1 files changed, 46 insertions, 6 deletions
diff --git a/python/analytics/portfolio.py b/python/analytics/portfolio.py
index e2f35a68..66cdfe0c 100644
--- a/python/analytics/portfolio.py
+++ b/python/analytics/portfolio.py
@@ -1,15 +1,32 @@
-from .index import Index
+from .index import Index, _key_from_index
 from .option import BlackSwaption, VolatilitySurface
 from db import dbengine
 from warnings import warn
+import pandas as pd
+import numpy as np
 
 serenitasdb = dbengine('serenitasdb')
 
-def _key_from_index(index):
-    _, index_type, _, series, tenor = index.name.split()
-    series = int(series[1:])
-    tenor = tenor.lower() + 'r'
-    return index_type, series, tenor
+def portf_repr(method):
+    def f(*args):
+        obj = args[0]
+        thousands = lambda x: "{:,.2f}".format(x)
+        percent = lambda x: "N/A" if np.isnan(x) else f"{100*x:.2f}%"
+        header = "Portfolio {}\n\n".format(obj.trade_date)
+        kwargs = {'formatters': {'Notional': thousands,
+                                 'PV': thousands,
+                                 'Delta': percent,
+                                 'Gamma': percent,
+                                 'Theta': thousands,
+                                 'Vega': thousands,
+                                 'Vol': percent,
+                                 'Ref': thousands},
+                  'index': False}
+        if method == 'string':
+            kwargs['line_width'] = 100
+        s = getattr(obj._todf(), 'to_' + method)(**kwargs)
+        return header + s
+    return f
 
 class Portfolio:
     def __init__(self, trades):
@@ -123,3 +140,26 @@ class Portfolio:
     @property
     def dv01(self):
         return sum(t.dv01 for t in self.trades)
+
+    def _todf(self):
+        headers = ["Product", "Index", "Notional", "Ref", "Direction", "Expiry",
+                   "Vol", "PV", "Delta", "Gamma", "Theta", "Vega"]
+        rec = []
+        for t in self.trades:
+            if isinstance(t, Index):
+                index_type, series, tenor = _key_from_index(t)
+                r = ("Index", f"{index_type}{series} {tenor}",
+                     t.notional, t.ref, t.direction, "N/A", None, t.pv, 1., 0., t.theta, 0.)
+            elif isinstance(t, BlackSwaption):
+                index_type, series, tenor = _key_from_index(t.index)
+                r = ("Swaption", f"{index_type}{series} {tenor}",
+                     t.notional, t.ref, t.direction, t.forward_date, t.sigma, t.pv,
+                     t.delta, t.gamma, t.theta, t.vega)
+            else:
+                raise TypeError
+            rec.append(r)
+        return pd.DataFrame.from_records(rec, columns=headers)
+
+    __repr__ = portf_repr('string')
+
+    _repr_html_ = portf_repr('html')