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Diffstat (limited to 'python/analytics/scenarios.py')
| -rw-r--r-- | python/analytics/scenarios.py | 6 |
1 files changed, 5 insertions, 1 deletions
diff --git a/python/analytics/scenarios.py b/python/analytics/scenarios.py index 1cc4fb7f..def1668b 100644 --- a/python/analytics/scenarios.py +++ b/python/analytics/scenarios.py @@ -79,7 +79,11 @@ def run_portfolio_scenarios(portf, date_range, spread_shock, vol_shock, if nproc > 0 run with nproc processes. """ portf = deepcopy(portf) - spreads = np.hstack([index.spread * (1 + spread_shock) for index in portf.indices]) + for index in portf.indices: + if 'IG' in index.name: + spreads = np.hstack([index.spread * (1 + spread_shock)]) + else: + spreads = np.hstack([100 + (500- index.spread * (1 + spread_shock))*index.DV01/index.notional*100]) t = [swaption.T for swaption in portf.swaptions] r = [] with MaybePool(nproc) as pool: |