diff options
Diffstat (limited to 'python/notebooks')
| -rw-r--r-- | python/notebooks/swaption_risk.ipynb | 44 |
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, |