diff options
Diffstat (limited to 'python/exploration/swaption_calendar_spread.py')
| -rw-r--r-- | python/exploration/swaption_calendar_spread.py | 12 |
1 files changed, 7 insertions, 5 deletions
diff --git a/python/exploration/swaption_calendar_spread.py b/python/exploration/swaption_calendar_spread.py index f3c1aaf0..d26ad0ee 100644 --- a/python/exploration/swaption_calendar_spread.py +++ b/python/exploration/swaption_calendar_spread.py @@ -114,7 +114,7 @@ def plot_color_map(df, spread_shock, vol_shock, attr="pnl", path=".", index ='IG fig.colorbar(chart, shrink=.8) #fig.savefig(os.path.join(path, "vol_spread_color_map"+ attr+ "_{}.png".format(val_date))) -def plot_time_color_map(df, spread_shock, attr="pnl", path=".", color_map = cm.RdYlGn, index ='IG'): +def plot_time_color_map(df, spread_shock, attr="pnl", path=".", color_map=cm.RdYlGn, index='IG'): val_date = df.index[0].date() df = df.reset_index() @@ -143,7 +143,7 @@ def plot_time_color_map(df, spread_shock, attr="pnl", path=".", color_map = cm.R fig.colorbar(chart, shrink=.8) #fig.savefig(os.path.join(path, "spread_time_color_map_"+ attr+ "_{}.png".format(val_date))) -def plot_trade_scenarios(portf, shock_min = -.15, shock_max = .2): +def plot_trade_scenarios(portf, shock_min=-.15, shock_max=.2): portf.reset_pv() earliest_date = min(portf.swaptions,key=attrgetter('exercise_date')).exercise_date @@ -156,9 +156,11 @@ def plot_trade_scenarios(portf, shock_min = -.15, shock_max = .2): vol_select = vs.list(option_type='payer', model='black')[-1] vol_surface = vs[vol_select] - df = run_portfolio_scenarios(portf, date_range, spread_shock, vol_shock, vol_surface, params=["pnl","delta"], vol_time_roll=True) + df = run_portfolio_scenarios(portf, date_range, spread_shock, vol_shock, vol_surface, + params=["pnl","delta"], vol_time_roll=True) - hy_plot_range = 100 + (500- portf.indices[0].spread * (1 + spread_shock))*abs(portf.indices[0].DV01)/portf.indices[0].notional*100 + hy_plot_range = 100 + (500 - portf.indices[0].spread * (1 + spread_shock)) * \ + abs(portf.indices[0].DV01) / portf.indices[0].notional * 100 shock = hy_plot_range if index == 'HY' else portf.indices[0].spread * (1 + spread_shock) @@ -232,4 +234,4 @@ def exercise_probability(): vol_surface = vs[vol_select] prob = vs.prob_surf(vol_select) - vs.prob_plot(vol_select)
\ No newline at end of file + vs.prob_plot(vol_select) |