diff options
Diffstat (limited to 'python')
| -rw-r--r-- | python/pnl_explain.py | 10 |
1 files changed, 3 insertions, 7 deletions
diff --git a/python/pnl_explain.py b/python/pnl_explain.py index 1074bf10..cec9e691 100644 --- a/python/pnl_explain.py +++ b/python/pnl_explain.py @@ -257,7 +257,7 @@ def get_pv(**kwargs): if pnl_type == "swaption": return get_swaption_pv(**kwargs) elif pnl_type == "tranche": - return get_tranche_pv2(**kwargs) + return get_tranche_pv(**kwargs) else: return get_bond_pv(**kwargs) @@ -327,13 +327,9 @@ def get_pnl(df_instrument, asset_class: Literal["bond", "tranche", "swaption"]): if asset_class == "bond": return df_instrument.drop("notional", axis=1).groupby("date").sum().sum(axis=1) elif asset_class == "tranche": - df_pnl = df_instrument.groupby(level="id")[["pv", "accrued"]].diff().sum(axis=1) - cashflows = ( - df_instrument.dropna(subset=["realized_accrued", "principal"], how="all") - .fillna(0) - .sum(axis=1) + return df_instrument.pv.diff() + df_instrument[["upfront", "accrued"]].sum( + axis=1 ) - return pd.concat([df_pnl, cashflows]).groupby("date").sum() elif asset_class == "swaption": return df_instrument.pv.diff() + df_instrument.daily |