diff options
Diffstat (limited to 'python/exploration/swaption_calendar_spread.py')
| -rw-r--r-- | python/exploration/swaption_calendar_spread.py | 11 |
1 files changed, 4 insertions, 7 deletions
diff --git a/python/exploration/swaption_calendar_spread.py b/python/exploration/swaption_calendar_spread.py index 4424e1f9..fb7d4b6a 100644 --- a/python/exploration/swaption_calendar_spread.py +++ b/python/exploration/swaption_calendar_spread.py @@ -139,7 +139,6 @@ vs = VolatilitySurface("IG", 27, trade_date=trade_date) vol_surface = vs[vs.list()[-1]] df1 = run_swaption_scenarios(payer1, date_range, spread_shock, vol_shock, vol_surface) - #params=['pv', 'delta']) df2 = run_swaption_scenarios(payer2, date_range, spread_shock, vol_shock, vol_surface) df3 = calc_delta_pnl(ig27, date_range, spread_shock) @@ -148,9 +147,7 @@ df3 = calc_delta_pnl(ig27, date_range, spread_shock) week = -1 df = df1 df = df.assign(pv=df1.pv-df2.pv) -spread_plot_range = np.arange((1-0.2)*ig27.ref, (1+0.3)*ig27.ref, 0.001*ig27.ref) -#plot_df(df.loc[date_range[week]], spread_plot_range, -# np.arange(-0.15, 0.3, 0.001)) -#plot_color_map(df.loc[date_range[week]]) - - +spread_plot_range = ig27.ref * (1 + np.arange(-0.2, 0.3, 0.001)) +plot_df(df.loc[date_range[week]], spread_plot_range, np.arange(-0.15, 0.3, 0.001)) +plot_color_map(df.loc[date_range[week]], ig27.ref *(1 + spread_shock), + vol_shock) |