diff options
Diffstat (limited to 'python/analytics/option.py')
| -rw-r--r-- | python/analytics/option.py | 5 |
1 files changed, 3 insertions, 2 deletions
diff --git a/python/analytics/option.py b/python/analytics/option.py index b15d3e81..8acdf121 100644 --- a/python/analytics/option.py +++ b/python/analytics/option.py @@ -353,17 +353,18 @@ class BlackSwaption(ForwardIndex): def shock(self, params, *, spread_shock, vol_surface, vol_shock, **kwargs): orig_spread, orig_sigma = self.index.spread, self.sigma r = [] + 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) for vs in vol_shock: self.sigma = curr_vol * ( 1 + vs ) - r.append([getattr(self, p) for p in params]) + r.append([getattr(self, p) for p in actual_params]) self.index.spread = orig_spread self.sigma = orig_sigma return pd.DataFrame.from_records( r, - columns=params, + columns=actual_params, index=pd.MultiIndex.from_product([spread_shock, vol_shock], names=['spread_shock', 'vol_shock'])) |