1 files changed, 37 insertions, 7 deletions
diff --git a/python/notebooks/swaption_risk.ipynb b/python/notebooks/swaption_risk.ipynb
index 05c447b8..bb9cb4c2 100644
--- a/python/notebooks/swaption_risk.ipynb
+++ b/python/notebooks/swaption_risk.ipynb
@@ -6,6 +6,17 @@
    "metadata": {},
    "outputs": [],
    "source": [
+    "# better formatting for large floats\n",
+    "import pandas as pd\n",
+    "pd.options.display.float_format = \"{:,.2f}\".format"
+   ]
+  },
+  {
+   "cell_type": "code",
+   "execution_count": null,
+   "metadata": {},
+   "outputs": [],
+   "source": [
     "from risk.swaptions import get_swaption_portfolio\n",
     "import datetime\n",
     "from db import dbconn\n",
@@ -20,7 +31,7 @@
    "metadata": {},
    "outputs": [],
    "source": [
-    "portf = get_swaption_portfolio(datetime.date.today(), conn)\n",
+    "portf = get_swaption_portfolio(datetime.date.today(), conn, source_list=['GS'])\n",
     "portf"
    ]
   },
@@ -30,9 +41,19 @@
    "metadata": {},
    "outputs": [],
    "source": [
-    "df = portf._todf()\n",
-    "df_ig=df.loc[df.Index == \"IG31 5yr\",[\"Delta\", \"Notional\"]]\n",
-    "(df_ig.Notional * df_ig.Delta).sum()"
+    "positions = df.set_index(\"Index\")[[\"Delta\", \"Notional\"]].prod(axis=1).groupby(level=\"Index\").sum()\n",
+    "positions.name = 'current_delta'"
+   ]
+  },
+  {
+   "cell_type": "code",
+   "execution_count": null,
+   "metadata": {},
+   "outputs": [],
+   "source": [
+    "hedges = pd.read_sql_query(\"SELECT security_desc, notional FROM list_cds_positions_by_strat(%s) \"\n",
+    "                           \"WHERE folder in ('IGOPTDEL', 'HYOPTDEL')\",\n",
+    "                           conn, params=(datetime.date.today(),))"
    ]
   },
   {
@@ -41,8 +62,17 @@
    "metadata": {},
    "outputs": [],
    "source": [
-    "df_hy=df.loc[df.Index == \"HY31 5yr\", [\"Delta\", \"Notional\"]]\n",
-    "(df_hy.Notional * df_hy.Delta).sum()"
+    "def f(s):\n",
+    "    l = s.split(\" \")\n",
+    "    return f\"{l[1]}{l[3][1:]} {l[4].lower()}r\"\n",
+    "\n",
+    "hedges[\"Index\"] = hedges[\"security_desc\"].apply(f)\n",
+    "hedges = hedges.rename(columns={\"notional\": \"current hedge\"})\n",
+    "hedges = hedges.set_index(\"Index\")[\"current hedge\"]\n",
+    "\n",
+    "risk = pd.concat([hedges, positions], axis=1)\n",
+    "risk['net_delta'] = risk[\"current hedge\"] + risk.current_delta\n",
+    "risk"
    ]
   },
   {
@@ -69,7 +99,7 @@
    "name": "python",
    "nbconvert_exporter": "python",
    "pygments_lexer": "ipython3",
-   "version": "3.7.2"
+   "version": "3.7.3"
   }
  },
  "nbformat": 4,