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{
"cells": [
{
"cell_type": "code",
"execution_count": null,
"metadata": {},
"outputs": [],
"source": [
"from risk.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"
]
},
{
"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": []
}
],
"metadata": {
"kernelspec": {
"display_name": "Python 3",
"language": "python",
"name": "python3"
},
"language_info": {
"codemirror_mode": {
"name": "ipython",
"version": 3
},
"file_extension": ".py",
"mimetype": "text/x-python",
"name": "python",
"nbconvert_exporter": "python",
"pygments_lexer": "ipython3",
"version": "3.7.2"
}
},
"nbformat": 4,
"nbformat_minor": 2
}
|
