diff options
Diffstat (limited to 'python/notebooks/swaption_risk.ipynb')
| -rw-r--r-- | python/notebooks/swaption_risk.ipynb | 88 |
1 files changed, 69 insertions, 19 deletions
diff --git a/python/notebooks/swaption_risk.ipynb b/python/notebooks/swaption_risk.ipynb index ac08aa53..6b42cff1 100644 --- a/python/notebooks/swaption_risk.ipynb +++ b/python/notebooks/swaption_risk.ipynb @@ -3,18 +3,59 @@ { "cell_type": "code", "execution_count": null, - "metadata": {}, + "metadata": { + "jupyter": { + "source_hidden": true + } + }, "outputs": [], "source": [ "# better formatting for large floats\n", "import pandas as pd\n", - "pd.options.display.float_format = \"{:,.2f}\".format" + "pd.options.display.float_format = \"{:,.2f}\".format\n", + "from ipywidgets import widgets" ] }, { "cell_type": "code", "execution_count": null, - "metadata": {}, + "metadata": { + "jupyter": { + "source_hidden": true + } + }, + "outputs": [], + "source": [ + "w = widgets.Dropdown(\n", + " options=['BOWDST', 'SERCGMAST'],\n", + " value='SERCGMAST',\n", + " description='fund',\n", + " disabled=False,\n", + ")\n", + "w" + ] + }, + { + "cell_type": "code", + "execution_count": null, + "metadata": { + "jupyter": { + "source_hidden": true + } + }, + "outputs": [], + "source": [ + "fund = w.value" + ] + }, + { + "cell_type": "code", + "execution_count": null, + "metadata": { + "jupyter": { + "source_hidden": true + } + }, "outputs": [], "source": [ "from risk.swaptions import get_swaption_portfolio\n", @@ -31,17 +72,25 @@ { "cell_type": "code", "execution_count": null, - "metadata": {}, + "metadata": { + "jupyter": { + "source_hidden": true + } + }, "outputs": [], "source": [ - "portf = get_swaption_portfolio(value_date, conn, source_list=[\"MS\"])\n", + "portf = get_swaption_portfolio(value_date, conn, source_list=[\"MS\"], fund=fund)\n", "portf" ] }, { "cell_type": "code", "execution_count": null, - "metadata": {}, + "metadata": { + "jupyter": { + "source_hidden": true + } + }, "outputs": [], "source": [ "df = portf._todf()\n", @@ -54,18 +103,26 @@ { "cell_type": "code", "execution_count": null, - "metadata": {}, + "metadata": { + "jupyter": { + "source_hidden": true + } + }, "outputs": [], "source": [ - "hedges = pd.read_sql_query(\"SELECT security_desc, notional FROM list_cds_positions_by_strat(%s) \"\n", + "hedges = pd.read_sql_query(\"SELECT security_desc, notional FROM list_cds_positions_by_strat(%s, %s) \"\n", " \"WHERE folder in ('IGOPTDEL', 'HYOPTDEL')\",\n", - " conn, params=(value_date,))" + " conn, params=(value_date, fund))" ] }, { "cell_type": "code", "execution_count": null, - "metadata": {}, + "metadata": { + "jupyter": { + "source_hidden": true + } + }, "outputs": [], "source": [ "def f(s):\n", @@ -86,13 +143,6 @@ "execution_count": null, "metadata": {}, "outputs": [], - "source": [] - }, - { - "cell_type": "code", - "execution_count": null, - "metadata": {}, - "outputs": [], "source": [ "portf.theta" ] @@ -104,7 +154,7 @@ "outputs": [], "source": [ "import numpy as np\n", - "sr = np.linspace(47, 51, 100)\n", + "sr = np.linspace(65, 80, 100)\n", "rec= []\n", "for s in sr:\n", " delta = 0.\n", @@ -117,7 +167,7 @@ " rec.append((s, gamma, delta))\n", "df = pd.DataFrame.from_records(rec, columns=['spread', 'gamma', 'delta'])\n", "df = df.set_index('spread')\n", - "df.delta += risk.loc['IG33 5yr', 'current hedge']" + "df.delta += risk.loc['IG34 5yr', 'current hedge']" ] }, { |