diff options
Diffstat (limited to 'python')
| -rw-r--r-- | python/notebooks/swaption_risk.ipynb | 26 | ||||
| -rw-r--r-- | python/process_queue.py | 2 |
2 files changed, 6 insertions, 22 deletions
diff --git a/python/notebooks/swaption_risk.ipynb b/python/notebooks/swaption_risk.ipynb index 6b42cff1..001a60bc 100644 --- a/python/notebooks/swaption_risk.ipynb +++ b/python/notebooks/swaption_risk.ipynb @@ -72,11 +72,7 @@ { "cell_type": "code", "execution_count": null, - "metadata": { - "jupyter": { - "source_hidden": true - } - }, + "metadata": {}, "outputs": [], "source": [ "portf = get_swaption_portfolio(value_date, conn, source_list=[\"MS\"], fund=fund)\n", @@ -86,11 +82,7 @@ { "cell_type": "code", "execution_count": null, - "metadata": { - "jupyter": { - "source_hidden": true - } - }, + "metadata": {}, "outputs": [], "source": [ "df = portf._todf()\n", @@ -103,11 +95,7 @@ { "cell_type": "code", "execution_count": null, - "metadata": { - "jupyter": { - "source_hidden": true - } - }, + "metadata": {}, "outputs": [], "source": [ "hedges = pd.read_sql_query(\"SELECT security_desc, notional FROM list_cds_positions_by_strat(%s, %s) \"\n", @@ -118,11 +106,7 @@ { "cell_type": "code", "execution_count": null, - "metadata": { - "jupyter": { - "source_hidden": true - } - }, + "metadata": {}, "outputs": [], "source": [ "def f(s):\n", @@ -229,7 +213,7 @@ "name": "python", "nbconvert_exporter": "python", "pygments_lexer": "ipython3", - "version": "3.8.3" + "version": "3.8.5" } }, "nbformat": 4, diff --git a/python/process_queue.py b/python/process_queue.py index e7600166..81ddf650 100644 --- a/python/process_queue.py +++ b/python/process_queue.py @@ -462,7 +462,7 @@ def build_line(obj, trade_type="bond", fund="SERCGMAST"): obj[direction + "Currency"] = obj["Currency"] obj[direction + "Notional"] = obj["Notional"] obj[direction + "EffectiveDate"] = get_effective_date( - obj["Trade Date"], obj["SwapType"] + obj["ExpirationDate"], obj["SwapType"] ) if obj["SwapType"] == "CD_INDEX_OPTION": for direction in ["Pay", "Receive"]: |