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Diffstat (limited to 'python/analytics/scenarios.py')
| -rw-r--r-- | python/analytics/scenarios.py | 4 |
1 files changed, 3 insertions, 1 deletions
diff --git a/python/analytics/scenarios.py b/python/analytics/scenarios.py index ed534144..84505101 100644 --- a/python/analytics/scenarios.py +++ b/python/analytics/scenarios.py @@ -1,4 +1,5 @@ from analytics import ATMstrike +from joblib import delayed, Parallel import pandas as pd def run_swaption_scenarios(swaption, date_range, spread_shock, vol_shock, vol_surface, @@ -31,7 +32,8 @@ def run_swaption_scenarios(swaption, date_range, spread_shock, vol_shock, vol_su swaption.sigma = vol return prepend + [getattr(swaption, p) for p in params] r.append(Parallel(-1)( - delayed(aux(swaption, curr_vol * (1 + vs), params, prepend)) for vs in vol_shock) + delayed(aux(swaption, curr_vol * (1 + vs), params, [date, spread, vs])) \ + for vs in vol_shock)) swaption.index.spread = spread_start df = pd.DataFrame.from_records(r, columns=['date', 'spread_shock', |