diff options
Diffstat (limited to 'python/analytics/option.py')
| -rw-r--r-- | python/analytics/option.py | 18 |
1 files changed, 8 insertions, 10 deletions
diff --git a/python/analytics/option.py b/python/analytics/option.py index bdc9b6c6..08614ab9 100644 --- a/python/analytics/option.py +++ b/python/analytics/option.py @@ -347,24 +347,22 @@ class BlackSwaption(ForwardIndex): return g(self.index, self.index.fixed_rate, self.exercise_date, pv=self._G - pv) - def shock(self, params, *, spread_shock, vol_surface, vol_shock, - vol_time_roll, **kwargs): - orig_spread, orig_sigma = self.spread, self.sigma - if vol_time_roll: - t = self.T + def shock(self, params, *, spread_shock, vol_surface, vol_shock, **kwargs): + orig_spread, orig_sigma = self.index.spread, self.sigma r = [] - for s in spread_shock: - self.spread = orig_spread * (1 + s) - curr_vol = vol_surface.ev(t, mon) + 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]) - self.spread = orig_spread + self.index.spread = orig_spread self.sigma = orig_sigma return pd.DataFrame.from_records( r, columns=params, - index=pd.MultiIndex.from_product(spread_shock, vol_shock)) + index=pd.MultiIndex.from_product([spread_shock, vol_shock], + names=['spread_shock', 'vol_shock'])) def __repr__(self): s = ["{:<20}{}".format(self.index.name, self.option_type), |