diff options
Diffstat (limited to 'python/notebooks/swaption_risk.ipynb')
| -rw-r--r-- | python/notebooks/swaption_risk.ipynb | 6 |
1 files changed, 3 insertions, 3 deletions
diff --git a/python/notebooks/swaption_risk.ipynb b/python/notebooks/swaption_risk.ipynb index adb76887..357c126f 100644 --- a/python/notebooks/swaption_risk.ipynb +++ b/python/notebooks/swaption_risk.ipynb @@ -69,7 +69,7 @@ "metadata": {}, "outputs": [], "source": [ - "portf = get_swaption_portfolio(value_date, conn, source_list=[\"MS\"], fund=fund)\n", + "portf = get_swaption_portfolio(value_date, conn, fund=fund)\n", "portf" ] }, @@ -80,9 +80,9 @@ "outputs": [], "source": [ "df = portf._todf()\n", - "positions = df.set_index(\"Index\")[[\"Delta\", \"Notional\"]].prod(axis=1).groupby(level=\"Index\").sum()\n", + "positions = df.set_index(\"Desc\")[[\"Delta\", \"Notional\"]].prod(axis=1).groupby(level=\"Desc\").sum()\n", "positions.name = 'current_delta'\n", - "gamma = df.set_index(\"Index\")[[\"Gamma\", \"Notional\"]].prod(axis=1).groupby(level=\"Index\").sum()\n", + "gamma = df.set_index(\"Desc\")[[\"Gamma\", \"Notional\"]].prod(axis=1).groupby(level=\"Desc\").sum()\n", "gamma.name = 'gamma'" ] }, |