def natgas_portfolio_creation(session, values_server):
natgas_asset_class_settings = [
{
'asset_class_symbol': 'NG',
'is_primary': True,
'months_out_limit': 15,
'is_multi_driver': True
},
{
'asset_class_symbol': 'ON',
'is_primary': False,
'months_out_limit': 15,
'is_multi_driver': True
},
{
'asset_class_symbol': 'NPG',
'is_primary': False,
'months_out_limit': 15,
'is_multi_driver': True
},
{
'asset_class_symbol': 'LNE',
'is_primary': False,
'months_out_limit': 15,
'is_multi_driver': True
},
{
'asset_class_symbol': 'NN',
'is_primary': False,
'months_out_limit': 15,
'is_multi_driver': True
}
]
natgas_portfolio = create_portfolio("Natgas")
values_server.portfolios[natgas_portfolio.name] = natgas_portfolio
trade_calendar = create_trade_calendar()
trade_calendar.portfolios.append(natgas_portfolio)
discount_curve = create_discount_curve()
discount_curve.portfolio = natgas_portfolio
natgas_portfolio.discount_curve = discount_curve
decay_schedule = create_decay_schedule("Natgas Decay")
for aci_settings in natgas_asset_class_settings:
aci = create_asset_class_impl(session, **aci_settings)
decay_schedule.asset_class_impls.append(aci)
natgas_portfolio.asset_class_impls[aci.name] = aci
def silver_portfolio_creation(session, values_server):
silver_asset_class_settings = [
{
'asset_class_symbol': 'SLV',
'is_primary': True,
'months_out_limit': 15,
'is_multi_driver': False
},
{
'asset_class_symbol': 'SO',
'is_primary': False,
'months_out_limit': 15,
'is_multi_driver': False
},
{
'asset_class_symbol': 'SI',
'is_primary': True,
'months_out_limit': 15,
'is_multi_driver': False
}
]
silver_portfolio = create_portfolio("Silver")
values_server.portfolios[silver_portfolio.name] = silver_portfolio
trade_calendar = create_trade_calendar()
trade_calendar.portfolios.append(silver_portfolio)
discount_curve = create_discount_curve()
discount_curve.portfolio = silver_portfolio
silver_portfolio.discount_curve = discount_curve
decay_schedule = create_decay_schedule("Silver Decay")
for aci_settings in silver_asset_class_settings:
aci = create_asset_class_impl(session, **aci_settings)
decay_schedule.asset_class_impls.append(aci)
silver_portfolio.asset_class_impls[aci.name] = aci