diff options
Diffstat (limited to 'python/analytics/portfolio.py')
| -rw-r--r-- | python/analytics/portfolio.py | 14 |
1 files changed, 7 insertions, 7 deletions
diff --git a/python/analytics/portfolio.py b/python/analytics/portfolio.py index 54d4cdeb..1e803c1f 100644 --- a/python/analytics/portfolio.py +++ b/python/analytics/portfolio.py @@ -166,18 +166,18 @@ class Portfolio: return sum(t.theta for t in self.trades) def _todf(self): - headers = ["Product", "Index", "Notional", "Ref", "Direction", "Expiry", + headers = ["Product", "Index", "Notional", "Ref", "Strike", "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.) + name = f"{t.index_type}{t.series} {t.tenor}" + r = ("Index", name, + t.notional, t.ref, "N/A", 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, + name = f"{t.index.index_type}{t.index.series} {t.index.tenor}" + r = ("Swaption", name, + t.notional, t.ref, t.strike, t.direction, t.forward_date, t.sigma, t.pv, t.delta, t.gamma, t.theta, t.vega) else: raise TypeError |