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from .index import Index
from .option import BlackSwaption
class Portfolio:
def __init__(self, trades):
self.trades = trades
self.indices = [t for t in trades if isinstance(t, Index)]
self.swaptions = [t for t in trades if isinstance(t, BlackSwaption)]
@property
def pnl(self):
return sum(t.pnl for t in self.trades)
@property
def pnl_list(self):
return [t.pnl for t in self.trades]
@property
def pv(self):
return sum(t.pv for t in self.trades)
@property
def pv_list(self):
return [t.pv for t in self.trades]
def set_original_pv(self):
for t in self.trades:
t.set_original_pv()
@property
def trade_date(self):
return self.index.trade_date
@trade_date.setter
def trade_date(self, d):
for index in self.indices:
index.trade_date = d
def mark(self):
pass
@property
def ref(self):
if len(self.indices) == 1:
return self.indices[0].ref
else:
return [index.ref for index in self.indices]
@ref.setter
def ref(self, val):
if len(self.indices) == 1:
self.indices[0].ref = val
elif len(self.indices) == 0:
##no index, so set the individual refs
for t in trades:
t.index.ref = val
elif len(self.indices) == len(val):
for index, val in zip(self.indices, val):
index.ref = val
else:
raise ValueError("The number of refs doesn't match the number of indices")
@property
def delta(self):
"""returns the equivalent protection notional
makes sense only where there is a single index."""
return sum([getattr(t, 'delta', -t._direction) * t.notional for t in self.trades])
@property
def gamma(self):
return sum([getattr(t, 'gamma', 0) * t.notional for t in self.trades])
@property
def dv01(self):
return sum(t.dv01 for t in self.trades)
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