diff options
Diffstat (limited to 'python/exploration/tranches.py')
| -rw-r--r-- | python/exploration/tranches.py | 7 |
1 files changed, 3 insertions, 4 deletions
diff --git a/python/exploration/tranches.py b/python/exploration/tranches.py index 094c3e9b..028d41b1 100644 --- a/python/exploration/tranches.py +++ b/python/exploration/tranches.py @@ -7,7 +7,7 @@ import analytics.basket_index as idx_bkt import numpy as np import pandas as pd -from analytics import Swaption, BlackSwaption, Index, VolatilitySurface, Portfolio +from analytics import Swaption, BlackSwaption, Index, BlackSwaptionVolSurface, Portfolio from analytics.scenarios import run_swaption_scenarios, run_index_scenarios, run_portfolio_scenarios import exploration.swaption_calendar_spread as spread from scipy.interpolate import interp1d @@ -164,9 +164,8 @@ def run_scen(trade_date = pd.Timestamp.today().normalize()- pd.offsets.BDay()): spread_shock = np.arange(shock_min, shock_max, 0.05) index = portf.indices[0].name.split()[1] series = portf.indices[0].name.split()[3][1:] - vs = VolatilitySurface(index, series, trade_date=trade_date) - vol_select = vs.list(option_type='payer', model='black')[-1] - vol_surface = vs[vol_select] + vs = BlackSwaptionVolaSurface(index, series, trade_date=trade_date) + vol_surface = vs[vs.list(option_type='payer')[-1]] df = run_portfolio_scenarios(portf, date_range, spread_shock, vol_shock, vol_surface, params=["pnl","delta"]) |