diff options
| -rw-r--r-- | python/analytics/__init__.py | 1 | ||||
| -rw-r--r-- | python/analytics/portfolio.py | 23 |
2 files changed, 24 insertions, 0 deletions
diff --git a/python/analytics/__init__.py b/python/analytics/__init__.py index a2cbc200..031df9cb 100644 --- a/python/analytics/__init__.py +++ b/python/analytics/__init__.py @@ -1,2 +1,3 @@ from .index import Index, ForwardIndex from .option import BlackSwaption, Swaption, VolatilitySurface, ATMstrike +from .portfolio import Portfolio diff --git a/python/analytics/portfolio.py b/python/analytics/portfolio.py new file mode 100644 index 00000000..00ab09b1 --- /dev/null +++ b/python/analytics/portfolio.py @@ -0,0 +1,23 @@ +class Portfolio: + def __init__(self, trades): + self.trades = trades + + @property + def pnl(self): + return sum(t.pnl for t in self.trades) + + def make_original(self): + for t in self.trades: + t.make_original() + + @property + def ref(self): + return self.trades[0].ref + + @ref.setter + def ref(self, val): + for t in self.trades: + t.ref = val + + def delta(self, val): + sum([getattr(t, 'delta', 1) * t.notional for t in self.trades]) |