diff options
| -rw-r--r-- | python/pnl_explain.py | 6 |
1 files changed, 5 insertions, 1 deletions
diff --git a/python/pnl_explain.py b/python/pnl_explain.py index 914c84ed..ee9ba1a7 100644 --- a/python/pnl_explain.py +++ b/python/pnl_explain.py @@ -403,7 +403,9 @@ def get_bond_pv( def get_pnl( - df_instrument, asset_class: Literal["bond", "tranche", "swaption"], pv2=False + df_instrument, + asset_class: Literal["bond", "tranche", "swaption", "fx_forward"], + pv2=False, ): if asset_class == "bond": return df_instrument.drop("notional", axis=1).groupby("date").sum().sum(axis=1) @@ -426,6 +428,8 @@ def get_pnl( ) elif asset_class == "swaption": return df_instrument.pv.diff() + df_instrument.daily + elif asset_class == "fx_forward": + return df_instrument.pv.diff() + df_instrument.net_settle def cumulative_from_daily(df): |