diff options
Diffstat (limited to 'python/risk')
| -rw-r--r-- | python/risk/tranches.py | 12 |
1 files changed, 9 insertions, 3 deletions
diff --git a/python/risk/tranches.py b/python/risk/tranches.py index d70fbee9..530091f4 100644 --- a/python/risk/tranches.py +++ b/python/risk/tranches.py @@ -334,6 +334,10 @@ def VaR( else: ref = new_spread v.tweak([ref]) + df = pd.DataFrame.from_records( + [(*tid, t.pv) for tid, t in portf.items()], columns=["strat", "tid", "pv1"] + ).set_index(["strat", "tid"]) + pv2, pv3 = [], [] for tid, t in portf.items(): # we shock skews for i in range(-1, 8): @@ -344,9 +348,11 @@ def VaR( else: logging.error("Couldn't find a suitable skew mapping") t.rho = t._skew(t.moneyness) + pv2.append(t.pv) # we shock rates t.cs.df = t._index.yc.discount_factor(t.cs.payment_dates) - d[d_curr] = pd.DataFrame.from_records( - [(*tid, t.pv) for tid, t in portf.items()], columns=["strat", "tid", "pv"] - ).set_index(["strat", "tid"]) + pv3.append(t.pv) + df["pv2"] = pv2 + df["pv3"] = pv3 + d[d_curr] = df return pd.concat(d) |