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Diffstat (limited to 'python/reto.py')
| -rw-r--r-- | python/reto.py | 4 |
1 files changed, 3 insertions, 1 deletions
diff --git a/python/reto.py b/python/reto.py index f3708390..94e259f2 100644 --- a/python/reto.py +++ b/python/reto.py @@ -16,7 +16,9 @@ def gen_shocks(portf, shock_date, fund): # Add in 2020 HY Wides, 2021 HY Tights, 2022 HY Wides scenarios historic_spreads = np.array([872, 269, 626]) spread_shock = np.append(spread_shock, historic_spreads / ontr_spread - 1.0) - vol_surface = generate_vol_surface(portf, lookback=10, source="BAML") + vol_surface = generate_vol_surface( + portf, lookback=10, source_list=["BAML", "MS", "JPM"] + ) scens = run_portfolio_scenarios( portf, date_range=[pd.Timestamp(shock_date)], |