diff options
Diffstat (limited to 'python/analytics/scenarios.py')
| -rw-r--r-- | python/analytics/scenarios.py | 7 |
1 files changed, 4 insertions, 3 deletions
diff --git a/python/analytics/scenarios.py b/python/analytics/scenarios.py index 334a27a1..1cc4fb7f 100644 --- a/python/analytics/scenarios.py +++ b/python/analytics/scenarios.py @@ -63,7 +63,7 @@ def MaybePool(nproc): yield Pool(nproc) if nproc > 0 else None def run_portfolio_scenarios(portf, date_range, spread_shock, vol_shock, - vol_surface, params=["pnl"], nproc=-1): + vol_surface, params=["pnl"], nproc=-1, vol_time_roll=True): """computes the pnl of a portfolio for a range of scenarios Parameters @@ -80,13 +80,14 @@ def run_portfolio_scenarios(portf, date_range, spread_shock, vol_shock, """ portf = deepcopy(portf) spreads = np.hstack([index.spread * (1 + spread_shock) for index in portf.indices]) - + t = [swaption.T for swaption in portf.swaptions] r = [] with MaybePool(nproc) as pool: pmap = pool.map if pool else map for date in date_range: portf.trade_date = date.date() - t = [swaption.T for swaption in portf.swaptions] + if vol_time_roll: + t = [swaption.T for swaption in portf.swaptions] for s in spreads: portf.ref = s mon = [swaption.moneyness for swaption in portf.swaptions] |