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Diffstat (limited to 'python/analytics/index.py')
| -rw-r--r-- | python/analytics/index.py | 13 |
1 files changed, 13 insertions, 0 deletions
diff --git a/python/analytics/index.py b/python/analytics/index.py index 1aa2ccc8..400c381f 100644 --- a/python/analytics/index.py +++ b/python/analytics/index.py @@ -279,6 +279,17 @@ class Index(object): if self._spread is not None: self._update() + @property + def pnl(self): + if self._original_clean_pv is None: + raise ValueError("original pv not set") + else: + ## TODO: handle factor change + days_accrued = (self.trade_date - self._original_trade_date).days / 360 + return - self._direction * self.notional * self.factor * \ + (self._clean_pv - self._original_clean_pv - + days_accrued * self.fixed_rate * 1e-4) + @classmethod def from_name(cls, index, series, tenor, trade_date=datetime.date.today(), notional=10_000_000): @@ -327,6 +338,8 @@ class Index(object): instance.direction = rec.protection instance.trade_date = rec.trade_date instance.pv = rec.upfront + instance._original_clean_pv = instance._clean_pv + instance._original_trade_date = rec.trade_date return instance def __repr__(self): |