Comments (4)
Cool stuff. I think we can drop the 'Gs' from the GsPositionSet? Definition doesn't have to be GS specific I think. Same for GsBasket.
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some questions / comments on this:
- Agree this should just be Portfolio rather than GsPortfolio
- Equity should use the Stock class in gs_quant. we should also determine how we handle securities (e.g. is the stock position settled?
- What's the third param to the portfolio? Looks like a list of PositionSets, but should this be something more structured? e.g. what if i add two PositionSets for the same date?
- Perhaps we should line up the functions with instruments? e.g. price(), dollar_price(), calculate( ..metric ..)
- Stylistically, should we allow pricing operations on PositionSet and Portfolio? interesting question. At the moment your replication flow implies that I compute historical performance for a fixed set of positions backwards through time. easier for stocks than other instruments which have complex aging
- Not sure the report stuff is entirely intuitive at this stage. let's consult a couple more people
@nick-young-gs please also take a look!
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- I agree with both of you. I'll drop the GS from GsPortfolio and GsPositionSet.
- I was thinking that a Portfolio could only have one PositionSet per date. What would be the use-case for multiple PositionSets on a given date? It seems this would be more-so for managing a "Book" that encompasses multiple Portfolios. Implementing the concept of a Book could allow users to calculate things such as combined overall performance for a set of different Portfolios.
- Pricing derivative positions in a portfolio (multiple dates in the past) is an interesting question that i'll revert to @nick-young-gs. But i'd assume it would be as straightforward as pricing those derivatives as of the positionDate it falls on.
- Calculating historical performance for a spot PositionSet with derivatives backwards through time is very unclear to me. I'll also revert to @nick-young-gs on this.
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- mutliple positionsets per date would be for different position fixings / snaps. e.g. open, close, etc
- can you touch base with @nick-young-gs to close out some of the open questions? thanks
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Related Issues (20)
- IRSwap does not round trip. IRSwap.from_dict(swap.as_dict()) throws type error
- RiskMeasure - how to check for equality : RiskMeasure.from_dict(IRFwdRate.as_dict()) == IRFwdRate returns False HOT 1
- Is there a Documentation for this library i can refer to for its usage HOT 1
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- Add support for pagination or scrolling in `Dataset.get_data` HOT 3
- [BUG] ModuleNotFoundError in Dataset.get_coverage HOT 1
- [BUG] broken link in README HOT 5
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- statsmodels upgrade HOT 3
- Unable to roundtrip Portfolio.to_csv -> Portfolio.from_csv
- [BUG] gs_quant python entity Country not working HOT 2
- [BUG] fields argument in Dataset.get_data makes non-selected columns NaN but all columns still present in DataFrame HOT 1
- [BUG] Dataset date handling is broken with dataclasses-json version 0.6.5 dependency, gives ValueError: Cannot convert 2024-04-29 to date HOT 2
- Code Assist AI to help build custom solutions with GS Quant HOT 2
- WIP: Backtest Module HOT 1
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- [BUG] The variable name for creating instruments is wrong. HOT 1
- [BUG] HOT 2
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