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from .index import Index
class Portfolio:
def __init__(self, trades):
self.trades = trades
self.index = next(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)
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):
print("pomme")
self.index.trade_date = d
@property
def ref(self):
return self.index.ref
@ref.setter
def ref(self, val):
self.index.ref = val
@property
def delta(self):
"""returns the equivalent protection notional"""
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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