diff options
Diffstat (limited to 'python/analytics')
| -rw-r--r-- | python/analytics/portfolio.py | 12 |
1 files changed, 10 insertions, 2 deletions
diff --git a/python/analytics/portfolio.py b/python/analytics/portfolio.py index 95730823..62ecfb7d 100644 --- a/python/analytics/portfolio.py +++ b/python/analytics/portfolio.py @@ -38,7 +38,7 @@ def portf_repr(method): } if method == "string": kwargs["line_width"] = 100 - s = getattr(obj._todf(), "to_" + method)(**kwargs) + s = getattr(obj._todf().dropna(axis=1, how="all"), "to_" + method)(**kwargs) return header + s return f @@ -210,6 +210,10 @@ class Portfolio: def hy_equiv(self): return sum(t.hy_equiv for t in self.trades) + @property + def corr01(self): + return sum(t.corr01 for t in self.trades) + def _todf(self): headers = [ "Product", @@ -225,6 +229,7 @@ class Portfolio: "Delta", "Gamma", "Theta", + "Corr01", "Vega", "attach", "detach", @@ -250,6 +255,7 @@ class Portfolio: 1.0, 0.0, t.theta, + getattr(t, "corr01", None), 0.0, None, None, @@ -273,6 +279,7 @@ class Portfolio: t.delta, t.gamma, t.theta, + getattr(t, "corr01", None), t.vega, None, None, @@ -295,7 +302,8 @@ class Portfolio: t.upfront, t.delta, t.gamma, - None, + t.theta, + getattr(t, "corr01", None), None, t.attach, t.detach, |