diff options
Diffstat (limited to 'python/analytics/portfolio.py')
| -rw-r--r-- | python/analytics/portfolio.py | 17 |
1 files changed, 13 insertions, 4 deletions
diff --git a/python/analytics/portfolio.py b/python/analytics/portfolio.py index 34516172..71a42947 100644 --- a/python/analytics/portfolio.py +++ b/python/analytics/portfolio.py @@ -35,8 +35,9 @@ def portf_repr(method): "HY Equiv": thousands, "Strike": lambda x: "N/A" if np.isnan(x) else str(x), "Type": lambda x: "N/A" if x is None else x, + "Corr01": thousands, }, - "index": False, + "index": True, } if method == "string": kwargs["line_width"] = 100 @@ -286,6 +287,10 @@ class Portfolio: ) elif isinstance(t, DualCorrTranche): name = f"{t.index_type}{t.series} {t.tenor}" + try: + theta = t.theta() + except ValueError: + theta = t.pv / t.notional / t.duration + t.tranche_running * 1e-4 r = ( "Tranche", name, @@ -296,10 +301,10 @@ class Portfolio: None, None, None, - t.upfront, + t.pv, t.delta, t.gamma, - t.theta, + theta, getattr(t, "corr01", None), getattr(t, "IRDV01", None), None, @@ -312,7 +317,11 @@ class Portfolio: else: raise TypeError rec.append(r) - return pd.DataFrame.from_records(rec, columns=headers, index=self.trade_ids) + if isinstance(self.trade_ids[0], tuple): + index = [tid[1] for tid in self.trade_ids] + else: + index = self.trade_ids + return pd.DataFrame.from_records(rec, columns=headers, index=index) __repr__ = portf_repr("string") |