diff options
Diffstat (limited to 'python/notebooks/Option Trades.ipynb')
| -rw-r--r-- | python/notebooks/Option Trades.ipynb | 8 |
1 files changed, 5 insertions, 3 deletions
diff --git a/python/notebooks/Option Trades.ipynb b/python/notebooks/Option Trades.ipynb index 6d60669c..6a28003f 100644 --- a/python/notebooks/Option Trades.ipynb +++ b/python/notebooks/Option Trades.ipynb @@ -40,9 +40,11 @@ " vol_shock = np.arange(-.15, .31, 0.01)\n", " spread_shock = np.arange(shock_min, shock_max, 0.01)\n", " index = portf.indices[0].index_type\n", - " vs = BlackSwaptionVolSurface(index, portf.indices[0].series, \n", - " value_date=portf.value_date)\n", - " vol_surface = vs[vs.list(option_type='payer')[-1]]\n", + " vol_surface = {}\n", + " for trade in portf.swaptions:\n", + " vs = BlackSwaptionVolSurface(trade.index.index_type, trade.index.series, \n", + " value_date=date)\n", + " vol_surface[trade.index.index_type + trade.index.series] = vs[vs.list(option_type='payer')[-1]]\n", " \n", " df = run_portfolio_scenarios(portf, date_range, params=[\"pnl\",\"delta\"],\n", " spread_shock = spread_shock,\n", |