diff options
Diffstat (limited to 'python/analytics')
| -rw-r--r-- | python/analytics/option.py | 2 | ||||
| -rw-r--r-- | python/analytics/portfolio.py | 7 |
2 files changed, 5 insertions, 4 deletions
diff --git a/python/analytics/option.py b/python/analytics/option.py index 9303576f..b15d3e81 100644 --- a/python/analytics/option.py +++ b/python/analytics/option.py @@ -805,7 +805,7 @@ class ProbSurface(QuoteSurface): y = np.arange(min, max, 0.1) x = np.arange(time[0], time[-1], 0.01) xx, yy = np.meshgrid(x, y) - z = np.vstack([expit(surf(xx, y)) for xx in x]) + z = np.vstack([expit(surf(xx, np.log(y))) for xx in x]) surf = ax.plot_surface(xx, yy, z.T, cmap=cm.viridis) ax.set_xlabel("Year fraction") diff --git a/python/analytics/portfolio.py b/python/analytics/portfolio.py index 583f5582..508201f1 100644 --- a/python/analytics/portfolio.py +++ b/python/analytics/portfolio.py @@ -151,17 +151,18 @@ class Portfolio: def _todf(self): headers = ["Product", "Index", "Notional", "Ref", "Strike", "Direction", - "Expiry", "Vol", "PV", "Delta", "Gamma", "Theta", "Vega"] + "Type", "Expiry", "Vol", "PV", "Delta", "Gamma", "Theta", + "Vega"] rec = [] for t in self.trades: if isinstance(t, Index): name = f"{t.index_type}{t.series} {t.tenor}" r = ("Index", name, - t.notional, t.ref, "N/A", t.direction, "N/A", None, t.pv, 1., 0., t.theta, 0.) + t.notional, t.ref, "N/A", t.direction, "N/A", "N/A", None, t.pv, 1., 0., t.theta, 0.) elif isinstance(t, BlackSwaption): name = f"{t.index.index_type}{t.index.series} {t.index.tenor}" r = ("Swaption", name, - t.notional, t.ref, t.strike, t.direction, t.forward_date, t.sigma, t.pv, + t.notional, t.ref, t.strike, t.direction, t.option_type, t.forward_date, t.sigma, t.pv, t.delta, t.gamma, t.theta, t.vega) else: raise TypeError |