diff options
Diffstat (limited to 'python')
| -rw-r--r-- | python/pnl_explain.py | 10 |
1 files changed, 6 insertions, 4 deletions
diff --git a/python/pnl_explain.py b/python/pnl_explain.py index fa2fe22c..fe75f429 100644 --- a/python/pnl_explain.py +++ b/python/pnl_explain.py @@ -364,8 +364,8 @@ if __name__ == "__main__": action="store", default="tranche", dest="pnl_type", - choices=("tranche", "swaption", "bond", "hedge"), - help="instrument for which we want the pnl ('tranche', 'swaption', 'bond', 'hedge')", + choices=("tranche", "swaption", "bond", "hedge", "curve"), + help="instrument for which we want the pnl ('tranche', 'swaption', 'bond', 'hedge', 'curve')", ) parser.add_argument( "-f", @@ -388,13 +388,14 @@ if __name__ == "__main__": "swaption": ("IGOPTDEL", "HYOPTDEL"), "hedge": ("HEDGE_MBS", "HEDGE_CLO", "HEDGE_MAC"), "tranche": ("IGINX", "HYINX", "XOINX"), + "curve": ("SER_ITRXCURVE", "SER_IGCURVE"), "bond": None, } df_index = get_index_pv( args.start_date, args.end_date, args.fund, dawndb, strats[args.pnl_type] ) pnl_index = df_index.pv.diff() + df_index[["upfront", "accrued"]].sum(axis=1) - if args.pnl_type != "hedge": + if args.pnl_type not in ["hedge", "curve"]: df_instrument = get_pv(conn=dawndb, **vars(args)) pnl_instrument = get_pnl(df_instrument, args.pnl_type) pnl = pd.concat( @@ -402,7 +403,8 @@ if __name__ == "__main__": ) print(cumulative_from_daily(pnl.sum(axis=1))) - elif args.pnl_type == "hedge": + elif args.pnl_type in ["hedge", "curve"]: print(cumulative_from_daily(pnl_index)) # HTZ: -738908.68 * 3 # JCP 963398.61 * 3 + # CRC: 990260.59 * 3 |