diff options
Diffstat (limited to 'python/analytics/portfolio.py')
| -rw-r--r-- | python/analytics/portfolio.py | 28 |
1 files changed, 16 insertions, 12 deletions
diff --git a/python/analytics/portfolio.py b/python/analytics/portfolio.py index 66cdfe0c..ceef78c6 100644 --- a/python/analytics/portfolio.py +++ b/python/analytics/portfolio.py @@ -82,21 +82,21 @@ class Portfolio: self.swaption.trade_date = d self._trade_date = d - def mark(self, source=None, option_type=None, model=None, surface_id=None): - vs_dict = {} + def mark(self, source_list=[], option_type=None, model="black", surface_id=None): for index, (index_type, series, tenor) in zip(self.indices, self._keys): - run = serenitasdb.execute("""SELECT * FROM index_quotes - WHERE index=%s AND series=%s AND tenor=%s AND date=%s""", - (index_type, series, tenor, self.trade_date)) - rec = run.fetchone() - index.spread = rec.closespread - k = (self.trade_date, index_type, series, tenor) + index.mark() + k = (index.trade_date, index_type, series, tenor) + #add None so that we always try everything + source_list = source_list + [None] if k not in self._vs: - vs = VolatilitySurface(index_type, series, tenor, self.trade_date) - if surface_id is None and len(vs.list(source, option_type, model)) >=1: + vs = VolatilitySurface(index_type, series, tenor, index.trade_date) + if surface_id is None: + for source in source_list: + if len(vs.list(source, option_type, model)) >=1: + break + else: + raise ValueError("No market data available for this day") surface_id = vs.list(source, option_type, model)[-1] - else: - raise ValueError("No market data available for this day") self._vs[k] = vs[surface_id] for swaption in self.swaptions: vol_surface = self._vs[(swaption.index.trade_date, ) + \ @@ -141,6 +141,10 @@ class Portfolio: def dv01(self): return sum(t.dv01 for t in self.trades) + @property + def theta(self): + return sum(t.theta for t in self.trades) + def _todf(self): headers = ["Product", "Index", "Notional", "Ref", "Direction", "Expiry", "Vol", "PV", "Delta", "Gamma", "Theta", "Vega"] |