diff options
Diffstat (limited to 'python')
| -rw-r--r-- | python/swaption_pnl.py | 17 |
1 files changed, 9 insertions, 8 deletions
diff --git a/python/swaption_pnl.py b/python/swaption_pnl.py index a3471668..ae002d2e 100644 --- a/python/swaption_pnl.py +++ b/python/swaption_pnl.py @@ -93,6 +93,7 @@ if __name__ == "__main__": "--external", action="store_true", default=False, + dest="use_external", help="use brokers' marks", ) parser.add_argument( @@ -107,14 +108,14 @@ if __name__ == "__main__": df_index = get_index_pv( args.start_date, args.end_date, dawndb, ("IGOPTDEL", "HYOPTDEL") ) - if args.external: - df_swaption = get_swaption_pv( - args.start_date, args.end_date, dawndb, use_external=True - ) - else: - df_swaption = get_swaption_pv( - args.start_date, args.end_date, dawndb, source_list=args.source - ) + df_swaption = get_swaption_pv(conn=dawndb, **vars(args)) pnl_index = df_index.pv.diff() + df_index.daily pnl_swaption = df_swaption.pv.diff() + df_swaption.daily pnl = pd.concat([pnl_index, pnl_swaption], keys=["index", "swaption"], axis=1) + print( + pd.concat( + [pnl.sum(axis=1), pnl.sum(axis=1).cumsum()], + axis=1, + keys=["daily", "cumulative"], + ) + ) |