diff options
Diffstat (limited to 'python')
| -rw-r--r-- | python/risk/portfolio.py | 25 |
1 files changed, 11 insertions, 14 deletions
diff --git a/python/risk/portfolio.py b/python/risk/portfolio.py index ad3665d3..df9ef6ba 100644 --- a/python/risk/portfolio.py +++ b/python/risk/portfolio.py @@ -103,20 +103,19 @@ def build_portfolio(position_date, value_date=None, fund="SERCGMAST"): return portf, syn_portf -def generate_vol_surface(portf, try_days_back=5, source="MS"): +def generate_vol_surface(portf, lookback=5, source="MS"): vol_surface = {} - unique = { - (trade.index.index_type, trade.index.series, trade.option_type) - for trade in portf.swaptions - } - for ( - index_type, - series, - option_type, - ) in unique: + for trade in portf.swaptions: + index_type, series, option_type = ( + trade.index.index_type, + trade.index.series, + trade.option_type, + ) + if (k := (index_type, series, option_type)) in vol_surface: + continue i = 0 - while i < try_days_back: + while i < lookback: try: vs = BlackSwaptionVolSurface( index_type, @@ -129,8 +128,6 @@ def generate_vol_surface(portf, try_days_back=5, source="MS"): logger.info(f"Trying {portf.value_date - BDay(i)}") else: break - vol_surface[(index_type, series, option_type)] = vs[ - vs.list(source=source, option_type=option_type)[-1] - ] + vol_surface[k] = vs[vs.list(source=source, option_type=option_type)[-1]] return vol_surface |