diff options
| -rw-r--r-- | python/analytics/index.py | 2 | ||||
| -rw-r--r-- | python/analytics/option.py | 24 | ||||
| -rw-r--r-- | python/analytics/portfolio.py | 41 |
3 files changed, 33 insertions, 34 deletions
diff --git a/python/analytics/index.py b/python/analytics/index.py index b06891f9..aa93b5ee 100644 --- a/python/analytics/index.py +++ b/python/analytics/index.py @@ -342,7 +342,7 @@ class Index(object): def observe(self, obj): self._observed.add(obj) - def mark(self): + def mark(self, **args): if self.value_date == datetime.date.today(): with init_bbg_session(BBG_IP) as session: security = self.name + " Corp" diff --git a/python/analytics/option.py b/python/analytics/option.py index d76c1888..cf02cbeb 100644 --- a/python/analytics/option.py +++ b/python/analytics/option.py @@ -112,6 +112,30 @@ class BlackSwaption(ForwardIndex): instance._original_pv = instance.pv return instance + def mark(self, source_list=[], surface_id=None, **args): + ind = self.index + self.index.mark() + # add None so that we always try everything + source_list = source_list + [None] + k = ind.index_type, ind.series, ind.tenor, ind.value_date + vs = BlackSwaptionVolSurface(*k, **args) + if surface_id is None: + for source in source_list: + if len(vs.list(source, self.option_type)) >=1: + break + else: + raise ValueError("No market data available for this day") + surface_id = vs.list(source, self.option_type)[1] + self.sigma = float(vs[surface_id](self.T, np.log(self.moneyness))) + + @property + def value_date(self): + return self.index.value_date + + @value_date.setter + def value_date(self, d): + self.index.value_date = d + @property def exercise_date(self): return self.forward_date diff --git a/python/analytics/portfolio.py b/python/analytics/portfolio.py index ad09b09e..22ccaaf7 100644 --- a/python/analytics/portfolio.py +++ b/python/analytics/portfolio.py @@ -31,10 +31,10 @@ class Portfolio: self.trades = trades self.indices = [t for t in trades if isinstance(t, Index)] self.swaptions = [t for t in trades if isinstance(t, BlackSwaption)] - value_dates = set(index.value_date for index in self.indices) - self._keys = [(index.index_type, index.series, index.tenor) for index in self.indices] + value_dates = set(t.value_date for t in self.trades) + self._keys = set([(index.index_type, index.series, index.tenor) for index in self.indices]) for swaption in self.swaptions: - value_dates.add(swaption.index.value_date) + self._keys.add((swaption.index.index_type, swaption.index.series, swaption.index.tenor)) self._value_date = value_dates.pop() if len(value_dates) >= 1: warn("not all instruments have the same trade date, picking {}". @@ -67,38 +67,13 @@ class Portfolio: @value_date.setter def value_date(self, d): - #we try to keep everybody in sync - for index in self.indices: - index.value_date = d - if len(self.indices) == 0: - for swaption in self.swaptions: - swaption.index.value_date = d + for t in self.trades: + t.value_date = d self._value_date = d - def mark(self, source_list=[], option_type=None, model="black", surface_id=None): - # add None so that we always try everything - source_list = source_list + [None] - for index, (index_type, series, tenor) in zip(self.indices, self._keys): - index.mark() - if tenor != '5yr': - continue - k = (index.value_date, index_type, series, tenor) - if self.swaptions: - if k not in self._vs: - vs = BlackSwaptionVolSurface(index_type, series, tenor, index.value_date) - if surface_id is None: - for source in source_list: - if len(vs.list(source)) >=1: - break - else: - raise ValueError("No market data available for this day") - self._vs[k] = vs[vs.list(source)[-1]] - else: - self._vs[k] = vs[surface_id] - for swaption in self.swaptions: - ind = swaption.index - vol_surface = self._vs[(ind.value_date, ind.index_type, ind.series, ind.tenor)] - swaption.sigma = float(vol_surface.ev(swaption.T, swaption.moneyness)) + def mark(self, **kwargs): + for t in self.trades: + t.mark(**kwargs) @property def ref(self): |