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Diffstat (limited to 'python/analytics/scenarios.py')
| -rw-r--r-- | python/analytics/scenarios.py | 4 |
1 files changed, 1 insertions, 3 deletions
diff --git a/python/analytics/scenarios.py b/python/analytics/scenarios.py index 9564556b..fe921e4c 100644 --- a/python/analytics/scenarios.py +++ b/python/analytics/scenarios.py @@ -45,8 +45,6 @@ def run_index_scenarios(index, date_range, spread_shock): index.trade_date = date.date() for s in spread: index.spread = s - scen_pv = index.clean_pv + - index.notional * (date.date()-starting_date).days /360 * index.fixed_rate * 1e-4 - starting_pv - r.append([date, s, scen_pv]) + r.append([date, s, index.pnl]) df = pd.DataFrame.from_records(r, columns=['date', 'spread', 'pnl']) return df.set_index('date') |