diff options
Diffstat (limited to 'python/exploration/test_cms.py')
| -rw-r--r-- | python/exploration/test_cms.py | 4 |
1 files changed, 3 insertions, 1 deletions
diff --git a/python/exploration/test_cms.py b/python/exploration/test_cms.py index 1a67c48a..57677b43 100644 --- a/python/exploration/test_cms.py +++ b/python/exploration/test_cms.py @@ -9,6 +9,7 @@ corr = 0.8 r = [] maturity = pd.Timestamp("2020-01-19") today = pd.Timestamp.today() + for d in pd.bdate_range("2018-01-19", today, closed="left", normalize=True): yc.link_to(YC(evaluation_date=d.date())) yc.extrapolation = True @@ -17,8 +18,9 @@ for d in pd.bdate_range("2018-01-19", today, closed="left", normalize=True): cms_spread_coupon_ln = quantlib_model(d, cms30y2y, yc, cap, corr, maturity) rate1 = cms_spread_coupon_ln.rate cms_spread_coupon_n = quantlib_model(d, cms30y2y, yc, cap, corr, maturity, - VolatilityType.Normal) + VolatilityType.Normal) rate2 = cms_spread_coupon_n.rate rate3 = globeop_model(d, cms30y2y, yc, cap, corr - 0.075, maturity) r.append((d, rate1, rate2, rate3)) + df = pd.DataFrame(r, columns=['date', 'QL_ln', 'QL_n', 'Globeop']).set_index('date') |