diff options
Diffstat (limited to 'python')
| -rw-r--r-- | python/notebooks/swaption_risk.ipynb | 30 |
1 files changed, 8 insertions, 22 deletions
diff --git a/python/notebooks/swaption_risk.ipynb b/python/notebooks/swaption_risk.ipynb index 4009b2b3..89c9be39 100644 --- a/python/notebooks/swaption_risk.ipynb +++ b/python/notebooks/swaption_risk.ipynb @@ -9,27 +9,8 @@ "from mark_swaptions import get_swaption_portfolio\n", "import datetime\n", "from db import dbconn\n", - "conn = dbconn('dawndb')" - ] - }, - { - "cell_type": "code", - "execution_count": null, - "metadata": {}, - "outputs": [], - "source": [ - "portf = get_swaption_portfolio(datetime.date.today(), conn)\n", - "portf.mark()\n", - "portf" - ] - }, - { - "cell_type": "code", - "execution_count": null, - "metadata": {}, - "outputs": [], - "source": [ "from analytics import init_ontr\n", + "conn = dbconn('dawndb')\n", "init_ontr()" ] }, @@ -39,6 +20,8 @@ "metadata": {}, "outputs": [], "source": [ + "portf = get_swaption_portfolio(datetime.date.today(), conn)\n", + "portf.mark(interp_method=\"bivariate_linear\")\n", "portf" ] }, @@ -48,7 +31,9 @@ "metadata": {}, "outputs": [], "source": [ - "portf.hy_equiv" + "df = portf._todf()\n", + "df_ig=df.loc[df.Index == \"IG31 5yr\",[\"Delta\", \"Notional\"]]\n", + "(df_ig.Notional * df_ig.Delta).sum()" ] }, { @@ -57,7 +42,8 @@ "metadata": {}, "outputs": [], "source": [ - "[(t.delta, t.notional, t._direction) for t in portf.trades]" + "df_hy=df.loc[df.Index == \"HY31 5yr\", [\"Delta\", \"Notional\"]]\n", + "(df_hy.Notional * df_hy.Delta).sum()" ] }, { |