diff options
Diffstat (limited to 'python')
| -rw-r--r-- | python/analytics/portfolio.py | 24 |
1 files changed, 11 insertions, 13 deletions
diff --git a/python/analytics/portfolio.py b/python/analytics/portfolio.py index 62ecfb7d..78d5046c 100644 --- a/python/analytics/portfolio.py +++ b/python/analytics/portfolio.py @@ -33,6 +33,8 @@ def portf_repr(method): "Attach Rho": percent, "Detach Rho": percent, "HY Equiv": thousands, + "Strike": lambda x: "N/A" if np.isnan(x) else x, + "Type": lambda x: "N/A" if np.isnan(x) else x, }, "index": False, } @@ -96,10 +98,6 @@ class Portfolio: return sum(t.pnl for t in self.trades) @property - def local_pnl(self): - return sum(t.local_pnl for t in self.trades) - - @property def pnl_list(self): return [t.pnl for t in self.trades] @@ -108,10 +106,6 @@ class Portfolio: return sum(t.pv for t in self.trades) @property - def local_pv(self): - return sum(t.local_pv for t in self.trades) - - @property def pv_list(self): return [t.pv for t in self.trades] @@ -230,6 +224,7 @@ class Portfolio: "Gamma", "Theta", "Corr01", + "IRDV01", "Vega", "attach", "detach", @@ -246,17 +241,18 @@ class Portfolio: name, t.notional, t.ref, - "N/A", + None, t.direction, - "N/A", - "N/A", + getattr(t, "option_type", None), + getattr(t, "forward_date", None), None, t.pv, 1.0, - 0.0, + None, t.theta, getattr(t, "corr01", None), - 0.0, + getattr(t, "IRDV01", None), + getattr(t, "vega", None), None, None, None, @@ -280,6 +276,7 @@ class Portfolio: t.gamma, t.theta, getattr(t, "corr01", None), + getattr(t, "IRDV01", None), t.vega, None, None, @@ -304,6 +301,7 @@ class Portfolio: t.gamma, t.theta, getattr(t, "corr01", None), + getattr(t, "IRDV01", None), None, t.attach, t.detach, |