diff options
Diffstat (limited to 'python/exploration/portfolio_example.py')
| -rw-r--r-- | python/exploration/portfolio_example.py | 17 |
1 files changed, 8 insertions, 9 deletions
diff --git a/python/exploration/portfolio_example.py b/python/exploration/portfolio_example.py index 46f4915f..d39032d5 100644 --- a/python/exploration/portfolio_example.py +++ b/python/exploration/portfolio_example.py @@ -10,11 +10,11 @@ option2 = BlackSwaption.from_tradeid(8, option_delta) portf = Portfolio([option1, option2, option_delta]) date_range = pd.bdate_range(option_delta.trade_date, - pd.Timestamp('2017-04-25'), freq = 'B') + pd.Timestamp('2017-04-28'), freq = 'B') pnl = [] for date in date_range: portf.trade_date = date.date() - portf.mark(source="BAML", model="black") + portf.mark(source_list=["BAML", "GS"], model="black") pnl.append(portf.pnl) df = pd.DataFrame({'pnl': pnl}, index=date_range) @@ -25,16 +25,15 @@ df = pd.DataFrame({'pnl': pnl}, index=date_range) # portf = Portfolio([option1, option2, option_delta]) # date_range = pd.bdate_range(option_delta.trade_date, # pd.Timestamp('2017-04-19'), freq = 'B') + # pnl = [] # for date in date_range: # portf.trade_date = date.date() # try: -# portf.mark(source="BAML", model="black") +# portf.mark(source_list=["BAML", "GS"], model="black") # except ValueError: -# try: -# portf.mark(source="GS", model="black") -# except ValueError: -# pnl.append(None) -# continue -# pnl.append(portf.pnl) +# pnl.append(None) +# continue +# else: +# pnl.append(portf.pnl) # df = pd.DataFrame({'pnl': pnl}, index=date_range) |