diff options
Diffstat (limited to 'python/exploration/swaption_calendar_spread.py')
| -rw-r--r-- | python/exploration/swaption_calendar_spread.py | 10 |
1 files changed, 3 insertions, 7 deletions
diff --git a/python/exploration/swaption_calendar_spread.py b/python/exploration/swaption_calendar_spread.py index 1584fe17..11ad145a 100644 --- a/python/exploration/swaption_calendar_spread.py +++ b/python/exploration/swaption_calendar_spread.py @@ -106,15 +106,11 @@ def plot_color_map(df, spread_shock, vol_shock, attr="pv", path="."): fig.colorbar(chart, shrink=.8) fig.savefig(os.path.join(path, "payer_swap_{}.png".format(val_date))) - -trade_date = datetime.date(2017, 2, 23) -ig27 = Index.from_name("IG", 27, '5yr', trade_date=trade_date) -ig27.ref = 62 -ig27.notional = 13e6 +option_delta = Index.from_tradeid(870) payer1 = BlackSwaption(ig27, datetime.date(2017, 4, 19), 65) payer2 = BlackSwaption(ig27, datetime.date(2017, 5, 17), 72) -payer1.notional = 100e6 -payer2.notional = 100e6 +payer1.notional = 100_000_000 +payer2.notional = 100_000_000 date_range = pd.bdate_range(trade_date, pd.Timestamp('2017-04-19') - BDay(), freq = '5B') vol_shock = np.arange(-0.15, 0.3, 0.01) spread_shock = np.arange(-0.2, 0.3, 0.01) |