diff options
Diffstat (limited to 'python/analytics')
| -rw-r--r-- | python/analytics/portfolio.py | 21 |
1 files changed, 12 insertions, 9 deletions
diff --git a/python/analytics/portfolio.py b/python/analytics/portfolio.py index b13d8dda..2f98053f 100644 --- a/python/analytics/portfolio.py +++ b/python/analytics/portfolio.py @@ -39,13 +39,7 @@ class Portfolio: def __init__(self, trades, trade_ids=None): self.trades = trades self.trade_ids = trade_ids - self.indices = [t for t in trades if isinstance(t, CreditIndex)] - self.swaptions = [t for t in trades if isinstance(t, BlackSwaption)] - self.tranches = [t for t in trades if isinstance(t, DualCorrTranche)] value_dates = set(t.value_date for t in self.trades) - self._keys = set([(index.index_type, index.series, index.tenor) for index in self.indices]) - for swaption in self.swaptions: - self._keys.add((swaption.index.index_type, swaption.index.series, swaption.index.tenor)) self._value_date = value_dates.pop() if len(value_dates) >= 1: warn(f"not all instruments have the same trade date, picking {self._value_date}") @@ -53,14 +47,23 @@ class Portfolio: def add_trade(self, trades, trade_ids): self.trades.append(trades) self.trade_ids.append(trade_ids) - self.indices = [t for t in self.trades if isinstance(t, CreditIndex)] - self.swaptions = [t for t in self.trades if isinstance(t, BlackSwaption)] - self.tranches = [t for t in self.trades if isinstance(t, DualCorrTranche)] def __iter__(self): for t in self.trades: yield t + @property + def indices(self): + return [t for t in self.trades if isinstance(t, CreditIndex)] + + @property + def swaptions(self): + return [t for t in self.trades if isinstance(t, BlackSwaption)] + + @property + def tranches(self): + return [t for t in self.trades if isinstance(t, DualCorrTranche)] + def items(self): for trade_id, trade in zip(self.trade_ids, self.trades): yield (trade_id, trade) |