diff options
Diffstat (limited to 'python/analytics')
| -rw-r--r-- | python/analytics/scenarios.py | 5 |
1 files changed, 3 insertions, 2 deletions
diff --git a/python/analytics/scenarios.py b/python/analytics/scenarios.py index 0c132076..ab0cdde3 100644 --- a/python/analytics/scenarios.py +++ b/python/analytics/scenarios.py @@ -9,7 +9,7 @@ from functools import partial from multiprocessing import Pool def run_swaption_scenarios(swaption, date_range, spread_shock, vol_shock, - vol_surface, params=["pv"]): + vol_surface, params=["pv"], vol_time_roll=True): """computes the pv of a swaption for a range of scenarios Parameters @@ -24,11 +24,12 @@ def run_swaption_scenarios(swaption, date_range, spread_shock, vol_shock, """ swaption = deepcopy(swaption) spreads = swaption.ref * (1 + spread_shock) + T = swaption.T r = [] for date in date_range: swaption.index.trade_date = date.date() - T = swaption.T + if vol_time_roll: T = swaption.T for s in spreads: swaption.ref = s curr_vol = max(0, float(vol_surface(T, swaption.moneyness))) |