diff options
Diffstat (limited to 'python/analytics')
| -rw-r--r-- | python/analytics/index.py | 13 | ||||
| -rw-r--r-- | python/analytics/scenarios.py | 4 |
2 files changed, 14 insertions, 3 deletions
diff --git a/python/analytics/index.py b/python/analytics/index.py index 1aa2ccc8..400c381f 100644 --- a/python/analytics/index.py +++ b/python/analytics/index.py @@ -279,6 +279,17 @@ class Index(object): if self._spread is not None: self._update() + @property + def pnl(self): + if self._original_clean_pv is None: + raise ValueError("original pv not set") + else: + ## TODO: handle factor change + days_accrued = (self.trade_date - self._original_trade_date).days / 360 + return - self._direction * self.notional * self.factor * \ + (self._clean_pv - self._original_clean_pv - + days_accrued * self.fixed_rate * 1e-4) + @classmethod def from_name(cls, index, series, tenor, trade_date=datetime.date.today(), notional=10_000_000): @@ -327,6 +338,8 @@ class Index(object): instance.direction = rec.protection instance.trade_date = rec.trade_date instance.pv = rec.upfront + instance._original_clean_pv = instance._clean_pv + instance._original_trade_date = rec.trade_date return instance def __repr__(self): diff --git a/python/analytics/scenarios.py b/python/analytics/scenarios.py index 9564556b..fe921e4c 100644 --- a/python/analytics/scenarios.py +++ b/python/analytics/scenarios.py @@ -45,8 +45,6 @@ def run_index_scenarios(index, date_range, spread_shock): index.trade_date = date.date() for s in spread: index.spread = s - scen_pv = index.clean_pv + - index.notional * (date.date()-starting_date).days /360 * index.fixed_rate * 1e-4 - starting_pv - r.append([date, s, scen_pv]) + r.append([date, s, index.pnl]) df = pd.DataFrame.from_records(r, columns=['date', 'spread', 'pnl']) return df.set_index('date') |