{
 "cells": [
  {
   "cell_type": "code",
   "execution_count": null,
   "metadata": {},
   "outputs": [],
   "source": [
    "from mark_swaptions import get_swaption_portfolio\n",
    "import datetime\n",
    "from db import dbconn\n",
    "from analytics import init_ontr\n",
    "conn = dbconn('dawndb')\n",
    "init_ontr()"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": null,
   "metadata": {},
   "outputs": [],
   "source": [
    "portf = get_swaption_portfolio(datetime.date.today(), conn)\n",
    "portf.mark(interp_method=\"bivariate_linear\")\n",
    "portf"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": null,
   "metadata": {},
   "outputs": [],
   "source": [
    "df = portf._todf()\n",
    "df_ig=df.loc[df.Index == \"IG31 5yr\",[\"Delta\", \"Notional\"]]\n",
    "(df_ig.Notional * df_ig.Delta).sum()"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": null,
   "metadata": {},
   "outputs": [],
   "source": [
    "df_hy=df.loc[df.Index == \"HY31 5yr\", [\"Delta\", \"Notional\"]]\n",
    "(df_hy.Notional * df_hy.Delta).sum()"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": null,
   "metadata": {},
   "outputs": [],
   "source": []
  }
 ],
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