diff options
Diffstat (limited to 'python/notebooks/swaption_risk.ipynb')
| -rw-r--r-- | python/notebooks/swaption_risk.ipynb | 7 |
1 files changed, 4 insertions, 3 deletions
diff --git a/python/notebooks/swaption_risk.ipynb b/python/notebooks/swaption_risk.ipynb index 127a68fd..22d6e9af 100644 --- a/python/notebooks/swaption_risk.ipynb +++ b/python/notebooks/swaption_risk.ipynb @@ -41,7 +41,8 @@ "metadata": { "jupyter": { "source_hidden": true - } + }, + "tags": [] }, "outputs": [], "source": [ @@ -111,8 +112,8 @@ "hedges[\"Index\"] = hedges[\"security_desc\"].apply(f)\n", "hedges = hedges.rename(columns={\"notional\": \"current hedge\"})\n", "hedges = hedges.set_index(\"Index\")[\"current hedge\"]\n", - "hedges = hedges.reindex(positions.index, fill_value=0.)\n", "risk = pd.concat([hedges, positions, gamma], axis=1)\n", + "risk = risk.fillna(0.0)\n", "risk['net_delta'] = risk[\"current hedge\"] + risk.current_delta\n", "risk" ] @@ -208,7 +209,7 @@ "name": "python", "nbconvert_exporter": "python", "pygments_lexer": "ipython3", - "version": "3.9.1" + "version": "3.9.2" } }, "nbformat": 4, |