1 files changed, 23 insertions, 0 deletions
diff --git a/python/analytics/portfolio.py b/python/analytics/portfolio.py
new file mode 100644
index 00000000..00ab09b1
--- /dev/null
+++ b/python/analytics/portfolio.py
@@ -0,0 +1,23 @@
+class Portfolio:
+    def __init__(self, trades):
+        self.trades = trades
+
+    @property
+    def pnl(self):
+        return sum(t.pnl for t in self.trades)
+
+    def make_original(self):
+        for t in self.trades:
+            t.make_original()
+
+    @property
+    def ref(self):
+        return self.trades[0].ref
+
+    @ref.setter
+    def ref(self, val):
+        for t in self.trades:
+            t.ref = val
+
+    def delta(self, val):
+        sum([getattr(t, 'delta', 1) * t.notional for t in self.trades])