1 files changed, 49 insertions, 0 deletions
diff --git a/python/notebooks/swaption_risk.ipynb b/python/notebooks/swaption_risk.ipynb
index 97f9a1c9..146b0969 100644
--- a/python/notebooks/swaption_risk.ipynb
+++ b/python/notebooks/swaption_risk.ipynb
@@ -95,6 +95,55 @@
    "execution_count": null,
    "metadata": {},
    "outputs": [],
+   "source": [
+    "import numpy as np\n",
+    "sr = np.linspace(47, 51, 100)\n",
+    "rec= []\n",
+    "for s in sr:\n",
+    "    delta = 0.\n",
+    "    gamma = 0.\n",
+    "    for t in portf.trades:\n",
+    "        if t.index.index_type == \"IG\":\n",
+    "            t.index.mark(ref=s)\n",
+    "            delta += t.delta * t.notional\n",
+    "            gamma += t.gamma\n",
+    "    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']"
+   ]
+  },
+  {
+   "cell_type": "code",
+   "execution_count": null,
+   "metadata": {},
+   "outputs": [],
+   "source": [
+    "from matplotlib import pyplot as plt\n",
+    "def get_newaxes(num):\n",
+    "    plt.close(num)\n",
+    "    fix, axes = plt.subplots(figsize=(10,5), num=num)\n",
+    "    return axes\n",
+    "\n",
+    "axes = get_newaxes(1)\n",
+    "df.delta.plot(ax=axes)"
+   ]
+  },
+  {
+   "cell_type": "code",
+   "execution_count": null,
+   "metadata": {},
+   "outputs": [],
+   "source": [
+    "axes = get_newaxes(2)\n",
+    "df.gamma.plot(ax=axes)"
+   ]
+  },
+  {
+   "cell_type": "code",
+   "execution_count": null,
+   "metadata": {},
+   "outputs": [],
    "source": []
   }
  ],