diff options
Diffstat (limited to 'python/notebooks/Allocation Reports.ipynb')
| -rw-r--r-- | python/notebooks/Allocation Reports.ipynb | 9 |
1 files changed, 5 insertions, 4 deletions
diff --git a/python/notebooks/Allocation Reports.ipynb b/python/notebooks/Allocation Reports.ipynb index b20f77d0..e64b84b0 100644 --- a/python/notebooks/Allocation Reports.ipynb +++ b/python/notebooks/Allocation Reports.ipynb @@ -245,8 +245,8 @@ "outputs": [], "source": [ "#Positions and Risks\n", - "rmbs_pos = go.get_rmbs_pos_df()\n", - "clo_pos = go.get_clo_pos_df()" + "rmbs_pos = go.hist_pos(asset_class = 'rmbs')\n", + "clo_pos = go.hist_pos(asset_class = 'clo')" ] }, { @@ -302,8 +302,9 @@ "#RMBS Risk - need RMBS Positions and Risks\n", "sql_string = \"select date, duration, series from on_the_run where index = 'HY'\"\n", "duration = pd.read_sql_query(sql_string, Sengine, parse_dates=['date'], index_col=['date'])\n", - "df = pd.merge_asof(rmbs_pos.sort_index(), duration, left_index=True, right_index=True)\n", - "rmbs_hy_equiv = df.groupby('timestamp').apply(lambda df: sum(df.delta_yield/df.duration * 100))\n", + "rmbs_pos = pd.merge_asof(rmbs_pos.sort_index(), duration, left_index=True, right_index=True)\n", + "rmbs_pos['hy_equiv'] = rmbs_pos.delta_yield/rmbs_pos.duration * 100\n", + "rmbs_pos.groupby('timestamp').sum()\n", "#hy_equiv.plot()" ] }, |