def resolve(self, in_place: bool = True) -> Optional[PortfolioRiskResult]:
with self.__pricing_context:
futures = [i.resolve(in_place) for i in self.__instruments]
if not in_place:
return PortfolioRiskResult(self, (ResolvedInstrumentValues, ),
futures)
def calc(self,
risk_measure: Union[RiskMeasure, Iterable[RiskMeasure]],
fn=None) -> PortfolioRiskResult:
with self.__pricing_context:
return PortfolioRiskResult(
self, (risk_measure, )
if isinstance(risk_measure, RiskMeasure) else risk_measure,
[p.calc(risk_measure, fn=fn) for p in self.__priceables])
def calc(
self, risk_measure: Union[RiskMeasure, Iterable[RiskMeasure]]
) -> PortfolioRiskResult:
with self.__pricing_context:
return PortfolioRiskResult(
self, (risk_measure, )
if isinstance(risk_measure, RiskMeasure) else risk_measure,
[i.calc(risk_measure) for i in self.__instruments],
result_future=PricingFuture(PricingContext.current))
def calc(self, risk_measure: Union[RiskMeasure, Iterable[RiskMeasure]], fn=None) -> PortfolioRiskResult:
priceables = self._get_instruments(self.__position_context.position_date, False, True)
with self._pricing_context:
# PortfolioRiskResult should hold a copy of the portfolio instead of a reference to the portfolio
# this is to prevent the portfolio object within portfolioriskresult to hold a reference to the portfolio
# object should it later be modified in place (eg: resolution)
return PortfolioRiskResult(self.clone(),
(risk_measure,) if isinstance(risk_measure, RiskMeasure) else risk_measure,
[p.calc(risk_measure, fn=fn) for p in priceables])
def calc(
self, risk_measure: Union[RiskMeasure, Iterable[RiskMeasure]]
) -> PortfolioRiskResult:
with PricingContext.current if not PricingContext.current._is_entered else nullcontext(
):
return PortfolioRiskResult(
self, (risk_measure, )
if isinstance(risk_measure, RiskMeasure) else risk_measure,
[p.calc(risk_measure) for p in self.__instruments])
def calc(self,
risk_measure: Union[RiskMeasure, Iterable[RiskMeasure]],
fn=None) -> PortfolioRiskResult:
with self.__pricing_context:
# PortfolioRiskResult should hold a copy of the portfolio instead of a reference to the portfolio
# this is to prevent the portfolio object within portfolioriskresult to hold a reference to the portfolio
# object should it later be modified in place (eg: resolution)
return PortfolioRiskResult(
copy.deepcopy(self), (risk_measure, ) if isinstance(
risk_measure, RiskMeasure) else risk_measure,
[p.calc(risk_measure, fn=fn) for p in self.__priceables])
def calc(self,
risk_measure: Union[RiskMeasure, Iterable[RiskMeasure]],
fn=None) -> PortfolioRiskResult:
# PortfolioRiskResult should hold a copy of the portfolio instead of a reference to the portfolio
# this is to prevent the portfolio object within portfolioriskresult to hold a reference to the portfolio
# object should it later be modified in place (eg: resolution)
# If a position set portfolio, resolve positions held on each date in pricing context
if self.priceables:
with self.__pricing_context:
return PortfolioRiskResult(
copy.deepcopy(self), (risk_measure, ) if isinstance(
risk_measure, RiskMeasure) else risk_measure,
[p.calc(risk_measure, fn=fn) for p in self.__priceables])
if self.id or self.position_sets:
priceables_map = self.convert_positions_to_priceables()
list_of_risk_measures = (risk_measure, ) if isinstance(
risk_measure, RiskMeasure) else risk_measure
risk_pricing_context = list_of_risk_measures[0].pricing_context
# If the pricing context is historical, calc based on position sets held on each date
if isinstance(risk_pricing_context, HistoricalPricingContext):
date_range = risk_pricing_context._HistoricalPricingContext__date_range
start_date = min(date_range)
end_date = max(date_range)
position_dates = priceables_map.keys()
futures = []
while start_date <= end_date:
position_dates_after_start = sorted(
list(
filter(lambda date: start_date < date,
position_dates)))
context_end = min(position_dates_after_start[0], end_date) \
if position_dates_after_start else end_date
if context_end != end_date:
context_end = context_end - dt.timedelta(days=1)
historical_pricing_context = HistoricalPricingContext(
start=start_date,
end=prev_business_date(context_end)
if context_end != end_date else end_date)
with historical_pricing_context:
futures = futures + [
p.calc(risk_measure, fn=fn)
for p in self._get_priceables_from_map(
priceables_map, start_date)
]
start_date = context_end + dt.timedelta(days=1)
with self.__pricing_context:
return PortfolioRiskResult(
copy.deepcopy(self), (risk_measure, ) if isinstance(
risk_measure, RiskMeasure) else risk_measure,
futures)
# If the pricing context exists, calc based on the position set held on the pricing date
elif isinstance(risk_pricing_context, PricingContext):
futures = [
p.calc(risk_measure, fn=fn)
for p in self._get_priceables_from_map(
priceables_map, risk_pricing_context.pricing_date)
]
with self.__pricing_context:
return PortfolioRiskResult(
copy.deepcopy(self), (risk_measure, ) if isinstance(
risk_measure, RiskMeasure) else risk_measure,
futures)
return None