diff options
Diffstat (limited to 'python/exploration/swaption_calendar_spread.py')
| -rw-r--r-- | python/exploration/swaption_calendar_spread.py | 2 |
1 files changed, 1 insertions, 1 deletions
diff --git a/python/exploration/swaption_calendar_spread.py b/python/exploration/swaption_calendar_spread.py index 834fa9e6..d703bbe7 100644 --- a/python/exploration/swaption_calendar_spread.py +++ b/python/exploration/swaption_calendar_spread.py @@ -65,7 +65,7 @@ def plot_color_map(df, spread_shock, vol_shock, attr="pnl", path=".", index ='IG def plot_trade_scenarios(portf, shock_min=-.15, shock_max=.2, period = -1, vol_time_roll=True): portf.reset_pv() - earliest_date = min(portf.swaptions, key=lambda x: x.exercise_date)).exercise_date + earliest_date = min(portf.swaptions, key=lambda x: x.exercise_date).exercise_date #earliest_date = max(portf.swaptions,key=attrgetter('exercise_date')).exercise_date date_range = pd.bdate_range(portf.indices[0].trade_date, earliest_date - BDay(), freq = '3B') vol_shock = np.arange(-0.15, 0.3, 0.01) |