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Diffstat (limited to 'python/analytics')
| -rw-r--r-- | python/analytics/scenarios.py | 1 |
1 files changed, 1 insertions, 0 deletions
diff --git a/python/analytics/scenarios.py b/python/analytics/scenarios.py index ea84f2bf..ed534144 100644 --- a/python/analytics/scenarios.py +++ b/python/analytics/scenarios.py @@ -33,6 +33,7 @@ def run_swaption_scenarios(swaption, date_range, spread_shock, vol_shock, vol_su r.append(Parallel(-1)( delayed(aux(swaption, curr_vol * (1 + vs), params, prepend)) for vs in vol_shock) swaption.index.spread = spread_start + df = pd.DataFrame.from_records(r, columns=['date', 'spread_shock', 'vol_shock'] + params) return df.set_index('date') |