diff options
Diffstat (limited to 'python/analytics/portfolio.py')
| -rw-r--r-- | python/analytics/portfolio.py | 24 |
1 files changed, 12 insertions, 12 deletions
diff --git a/python/analytics/portfolio.py b/python/analytics/portfolio.py index bea0f5cd..fd73e0e5 100644 --- a/python/analytics/portfolio.py +++ b/python/analytics/portfolio.py @@ -33,14 +33,14 @@ 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)] - trade_dates = set(index.trade_date for index in self.indices) + value_dates = set(index.value_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() - if len(trade_dates) >= 1: + value_dates.add(swaption.index.value_date) + self._value_date = value_dates.pop() + if len(value_dates) >= 1: warn("not all instruments have the same trade date, picking {}". - format(self._trade_date)) + format(self._value_date)) self._vs = {} @property @@ -64,18 +64,18 @@ class Portfolio: t.reset_pv() @property - def trade_date(self): - return self._trade_date + def value_date(self): + return self._value_date - @trade_date.setter - def trade_date(self, d): + @value_date.setter + def value_date(self, d): #we try to keep everybody in sync for index in self.indices: - index.trade_date = d + index.value_date = d if len(self.indices) == 0: for swaption in self.swaptions: - self.swaption.trade_date = d - self._trade_date = d + self.swaption.value_date = d + self._value_date = d def mark(self, source_list=[], option_type=None, model="black", surface_id=None): #add None so that we always try everything |