata": {}, "outputs": [], "source": [ - "greeks = df.assign(Delta=lambda df: df.Delta * df.Notional, Gamma=lambda df: df.Gamma * df.Notional).groupby([\"Desc\", \"fund\"], group_keys=False)[[\"Delta\", \"Gamma\"]].sum()" + "greeks = df.assign(Delta=lambda df: df.Delta * df.Notional, Gamma=lambda df: df.Gamma * df.Notional).groupby([\"Desc\", \"fund\"], group_keys=False)[[\"Delta\", \"Gamma\", \"Vega\"]].sum()" ] }, { @@ -189,7 +189,7 @@ "name": "python", "nbconvert_exporter": "python", "pygments_lexer": "ipython3", - "version": "3.10.8" + "version": "3.10.10" } }, "nbformat": 4, |