diff options
Diffstat (limited to 'python/notebooks/swaption_risk.ipynb')
| -rw-r--r-- | python/notebooks/swaption_risk.ipynb | 6 |
1 files changed, 4 insertions, 2 deletions
diff --git a/python/notebooks/swaption_risk.ipynb b/python/notebooks/swaption_risk.ipynb index e97269fa..77b8de43 100644 --- a/python/notebooks/swaption_risk.ipynb +++ b/python/notebooks/swaption_risk.ipynb @@ -43,7 +43,9 @@ "source": [ "df = portf._todf()\n", "positions = df.set_index(\"Index\")[[\"Delta\", \"Notional\"]].prod(axis=1).groupby(level=\"Index\").sum()\n", - "positions.name = 'current_delta'" + "positions.name = 'current_delta'\n", + "gamma = df.set_index(\"Index\")[[\"Gamma\", \"Notional\"]].prod(axis=1).groupby(level=\"Index\").sum()\n", + "gamma.name = 'gamma'" ] }, { @@ -71,7 +73,7 @@ "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 = pd.concat([hedges, positions, gamma], axis=1)\n", "risk['net_delta'] = risk[\"current hedge\"] + risk.current_delta\n", "risk" ] |