diff options
Diffstat (limited to 'python/swaption_pnl.py')
| -rw-r--r-- | python/swaption_pnl.py | 6 |
1 files changed, 3 insertions, 3 deletions
diff --git a/python/swaption_pnl.py b/python/swaption_pnl.py index 3ae5c8bb..836cffdb 100644 --- a/python/swaption_pnl.py +++ b/python/swaption_pnl.py @@ -164,13 +164,13 @@ if __name__ == "__main__": ) if pnl_type == "tranche": - df_instrument = get_swaption_pv(conn=dawndb, **vars(args)) - else: df_instrument = get_tranche_pv(conn=dawndb, **vars(args)) + else: + df_instrument = get_swaption_pv(conn=dawndb, **vars(args)) pnl_index = df_index.pv.diff() + df_index.daily pnl_instrument = df_instrument.diff() + df_instrument.daily - pnl = pd.concat([pnl_index, pnl_swaption], keys=["index", pnl_type], axis=1) + pnl = pd.concat([pnl_index, pnl_instrument], keys=["index", pnl_type], axis=1) print( pd.concat( [pnl.sum(axis=1), pnl.sum(axis=1).cumsum()], |