def pnl(portfolio_id: str,
start_date: dt.date = None,
end_date: dt.date = None,
*,
source: str = None,
real_time: bool = False,
request_id: Optional[str] = None) -> pd.Series:
"""
Returns the PnL of a portfolio
:param portfolio_id: id of portfolio
:param start_date: start date for getting pnl
:param end_date: end date for getting pnl
:param source: name of function caller
:param real_time: whether to retrieve intraday data instead of EOD
:param request_id: server request id
:return: portfolio pnl values
"""
reports = GsPortfolioApi.get_reports(portfolio_id)
performance_report_id = ""
for report in reports:
if report.type == ReportType.Portfolio_Performance_Analytics:
performance_report_id = report.id
data = PerformanceReport.get_pnl(performance_report_id, start_date,
end_date)
df = pd.DataFrame.from_records(data)
df.set_index('date', inplace=True)
return _extract_series_from_df(df, QueryType.PNL, True)
def get_reports(self) -> List[Report]:
if self.positioned_entity_type == EntityType.PORTFOLIO:
reports_as_target = GsPortfolioApi.get_reports(portfolio_id=self.id)
report_objects = []
for report in reports_as_target:
if report.type == ReportType.Portfolio_Performance_Analytics:
report_objects.append(PerformanceReport.from_target(report))
elif report.type in [ReportType.Portfolio_Factor_Risk, ReportType.Asset_Factor_Risk]:
report_objects.append(FactorRiskReport.from_target(report))
else:
report_objects.append(Report.from_target(report))
return report_objects
raise NotImplementedError
def get_reports(self) -> List[Report]:
"""
Get a list of all reports associated with the portfolio
:return: list of Report objects
"""
reports = []
reports_as_targets = GsPortfolioApi.get_reports(self.__portfolio_id)
for report_target in reports_as_targets:
if report_target.type in [
ReportType.Portfolio_Factor_Risk,
ReportType.Asset_Factor_Risk
]:
reports.append(FactorRiskReport.from_target(report_target))
if report_target.type == ReportType.Portfolio_Performance_Analytics:
reports.append(PerformanceReport.from_target(report_target))
return reports
