diff options
Diffstat (limited to 'python')
| -rw-r--r-- | python/pnl_explain.py | 19 |
1 files changed, 11 insertions, 8 deletions
diff --git a/python/pnl_explain.py b/python/pnl_explain.py index d67bd536..7103e36b 100644 --- a/python/pnl_explain.py +++ b/python/pnl_explain.py @@ -129,6 +129,13 @@ def get_tranche_pv( return df +def get_pv(**kwargs): + if (pnl_type := kwargs.pop("pnl_type")) == "swaption": + return get_swaption_pv(**kwargs) + else: + return get_tranche_pv(**kwargs) + + if __name__ == "__main__": import argparse from utils.db import dbconn @@ -162,23 +169,19 @@ if __name__ == "__main__": help="instrument for which we want the pnl (one of 'tranche' or 'swaption')", ) args = parser.parse_args() - swaption_strats = ("IGTOPTDEL", "HYOPTDEL") + swaption_strats = ("IGOPTDEL", "HYOPTDEL") tranche_strats = ("IGINX", "HYINX", "XOINX") - pnl_type = "tranche" if args.pnl_type == "tranche": index_strats = tranche_strats else: index_strats = swaption_strats - df_index = get_index_pv(args.start_date, args.end_date, dawndb, tranche_strats) + df_index = get_index_pv(args.start_date, args.end_date, dawndb, index_strats) - if args.pnl_type == "tranche": - df_instrument = get_tranche_pv(conn=dawndb, **vars(args)) - else: - df_instrument = get_swaption_pv(conn=dawndb, **vars(args)) + df_instrument = get_pv(conn=dawndb, **vars(args)) pnl_index = df_index.pv.diff() + df_index.daily pnl_instrument = df_instrument.pv.diff() + df_instrument.daily - pnl = pd.concat([pnl_index, pnl_instrument], keys=["index", pnl_type], axis=1) + pnl = pd.concat([pnl_index, pnl_instrument], keys=["index", args.pnl_type], axis=1) print( pd.concat( [pnl.sum(axis=1), pnl.sum(axis=1).cumsum()], |