diff options
Diffstat (limited to 'python/analytics/portfolio.py')
| -rw-r--r-- | python/analytics/portfolio.py | 11 |
1 files changed, 3 insertions, 8 deletions
diff --git a/python/analytics/portfolio.py b/python/analytics/portfolio.py index c337a978..54d4cdeb 100644 --- a/python/analytics/portfolio.py +++ b/python/analytics/portfolio.py @@ -1,4 +1,4 @@ -from .index import Index, _key_from_index +from .index import Index from .option import BlackSwaption, VolatilitySurface from db import dbengine from warnings import warn @@ -33,13 +33,8 @@ class Portfolio: self.trades = trades self.indices = [t for t in trades if isinstance(t, Index)] self.swaptions = [t for t in trades if isinstance(t, BlackSwaption)] - self._keys = [] - trade_dates = set() - for index in self.indices: - self._keys.append(_key_from_index(index)) - #pick the first available trade_date - trade_dates.add(index.trade_date) - + trade_dates = set(index.trade_date for index in self.indices) + self._keys = [(index.index_type, index.series, index.tenor) for index in self.indices] for swaption in self.swaptions: trade_dates.add(swaption.index.trade_date) self._trade_date = trade_dates.pop() |