\n",
"\n",
"\n",
" \n",
"
\n",
"
"
],
"text/plain": [
" name quantity otype risk_facts \\\n",
"position \n",
"0_option_pos_38 0_option_pos_38 6 European single [ 1_sv] \n",
"1_option_pos_39 1_option_pos_39 8 American single [ 2_gbm] \n",
"2_option_pos_37 2_option_pos_37 3 European single [ 3_gbm] \n",
"3_option_pos_37 3_option_pos_37 8 American single [ 4_gbm] \n",
"4_option_pos_39 4_option_pos_39 1 European single [ 5_gbm] \n",
"5_option_pos_37 5_option_pos_37 3 American single [ 6_jd] \n",
"6_option_pos_36 6_option_pos_36 9 European single [ 7_jd] \n",
"7_option_pos_39 7_option_pos_39 3 American single [ 8_gbm] \n",
"8_option_pos_36 8_option_pos_36 4 American single [ 9_sv] \n",
"9_option_pos_39 9_option_pos_39 7 American single [ 10_sv] \n",
"10_option_pos_37 10_option_pos_37 9 European single [ 11_jd] \n",
"11_option_pos_38 11_option_pos_38 1 European single [ 12_jd] \n",
"12_option_pos_38 12_option_pos_38 2 American single [ 13_sv] \n",
"13_option_pos_37 13_option_pos_37 9 European single [ 14_jd] \n",
"14_option_pos_36 14_option_pos_36 3 American single [ 15_gbm] \n",
"15_option_pos_37 15_option_pos_37 5 European single [ 16_gbm] \n",
"16_option_pos_38 16_option_pos_38 9 European single [ 17_jd] \n",
"17_option_pos_37 17_option_pos_37 3 European single [ 18_sv] \n",
"18_option_pos_39 18_option_pos_39 6 European single [ 19_gbm] \n",
"19_option_pos_36 19_option_pos_36 8 American single [ 20_jd] \n",
"20_option_pos_39 20_option_pos_39 8 American single [ 21_sv] \n",
"21_option_pos_37 21_option_pos_37 2 American single [ 22_sv] \n",
"22_option_pos_38 22_option_pos_38 8 American single [ 23_jd] \n",
"23_option_pos_39 23_option_pos_39 6 American single [ 24_jd] \n",
"24_option_pos_38 24_option_pos_38 4 European single [ 25_jd] \n",
"25_option_pos_36 25_option_pos_36 1 European single [ 26_gbm] \n",
"26_option_pos_36 26_option_pos_36 4 European single [ 27_jd] \n",
"27_option_pos_38 27_option_pos_38 7 European single [ 28_sv] \n",
"28_option_pos_37 28_option_pos_37 8 European single [ 29_jd] \n",
"29_option_pos_37 29_option_pos_37 5 European single [ 30_gbm] \n",
"... ... ... ... ... \n",
"220_option_pos_38 220_option_pos_38 8 European single [ 21_sv] \n",
"221_option_pos_39 221_option_pos_39 4 American single [ 22_sv] \n",
"222_option_pos_38 222_option_pos_38 4 European single [ 23_jd] \n",
"223_option_pos_37 223_option_pos_37 5 American single [ 24_jd] \n",
"224_option_pos_37 224_option_pos_37 3 American single [ 25_jd] \n",
"225_option_pos_39 225_option_pos_39 2 European single [ 26_gbm] \n",
"226_option_pos_39 226_option_pos_39 5 European single [ 27_jd] \n",
"227_option_pos_37 227_option_pos_37 1 American single [ 28_sv] \n",
"228_option_pos_38 228_option_pos_38 3 European single [ 29_jd] \n",
"229_option_pos_38 229_option_pos_38 6 European single [ 30_gbm] \n",
"230_option_pos_36 230_option_pos_36 7 American single [ 31_sv] \n",
"231_option_pos_38 231_option_pos_38 1 European single [ 32_jd] \n",
"232_option_pos_39 232_option_pos_39 1 American single [ 33_sv] \n",
"233_option_pos_37 233_option_pos_37 9 American single [ 34_jd] \n",
"234_option_pos_37 234_option_pos_37 6 American single [ 35_jd] \n",
"235_option_pos_37 235_option_pos_37 4 American single [ 36_gbm] \n",
"236_option_pos_39 236_option_pos_39 4 European single [ 37_jd] \n",
"237_option_pos_37 237_option_pos_37 9 American single [ 38_gbm] \n",
"238_option_pos_38 238_option_pos_38 7 American single [ 39_sv] \n",
"239_option_pos_39 239_option_pos_39 6 European single [ 40_jd] \n",
"240_option_pos_36 240_option_pos_36 2 American single [ 41_jd] \n",
"241_option_pos_36 241_option_pos_36 7 European single [ 42_sv] \n",
"242_option_pos_38 242_option_pos_38 1 American single [ 43_jd] \n",
"243_option_pos_38 243_option_pos_38 5 American single [ 44_jd] \n",
"244_option_pos_37 244_option_pos_37 7 European single [ 45_sv] \n",
"245_option_pos_36 245_option_pos_36 5 European single [ 46_gbm] \n",
"246_option_pos_37 246_option_pos_37 4 European single [ 47_sv] \n",
"247_option_pos_39 247_option_pos_39 3 American single [ 48_sv] \n",
"248_option_pos_36 248_option_pos_36 6 European single [ 49_gbm] \n",
"249_option_pos_36 249_option_pos_36 5 American single [ 50_gbm] \n",
"\n",
" value currency pos_value pos_delta pos_vega \n",
"position \n",
"0_option_pos_38 7.263 EUR 43.578 3.6036 22.7046 \n",
"1_option_pos_39 5.398 EUR 43.184 -3.9168 124.5688 \n",
"2_option_pos_37 3.306 EUR 9.918 1.9935 42.8949 \n",
"3_option_pos_37 9.097 EUR 72.776 -8.0000 5.3336 \n",
"4_option_pos_39 17.664 EUR 17.664 0.7531 13.4445 \n",
"5_option_pos_37 13.354 EUR 40.062 -3.0000 21.9111 \n",
"6_option_pos_36 17.651 EUR 158.859 7.9128 41.3010 \n",
"7_option_pos_39 9.538 EUR 28.614 -2.9169 -4.6260 \n",
"8_option_pos_36 2.584 EUR 10.336 -0.5512 5.1040 \n",
"9_option_pos_39 9.945 EUR 69.615 -3.2571 -1.2845 \n",
"10_option_pos_37 13.708 EUR 123.372 7.4493 70.9308 \n",
"11_option_pos_38 1.247 EUR 1.247 0.2810 8.4409 \n",
"12_option_pos_38 12.707 EUR 25.414 -1.5630 -11.0008 \n",
"13_option_pos_37 21.096 EUR 189.864 7.2999 71.2782 \n",
"14_option_pos_36 7.734 EUR 23.202 -1.1520 41.3682 \n",
"15_option_pos_37 1.636 EUR 8.180 1.5570 51.8430 \n",
"16_option_pos_38 9.175 EUR 82.575 5.5710 125.4699 \n",
"17_option_pos_37 14.931 EUR 44.793 2.3937 2.6664 \n",
"18_option_pos_39 15.695 EUR 94.170 4.2756 87.2814 \n",
"19_option_pos_36 12.461 EUR 99.688 -8.0000 -12.2504 \n",
"20_option_pos_39 5.136 EUR 41.088 -2.0192 61.7368 \n",
"21_option_pos_37 6.541 EUR 13.082 -0.9288 2.7770 \n",
"22_option_pos_38 1.238 EUR 9.904 -0.3840 62.1928 \n",
"23_option_pos_39 17.719 EUR 106.314 -4.3524 58.4406 \n",
"24_option_pos_38 11.286 EUR 45.144 3.2148 22.3364 \n",
"25_option_pos_36 25.986 EUR 25.986 0.8555 11.0891 \n",
"26_option_pos_36 7.186 EUR 28.744 3.0756 17.4980 \n",
"27_option_pos_38 0.907 EUR 6.349 1.5309 13.2580 \n",
"28_option_pos_37 25.429 EUR 203.432 6.8888 103.1016 \n",
"29_option_pos_37 12.805 EUR 64.025 3.4515 70.5780 \n",
"... ... ... ... ... ... \n",
"220_option_pos_38 15.606 EUR 124.848 6.3080 27.5824 \n",
"221_option_pos_39 7.654 EUR 30.616 -1.6732 18.2884 \n",
"222_option_pos_38 23.064 EUR 92.256 3.5816 10.1348 \n",
"223_option_pos_37 15.969 EUR 79.845 -3.1480 55.6190 \n",
"224_option_pos_37 2.427 EUR 7.281 -0.4377 23.4090 \n",
"225_option_pos_39 23.994 EUR 47.988 1.6648 25.6842 \n",
"226_option_pos_39 5.369 EUR 26.845 3.5640 32.4455 \n",
"227_option_pos_37 16.571 EUR 16.571 -0.8666 -8.6498 \n",
"228_option_pos_38 24.760 EUR 74.280 2.5620 40.4946 \n",
"229_option_pos_38 12.399 EUR 74.394 4.0752 86.0244 \n",
"230_option_pos_36 13.602 EUR 95.214 -5.3767 26.1534 \n",
"231_option_pos_38 9.795 EUR 9.795 0.7411 7.7550 \n",
"232_option_pos_39 8.961 EUR 8.961 -0.3033 10.3389 \n",
"233_option_pos_37 6.886 EUR 61.974 -2.0682 132.4161 \n",
"234_option_pos_37 2.778 EUR 16.668 -0.6306 65.8488 \n",
"235_option_pos_37 0.813 EUR 3.252 -0.2988 32.4640 \n",
"236_option_pos_39 0.273 EUR 1.092 0.8576 30.1120 \n",
"237_option_pos_37 15.832 EUR 142.488 -8.5698 22.3146 \n",
"238_option_pos_38 9.088 EUR 63.616 -3.9452 -3.6386 \n",
"239_option_pos_39 14.955 EUR 89.730 4.1862 72.1008 \n",
"240_option_pos_36 5.380 EUR 10.760 -0.8410 16.4666 \n",
"241_option_pos_36 6.254 EUR 43.778 4.3939 5.6280 \n",
"242_option_pos_38 8.108 EUR 8.108 -0.2186 16.6002 \n",
"243_option_pos_38 4.440 EUR 22.200 -1.0505 70.7775 \n",
"244_option_pos_37 12.133 EUR 84.931 5.1870 22.6198 \n",
"245_option_pos_36 22.709 EUR 113.545 4.7900 -2.6650 \n",
"246_option_pos_37 2.635 EUR 10.540 1.5900 3.7216 \n",
"247_option_pos_39 11.420 EUR 34.260 -1.4394 6.6159 \n",
"248_option_pos_36 0.246 EUR 1.476 0.6678 32.0346 \n",
"249_option_pos_36 4.128 EUR 20.640 -1.6095 67.1685 \n",
"\n",
"[250 rows x 9 columns]"
]
},
"execution_count": 20,
"metadata": {},
"output_type": "execute_result"
}
],
"source": [
"res.set_index('position', inplace=False)"
]
},
{
"cell_type": "markdown",
"metadata": {},
"source": [
"## Risk Analysis"
]
},
{
"cell_type": "markdown",
"metadata": {},
"source": [
"**Full distribution of portfolio present values** illustrated via histogram."
]
},
{
"cell_type": "code",
"execution_count": 21,
"metadata": {},
"outputs": [
{
"name": "stdout",
"output_type": "stream",
"text": [
"CPU times: user 4.61 s, sys: 456 ms, total: 5.07 s\n",
"Wall time: 3.52 s\n"
]
}
],
"source": [
"%time pvs = port.get_present_values()"
]
},
{
"cell_type": "code",
"execution_count": 22,
"metadata": {},
"outputs": [
{
"data": {
"text/plain": [
"| \n", " | name | \n", "quantity | \n", "otype | \n", "risk_facts | \n", "value | \n", "currency | \n", "pos_value | \n", "pos_delta | \n", "pos_vega | \n", "
|---|---|---|---|---|---|---|---|---|---|
| position | \n", "\n", " | \n", " | \n", " | \n", " | \n", " | \n", " | \n", " | \n", " | \n", " |
| 0_option_pos_38 | \n", "0_option_pos_38 | \n", "6 | \n", "European single | \n", "[ 1_sv] | \n", "7.263 | \n", "EUR | \n", "43.578 | \n", "3.6036 | \n", "22.7046 | \n", "
| 1_option_pos_39 | \n", "1_option_pos_39 | \n", "8 | \n", "American single | \n", "[ 2_gbm] | \n", "5.398 | \n", "EUR | \n", "43.184 | \n", "-3.9168 | \n", "124.5688 | \n", "
| 2_option_pos_37 | \n", "2_option_pos_37 | \n", "3 | \n", "European single | \n", "[ 3_gbm] | \n", "3.306 | \n", "EUR | \n", "9.918 | \n", "1.9935 | \n", "42.8949 | \n", "
| 3_option_pos_37 | \n", "3_option_pos_37 | \n", "8 | \n", "American single | \n", "[ 4_gbm] | \n", "9.097 | \n", "EUR | \n", "72.776 | \n", "-8.0000 | \n", "5.3336 | \n", "
| 4_option_pos_39 | \n", "4_option_pos_39 | \n", "1 | \n", "European single | \n", "[ 5_gbm] | \n", "17.664 | \n", "EUR | \n", "17.664 | \n", "0.7531 | \n", "13.4445 | \n", "
| 5_option_pos_37 | \n", "5_option_pos_37 | \n", "3 | \n", "American single | \n", "[ 6_jd] | \n", "13.354 | \n", "EUR | \n", "40.062 | \n", "-3.0000 | \n", "21.9111 | \n", "
| 6_option_pos_36 | \n", "6_option_pos_36 | \n", "9 | \n", "European single | \n", "[ 7_jd] | \n", "17.651 | \n", "EUR | \n", "158.859 | \n", "7.9128 | \n", "41.3010 | \n", "
| 7_option_pos_39 | \n", "7_option_pos_39 | \n", "3 | \n", "American single | \n", "[ 8_gbm] | \n", "9.538 | \n", "EUR | \n", "28.614 | \n", "-2.9169 | \n", "-4.6260 | \n", "
| 8_option_pos_36 | \n", "8_option_pos_36 | \n", "4 | \n", "American single | \n", "[ 9_sv] | \n", "2.584 | \n", "EUR | \n", "10.336 | \n", "-0.5512 | \n", "5.1040 | \n", "
| 9_option_pos_39 | \n", "9_option_pos_39 | \n", "7 | \n", "American single | \n", "[ 10_sv] | \n", "9.945 | \n", "EUR | \n", "69.615 | \n", "-3.2571 | \n", "-1.2845 | \n", "
| 10_option_pos_37 | \n", "10_option_pos_37 | \n", "9 | \n", "European single | \n", "[ 11_jd] | \n", "13.708 | \n", "EUR | \n", "123.372 | \n", "7.4493 | \n", "70.9308 | \n", "
| 11_option_pos_38 | \n", "11_option_pos_38 | \n", "1 | \n", "European single | \n", "[ 12_jd] | \n", "1.247 | \n", "EUR | \n", "1.247 | \n", "0.2810 | \n", "8.4409 | \n", "
| 12_option_pos_38 | \n", "12_option_pos_38 | \n", "2 | \n", "American single | \n", "[ 13_sv] | \n", "12.707 | \n", "EUR | \n", "25.414 | \n", "-1.5630 | \n", "-11.0008 | \n", "
| 13_option_pos_37 | \n", "13_option_pos_37 | \n", "9 | \n", "European single | \n", "[ 14_jd] | \n", "21.096 | \n", "EUR | \n", "189.864 | \n", "7.2999 | \n", "71.2782 | \n", "
| 14_option_pos_36 | \n", "14_option_pos_36 | \n", "3 | \n", "American single | \n", "[ 15_gbm] | \n", "7.734 | \n", "EUR | \n", "23.202 | \n", "-1.1520 | \n", "41.3682 | \n", "
| 15_option_pos_37 | \n", "15_option_pos_37 | \n", "5 | \n", "European single | \n", "[ 16_gbm] | \n", "1.636 | \n", "EUR | \n", "8.180 | \n", "1.5570 | \n", "51.8430 | \n", "
| 16_option_pos_38 | \n", "16_option_pos_38 | \n", "9 | \n", "European single | \n", "[ 17_jd] | \n", "9.175 | \n", "EUR | \n", "82.575 | \n", "5.5710 | \n", "125.4699 | \n", "
| 17_option_pos_37 | \n", "17_option_pos_37 | \n", "3 | \n", "European single | \n", "[ 18_sv] | \n", "14.931 | \n", "EUR | \n", "44.793 | \n", "2.3937 | \n", "2.6664 | \n", "
| 18_option_pos_39 | \n", "18_option_pos_39 | \n", "6 | \n", "European single | \n", "[ 19_gbm] | \n", "15.695 | \n", "EUR | \n", "94.170 | \n", "4.2756 | \n", "87.2814 | \n", "
| 19_option_pos_36 | \n", "19_option_pos_36 | \n", "8 | \n", "American single | \n", "[ 20_jd] | \n", "12.461 | \n", "EUR | \n", "99.688 | \n", "-8.0000 | \n", "-12.2504 | \n", "
| 20_option_pos_39 | \n", "20_option_pos_39 | \n", "8 | \n", "American single | \n", "[ 21_sv] | \n", "5.136 | \n", "EUR | \n", "41.088 | \n", "-2.0192 | \n", "61.7368 | \n", "
| 21_option_pos_37 | \n", "21_option_pos_37 | \n", "2 | \n", "American single | \n", "[ 22_sv] | \n", "6.541 | \n", "EUR | \n", "13.082 | \n", "-0.9288 | \n", "2.7770 | \n", "
| 22_option_pos_38 | \n", "22_option_pos_38 | \n", "8 | \n", "American single | \n", "[ 23_jd] | \n", "1.238 | \n", "EUR | \n", "9.904 | \n", "-0.3840 | \n", "62.1928 | \n", "
| 23_option_pos_39 | \n", "23_option_pos_39 | \n", "6 | \n", "American single | \n", "[ 24_jd] | \n", "17.719 | \n", "EUR | \n", "106.314 | \n", "-4.3524 | \n", "58.4406 | \n", "
| 24_option_pos_38 | \n", "24_option_pos_38 | \n", "4 | \n", "European single | \n", "[ 25_jd] | \n", "11.286 | \n", "EUR | \n", "45.144 | \n", "3.2148 | \n", "22.3364 | \n", "
| 25_option_pos_36 | \n", "25_option_pos_36 | \n", "1 | \n", "European single | \n", "[ 26_gbm] | \n", "25.986 | \n", "EUR | \n", "25.986 | \n", "0.8555 | \n", "11.0891 | \n", "
| 26_option_pos_36 | \n", "26_option_pos_36 | \n", "4 | \n", "European single | \n", "[ 27_jd] | \n", "7.186 | \n", "EUR | \n", "28.744 | \n", "3.0756 | \n", "17.4980 | \n", "
| 27_option_pos_38 | \n", "27_option_pos_38 | \n", "7 | \n", "European single | \n", "[ 28_sv] | \n", "0.907 | \n", "EUR | \n", "6.349 | \n", "1.5309 | \n", "13.2580 | \n", "
| 28_option_pos_37 | \n", "28_option_pos_37 | \n", "8 | \n", "European single | \n", "[ 29_jd] | \n", "25.429 | \n", "EUR | \n", "203.432 | \n", "6.8888 | \n", "103.1016 | \n", "
| 29_option_pos_37 | \n", "29_option_pos_37 | \n", "5 | \n", "European single | \n", "[ 30_gbm] | \n", "12.805 | \n", "EUR | \n", "64.025 | \n", "3.4515 | \n", "70.5780 | \n", "
| ... | \n", "... | \n", "... | \n", "... | \n", "... | \n", "... | \n", "... | \n", "... | \n", "... | \n", "... | \n", "
| 220_option_pos_38 | \n", "220_option_pos_38 | \n", "8 | \n", "European single | \n", "[ 21_sv] | \n", "15.606 | \n", "EUR | \n", "124.848 | \n", "6.3080 | \n", "27.5824 | \n", "
| 221_option_pos_39 | \n", "221_option_pos_39 | \n", "4 | \n", "American single | \n", "[ 22_sv] | \n", "7.654 | \n", "EUR | \n", "30.616 | \n", "-1.6732 | \n", "18.2884 | \n", "
| 222_option_pos_38 | \n", "222_option_pos_38 | \n", "4 | \n", "European single | \n", "[ 23_jd] | \n", "23.064 | \n", "EUR | \n", "92.256 | \n", "3.5816 | \n", "10.1348 | \n", "
| 223_option_pos_37 | \n", "223_option_pos_37 | \n", "5 | \n", "American single | \n", "[ 24_jd] | \n", "15.969 | \n", "EUR | \n", "79.845 | \n", "-3.1480 | \n", "55.6190 | \n", "
| 224_option_pos_37 | \n", "224_option_pos_37 | \n", "3 | \n", "American single | \n", "[ 25_jd] | \n", "2.427 | \n", "EUR | \n", "7.281 | \n", "-0.4377 | \n", "23.4090 | \n", "
| 225_option_pos_39 | \n", "225_option_pos_39 | \n", "2 | \n", "European single | \n", "[ 26_gbm] | \n", "23.994 | \n", "EUR | \n", "47.988 | \n", "1.6648 | \n", "25.6842 | \n", "
| 226_option_pos_39 | \n", "226_option_pos_39 | \n", "5 | \n", "European single | \n", "[ 27_jd] | \n", "5.369 | \n", "EUR | \n", "26.845 | \n", "3.5640 | \n", "32.4455 | \n", "
| 227_option_pos_37 | \n", "227_option_pos_37 | \n", "1 | \n", "American single | \n", "[ 28_sv] | \n", "16.571 | \n", "EUR | \n", "16.571 | \n", "-0.8666 | \n", "-8.6498 | \n", "
| 228_option_pos_38 | \n", "228_option_pos_38 | \n", "3 | \n", "European single | \n", "[ 29_jd] | \n", "24.760 | \n", "EUR | \n", "74.280 | \n", "2.5620 | \n", "40.4946 | \n", "
| 229_option_pos_38 | \n", "229_option_pos_38 | \n", "6 | \n", "European single | \n", "[ 30_gbm] | \n", "12.399 | \n", "EUR | \n", "74.394 | \n", "4.0752 | \n", "86.0244 | \n", "
| 230_option_pos_36 | \n", "230_option_pos_36 | \n", "7 | \n", "American single | \n", "[ 31_sv] | \n", "13.602 | \n", "EUR | \n", "95.214 | \n", "-5.3767 | \n", "26.1534 | \n", "
| 231_option_pos_38 | \n", "231_option_pos_38 | \n", "1 | \n", "European single | \n", "[ 32_jd] | \n", "9.795 | \n", "EUR | \n", "9.795 | \n", "0.7411 | \n", "7.7550 | \n", "
| 232_option_pos_39 | \n", "232_option_pos_39 | \n", "1 | \n", "American single | \n", "[ 33_sv] | \n", "8.961 | \n", "EUR | \n", "8.961 | \n", "-0.3033 | \n", "10.3389 | \n", "
| 233_option_pos_37 | \n", "233_option_pos_37 | \n", "9 | \n", "American single | \n", "[ 34_jd] | \n", "6.886 | \n", "EUR | \n", "61.974 | \n", "-2.0682 | \n", "132.4161 | \n", "
| 234_option_pos_37 | \n", "234_option_pos_37 | \n", "6 | \n", "American single | \n", "[ 35_jd] | \n", "2.778 | \n", "EUR | \n", "16.668 | \n", "-0.6306 | \n", "65.8488 | \n", "
| 235_option_pos_37 | \n", "235_option_pos_37 | \n", "4 | \n", "American single | \n", "[ 36_gbm] | \n", "0.813 | \n", "EUR | \n", "3.252 | \n", "-0.2988 | \n", "32.4640 | \n", "
| 236_option_pos_39 | \n", "236_option_pos_39 | \n", "4 | \n", "European single | \n", "[ 37_jd] | \n", "0.273 | \n", "EUR | \n", "1.092 | \n", "0.8576 | \n", "30.1120 | \n", "
| 237_option_pos_37 | \n", "237_option_pos_37 | \n", "9 | \n", "American single | \n", "[ 38_gbm] | \n", "15.832 | \n", "EUR | \n", "142.488 | \n", "-8.5698 | \n", "22.3146 | \n", "
| 238_option_pos_38 | \n", "238_option_pos_38 | \n", "7 | \n", "American single | \n", "[ 39_sv] | \n", "9.088 | \n", "EUR | \n", "63.616 | \n", "-3.9452 | \n", "-3.6386 | \n", "
| 239_option_pos_39 | \n", "239_option_pos_39 | \n", "6 | \n", "European single | \n", "[ 40_jd] | \n", "14.955 | \n", "EUR | \n", "89.730 | \n", "4.1862 | \n", "72.1008 | \n", "
| 240_option_pos_36 | \n", "240_option_pos_36 | \n", "2 | \n", "American single | \n", "[ 41_jd] | \n", "5.380 | \n", "EUR | \n", "10.760 | \n", "-0.8410 | \n", "16.4666 | \n", "
| 241_option_pos_36 | \n", "241_option_pos_36 | \n", "7 | \n", "European single | \n", "[ 42_sv] | \n", "6.254 | \n", "EUR | \n", "43.778 | \n", "4.3939 | \n", "5.6280 | \n", "
| 242_option_pos_38 | \n", "242_option_pos_38 | \n", "1 | \n", "American single | \n", "[ 43_jd] | \n", "8.108 | \n", "EUR | \n", "8.108 | \n", "-0.2186 | \n", "16.6002 | \n", "
| 243_option_pos_38 | \n", "243_option_pos_38 | \n", "5 | \n", "American single | \n", "[ 44_jd] | \n", "4.440 | \n", "EUR | \n", "22.200 | \n", "-1.0505 | \n", "70.7775 | \n", "
| 244_option_pos_37 | \n", "244_option_pos_37 | \n", "7 | \n", "European single | \n", "[ 45_sv] | \n", "12.133 | \n", "EUR | \n", "84.931 | \n", "5.1870 | \n", "22.6198 | \n", "
| 245_option_pos_36 | \n", "245_option_pos_36 | \n", "5 | \n", "European single | \n", "[ 46_gbm] | \n", "22.709 | \n", "EUR | \n", "113.545 | \n", "4.7900 | \n", "-2.6650 | \n", "
| 246_option_pos_37 | \n", "246_option_pos_37 | \n", "4 | \n", "European single | \n", "[ 47_sv] | \n", "2.635 | \n", "EUR | \n", "10.540 | \n", "1.5900 | \n", "3.7216 | \n", "
| 247_option_pos_39 | \n", "247_option_pos_39 | \n", "3 | \n", "American single | \n", "[ 48_sv] | \n", "11.420 | \n", "EUR | \n", "34.260 | \n", "-1.4394 | \n", "6.6159 | \n", "
| 248_option_pos_36 | \n", "248_option_pos_36 | \n", "6 | \n", "European single | \n", "[ 49_gbm] | \n", "0.246 | \n", "EUR | \n", "1.476 | \n", "0.6678 | \n", "32.0346 | \n", "
| 249_option_pos_36 | \n", "249_option_pos_36 | \n", "5 | \n", "American single | \n", "[ 50_gbm] | \n", "4.128 | \n", "EUR | \n", "20.640 | \n", "-1.6095 | \n", "67.1685 | \n", "
250 rows × 9 columns
\n", "\n",
"\n",
"\n",
" \n",
"
\n",
"
"
],
"text/plain": [
" 0\n",
"count 1000.000000\n",
"mean 10385.491824\n",
"std 1891.255451\n",
"min 6045.025829\n",
"25% 9059.919260\n",
"50% 10189.486685\n",
"75% 11436.385373\n",
"max 20446.938649"
]
},
"execution_count": 23,
"metadata": {},
"output_type": "execute_result"
}
],
"source": [
"pdf = pd.DataFrame(pvs)\n",
"pdf.describe()"
]
},
{
"cell_type": "markdown",
"metadata": {},
"source": [
"The **delta** risk report."
]
},
{
"cell_type": "code",
"execution_count": 24,
"metadata": {},
"outputs": [
{
"name": "stdout",
"output_type": "stream",
"text": [
"\n",
" 1_sv\n",
"0.8\n",
"1.0\n",
"1.2\n",
"\n",
" 2_gbm\n",
"0.8\n",
"1.0\n",
"1.2\n",
"\n",
" 3_gbm\n",
"0.8\n",
"1.0\n",
"1.2\n",
"\n",
" 4_gbm\n",
"0.8\n",
"1.0\n",
"1.2\n",
"\n",
"\n",
"\n",
"\n",
" 1_sv_Delta\n",
"major minor \n",
"0.8 factor 28.73\n",
" value 10318.88\n",
"1.0 factor 35.91\n",
" value 10385.48\n",
"1.2 factor 43.09\n",
" value 10490.80\n",
"Name: 1_sv_Delta, dtype: float64\n",
"\n",
" 2_gbm_Delta\n",
"major minor \n",
"0.8 factor 30.36\n",
" value 10410.14\n",
"1.0 factor 37.95\n",
" value 10385.48\n",
"1.2 factor 45.54\n",
" value 10391.22\n",
"Name: 2_gbm_Delta, dtype: float64\n",
"\n",
" 3_gbm_Delta\n",
"major minor \n",
"0.8 factor 30.04\n",
" value 10440.04\n",
"1.0 factor 37.55\n",
" value 10385.48\n",
"1.2 factor 45.06\n",
" value 10421.06\n",
"Name: 3_gbm_Delta, dtype: float64\n",
"\n",
" 4_gbm_Delta\n",
"major minor \n",
"0.8 factor 22.29\n",
" value 10429.74\n",
"1.0 factor 27.87\n",
" value 10385.48\n",
"1.2 factor 33.44\n",
" value 10351.02\n",
"Name: 4_gbm_Delta, dtype: float64\n",
"CPU times: user 5.2 s, sys: 502 ms, total: 5.71 s\n",
"Wall time: 4 s\n"
]
}
],
"source": [
"%%time\n",
"deltas, benchmark = port.get_port_risk(Greek='Delta', fixed_seed=True, step=0.2,\n",
" risk_factors=list(risk_factors.keys())[:4])\n",
"risk_report(deltas)"
]
},
{
"cell_type": "markdown",
"metadata": {},
"source": [
"The **vega** risk report."
]
},
{
"cell_type": "code",
"execution_count": 25,
"metadata": {},
"outputs": [
{
"name": "stdout",
"output_type": "stream",
"text": [
"\n",
" 1_sv\n",
"0.8\n",
"1.0\n",
"1.2\n",
"\n",
" 2_gbm\n",
"0.8\n",
"1.0\n",
"1.2\n",
"\n",
" 3_gbm\n",
"0.8\n",
"1.0\n",
"1.2\n",
"\n",
"\n",
"\n",
"\n",
" 1_sv_Vega\n",
"major minor \n",
"0.8 factor 0.42\n",
" value 10377.30\n",
"1.0 factor 0.52\n",
" value 10384.95\n",
"1.2 factor 0.62\n",
" value 10402.19\n",
"Name: 1_sv_Vega, dtype: float64\n",
"\n",
" 2_gbm_Vega\n",
"major minor \n",
"0.8 factor 0.27\n",
" value 10365.33\n",
"1.0 factor 0.34\n",
" value 10384.95\n",
"1.2 factor 0.41\n",
" value 10404.53\n",
"Name: 2_gbm_Vega, dtype: float64\n",
"\n",
" 3_gbm_Vega\n",
"major minor \n",
"0.8 factor 0.12\n",
" value 10374.04\n",
"1.0 factor 0.14\n",
" value 10384.95\n",
"1.2 factor 0.17\n",
" value 10395.83\n",
"Name: 3_gbm_Vega, dtype: float64\n",
"CPU times: user 5.05 s, sys: 481 ms, total: 5.53 s\n",
"Wall time: 3.89 s\n"
]
}
],
"source": [
"%%time\n",
"vegas, benchmark = port.get_port_risk(Greek='Vega', fixed_seed=True, step=0.2,\n",
" risk_factors=list(risk_factors.keys())[:3])\n",
"risk_report(vegas)"
]
},
{
"cell_type": "markdown",
"metadata": {},
"source": [
"## Visualization of Results"
]
},
{
"cell_type": "markdown",
"metadata": {},
"source": [
"Selected **results visualized**."
]
},
{
"cell_type": "code",
"execution_count": 26,
"metadata": {},
"outputs": [
{
"data": {
"text/plain": [
"| \n", " | 0 | \n", "
|---|---|
| count | \n", "1000.000000 | \n", "
| mean | \n", "10385.491824 | \n", "
| std | \n", "1891.255451 | \n", "
| min | \n", "6045.025829 | \n", "
| 25% | \n", "9059.919260 | \n", "
| 50% | \n", "10189.486685 | \n", "
| 75% | \n", "11436.385373 | \n", "
| max | \n", "20446.938649 | \n", "
![\"The](\"http://hilpisch.com/tpq_logo.png\"){kind=logo}
\n", "\n", "**Quant Platform** | http://pqp.io\n", "\n", "**Python for Finance Training** | http://training.tpq.io\n", "\n", "**Certificate in Computational Finance** | http://compfinance.tpq.io\n", "\n", "**Derivatives Analytics with Python (Wiley Finance)** |\n", "http://dawp.tpq.io\n", "\n", "**Python for Finance (2nd ed., O'Reilly)** |\n", "http://py4fi.tpq.io" ] } ], "metadata": { "anaconda-cloud": {}, "kernelspec": { "display_name": "Python 3", "language": "python", "name": "python3" }, "language_info": { "codemirror_mode": { "name": "ipython", "version": 3 }, "file_extension": ".py", "mimetype": "text/x-python", "name": "python", "nbconvert_exporter": "python", "pygments_lexer": "ipython3", "version": "3.6.8" } }, "nbformat": 4, "nbformat_minor": 1 }