diff options
Diffstat (limited to 'python/exploration')
| -rw-r--r-- | python/exploration/swaption_calendar_spread.py | 4 |
1 files changed, 2 insertions, 2 deletions
diff --git a/python/exploration/swaption_calendar_spread.py b/python/exploration/swaption_calendar_spread.py index a1a244d6..f3c1aaf0 100644 --- a/python/exploration/swaption_calendar_spread.py +++ b/python/exploration/swaption_calendar_spread.py @@ -143,13 +143,13 @@ def plot_time_color_map(df, spread_shock, attr="pnl", path=".", color_map = cm.R fig.colorbar(chart, shrink=.8) #fig.savefig(os.path.join(path, "spread_time_color_map_"+ attr+ "_{}.png".format(val_date))) -def plot_trade_scenarios(portf): +def plot_trade_scenarios(portf, shock_min = -.15, shock_max = .2): portf.reset_pv() earliest_date = min(portf.swaptions,key=attrgetter('exercise_date')).exercise_date date_range = pd.bdate_range(portf.indices[0].trade_date, earliest_date - BDay(), freq = '5B') vol_shock = np.arange(-0.15, 0.3, 0.01) - spread_shock = np.arange(-0.15, 0.2, 0.01) + spread_shock = np.arange(shock_min, shock_max, 0.01) index = portf.indices[0].name.split()[1] series = portf.indices[0].name.split()[3][1:] vs = VolatilitySurface(index, series, trade_date=portf.indices[0].trade_date) |