diff options
Diffstat (limited to 'python/exploration/portfolio_example.py')
| -rw-r--r-- | python/exploration/portfolio_example.py | 8 |
1 files changed, 4 insertions, 4 deletions
diff --git a/python/exploration/portfolio_example.py b/python/exploration/portfolio_example.py index 6b72a2c1..57bd686f 100644 --- a/python/exploration/portfolio_example.py +++ b/python/exploration/portfolio_example.py @@ -1,19 +1,19 @@ -from analytics import (Portfolio, BlackSwaption, Index, +from analytics import (Portfolio, BlackSwaption, CreditIndex, BlackSwaptionVolSurface, Swaption) from analytics.scenarios import run_portfolio_scenarios import pandas as pd import numpy as np -option_delta = Index.from_tradeid(870) +option_delta = CreditIndex.from_tradeid(870) option1 = BlackSwaption.from_tradeid(5, option_delta) option2 = BlackSwaption.from_tradeid(6, option_delta) portf = Portfolio([option1, option2, option_delta]) -date_range = pd.bdate_range(option_delta.trade_date, +date_range = pd.bdate_range(option_delta.value_date, pd.Timestamp('2017-04-19'), freq='W') vol_shock = np.arange(-0.15, 0.3, 0.01) spread_shock = np.arange(-0.2, 0.3, 0.01) -vs = BlackSwaptionVolSurface("IG", 27, trade_date=option_delta.trade_date) +vs = BlackSwaptionVolSurface("IG", 27, value_date=option_delta.value_date) vol_surface = vs[vs.list()[-1]] df = run_portfolio_scenarios(portf, date_range, spread_shock, vol_shock, vol_surface, ['pv', 'delta']) |