quantark 0.1.0__py3-none-any.whl
This diff represents the content of publicly available package versions that have been released to one of the supported registries. The information contained in this diff is provided for informational purposes only and reflects changes between package versions as they appear in their respective public registries.
- quantark/__init__.py +3 -0
- quantark/_compat.py +150 -0
- quantark/asset/__init__.py +8 -0
- quantark/asset/bond/__init__.py +2 -0
- quantark/asset/bond/engine/__init__.py +44 -0
- quantark/asset/bond/engine/analytical/__init__.py +12 -0
- quantark/asset/bond/engine/analytical/black_engine.py +583 -0
- quantark/asset/bond/engine/analytical/bond_forward_engine.py +390 -0
- quantark/asset/bond/engine/analytical/bond_futures_engine.py +569 -0
- quantark/asset/bond/engine/convertible/__init__.py +12 -0
- quantark/asset/bond/engine/convertible/convertible_bond_engine.py +800 -0
- quantark/asset/bond/engine/discount/__init__.py +10 -0
- quantark/asset/bond/engine/discount/bond_discount_engine.py +517 -0
- quantark/asset/bond/engine/discount/frn_engine.py +913 -0
- quantark/asset/bond/engine/pde/__init__.py +14 -0
- quantark/asset/bond/engine/pde/convertible/__init__.py +21 -0
- quantark/asset/bond/engine/pde/convertible/jump_diffusion_engine.py +603 -0
- quantark/asset/bond/engine/pde/convertible/pde_params.py +59 -0
- quantark/asset/bond/engine/pde/convertible/tf_engine.py +546 -0
- quantark/asset/bond/engine/tree/__init__.py +14 -0
- quantark/asset/bond/engine/tree/convertible/__init__.py +21 -0
- quantark/asset/bond/engine/tree/convertible/binomial_engine.py +488 -0
- quantark/asset/bond/engine/tree/convertible/tree_params.py +72 -0
- quantark/asset/bond/engine/tree/convertible/trinomial_engine.py +1341 -0
- quantark/asset/bond/product/__init__.py +37 -0
- quantark/asset/bond/product/base_bond_product.py +114 -0
- quantark/asset/bond/product/convertible/__init__.py +16 -0
- quantark/asset/bond/product/convertible/convertible_bond.py +595 -0
- quantark/asset/bond/product/couponbond/__init__.py +12 -0
- quantark/asset/bond/product/couponbond/fixed_bond.py +285 -0
- quantark/asset/bond/product/couponbond/frn.py +538 -0
- quantark/asset/bond/product/forward/__init__.py +9 -0
- quantark/asset/bond/product/forward/base_bond_forward.py +92 -0
- quantark/asset/bond/product/forward/bond_forward.py +335 -0
- quantark/asset/bond/product/futures/__init__.py +8 -0
- quantark/asset/bond/product/futures/bond_futures.py +532 -0
- quantark/asset/bond/product/option/__init__.py +9 -0
- quantark/asset/bond/product/option/euro_short_term_bond_option.py +231 -0
- quantark/asset/bond/riskmeasures/__init__.py +13 -0
- quantark/asset/bond/riskmeasures/bond_greeks_calculator.py +484 -0
- quantark/asset/bond/schedule/__init__.py +21 -0
- quantark/asset/bond/schedule/cashflow.py +595 -0
- quantark/asset/equity/__init__.py +11 -0
- quantark/asset/equity/analysis/__init__.py +4 -0
- quantark/asset/equity/analysis/autocallable_path_analyzer.py +257 -0
- quantark/asset/equity/engine/__init__.py +84 -0
- quantark/asset/equity/engine/analytical/__init__.py +37 -0
- quantark/asset/equity/engine/analytical/american_option_engine.py +682 -0
- quantark/asset/equity/engine/analytical/asian_option_analytical_engine.py +1102 -0
- quantark/asset/equity/engine/analytical/barrier_analytical_engine.py +455 -0
- quantark/asset/equity/engine/analytical/black_scholes_engine.py +322 -0
- quantark/asset/equity/engine/analytical/deltaone_engine.py +340 -0
- quantark/asset/equity/engine/analytical/digital_option_engine.py +168 -0
- quantark/asset/equity/engine/analytical/double_barrier_option_engine.py +481 -0
- quantark/asset/equity/engine/analytical/double_sharkfin_option_analytical_engine.py +508 -0
- quantark/asset/equity/engine/analytical/one_touch_analytical_engine.py +302 -0
- quantark/asset/equity/engine/analytical/range_accrual_analytical_engine.py +396 -0
- quantark/asset/equity/engine/analytical/single_sharkfin_option_analytical_engine.py +229 -0
- quantark/asset/equity/engine/base_engine.py +137 -0
- quantark/asset/equity/engine/event_stats.py +85 -0
- quantark/asset/equity/engine/mc/__init__.py +31 -0
- quantark/asset/equity/engine/mc/american_option_mc_engine.py +485 -0
- quantark/asset/equity/engine/mc/asian_option_mc_engine.py +678 -0
- quantark/asset/equity/engine/mc/barrier_option_mc_engine.py +726 -0
- quantark/asset/equity/engine/mc/digital_option_mc_engine.py +419 -0
- quantark/asset/equity/engine/mc/double_sharkfin_option_mc_engine.py +676 -0
- quantark/asset/equity/engine/mc/euro_mc_engine.py +423 -0
- quantark/asset/equity/engine/mc/phoenix_mc_engine.py +1206 -0
- quantark/asset/equity/engine/mc/range_accrual_mc_engine.py +738 -0
- quantark/asset/equity/engine/mc/single_sharkfin_option_mc_engine.py +549 -0
- quantark/asset/equity/engine/mc/snowball_mc_engine.py +2250 -0
- quantark/asset/equity/engine/pde/__init__.py +36 -0
- quantark/asset/equity/engine/pde/american_pde_solver.py +211 -0
- quantark/asset/equity/engine/pde/barrier_pde_solver.py +692 -0
- quantark/asset/equity/engine/pde/base_pde_solver.py +994 -0
- quantark/asset/equity/engine/pde/double_barrier_pde_solver.py +510 -0
- quantark/asset/equity/engine/pde/double_one_touch_pde_solver.py +435 -0
- quantark/asset/equity/engine/pde/european_pde_solver.py +170 -0
- quantark/asset/equity/engine/pde/ko_reset_snowball_pde_solver.py +477 -0
- quantark/asset/equity/engine/pde/one_touch_pde_solver.py +439 -0
- quantark/asset/equity/engine/pde/phoenix_pde_solver.py +613 -0
- quantark/asset/equity/engine/pde/snowball_pde_solver.py +1810 -0
- quantark/asset/equity/engine/pde/spatial_grid.py +750 -0
- quantark/asset/equity/engine/pde/time_grid.py +308 -0
- quantark/asset/equity/engine/pde_engine.py +238 -0
- quantark/asset/equity/engine/quad/__init__.py +23 -0
- quantark/asset/equity/engine/quad/discrete_quad_engine.py +106 -0
- quantark/asset/equity/engine/quad/european_quad_engine.py +325 -0
- quantark/asset/equity/engine/quad/ko_reset_snowball_quad_engine.py +362 -0
- quantark/asset/equity/engine/quad/phoenix_quad_engine.py +614 -0
- quantark/asset/equity/engine/quad/quad_adapters.py +1260 -0
- quantark/asset/equity/engine/quad/quad_core.py +513 -0
- quantark/asset/equity/engine/quad/quad_math.py +219 -0
- quantark/asset/equity/engine/quad/snowball_quad_engine.py +1137 -0
- quantark/asset/equity/engine/validation/script/benchmark_check_american_analytical.py +117 -0
- quantark/asset/equity/engine/validation/script/benchmark_check_american_pde.py +114 -0
- quantark/asset/equity/engine/validation/script/benchmark_check_asian_analytical.py +440 -0
- quantark/asset/equity/engine/validation/script/benchmark_check_barrier_analytical.py +269 -0
- quantark/asset/equity/engine/validation/script/benchmark_check_barrier_pde_solver.py +636 -0
- quantark/asset/equity/engine/validation/script/benchmark_check_digital_option.py +256 -0
- quantark/asset/equity/engine/validation/script/benchmark_check_snowball_pde_solver.py +807 -0
- quantark/asset/equity/engine/validation/script/boundary_check_american_analytical.py +290 -0
- quantark/asset/equity/engine/validation/script/boundary_check_american_pde.py +242 -0
- quantark/asset/equity/engine/validation/script/boundary_check_asian_analytical.py +612 -0
- quantark/asset/equity/engine/validation/script/boundary_check_barrier_analytical.py +434 -0
- quantark/asset/equity/engine/validation/script/boundary_check_barrier_pde_solver.py +748 -0
- quantark/asset/equity/engine/validation/script/boundary_check_digital_option.py +575 -0
- quantark/asset/equity/engine/validation/script/boundary_check_snowball_pde_solver.py +1101 -0
- quantark/asset/equity/engine/validation/script/greeks_check_digital_option.py +349 -0
- quantark/asset/equity/engine/validation/script/mc_comparison_barrier_pde.py +270 -0
- quantark/asset/equity/engine/validation/script/quick_mc_compare.py +51 -0
- quantark/asset/equity/engine/validation/script/validation_stepdown_improved.py +97 -0
- quantark/asset/equity/param/__init__.py +24 -0
- quantark/asset/equity/param/engine_param_profiles.py +325 -0
- quantark/asset/equity/param/engine_params.py +728 -0
- quantark/asset/equity/process/__init__.py +7 -0
- quantark/asset/equity/process/bsm/__init__.py +7 -0
- quantark/asset/equity/process/bsm/bsm_process.py +108 -0
- quantark/asset/equity/process/bsm/qmc_brownian_bridge.py +401 -0
- quantark/asset/equity/process/bsm/qmc_path_generator.py +694 -0
- quantark/asset/equity/process/bsm/qmc_rqmc_driver.py +163 -0
- quantark/asset/equity/process/bsm/qmc_sobol.py +195 -0
- quantark/asset/equity/process/bsm/qmc_variance_reduction.py +292 -0
- quantark/asset/equity/product/__init__.py +8 -0
- quantark/asset/equity/product/base_equity_product.py +72 -0
- quantark/asset/equity/product/deltaone/__init__.py +22 -0
- quantark/asset/equity/product/deltaone/base_deltaone_product.py +147 -0
- quantark/asset/equity/product/deltaone/futures.py +485 -0
- quantark/asset/equity/product/deltaone/spot_instrument.py +118 -0
- quantark/asset/equity/product/option/__init__.py +104 -0
- quantark/asset/equity/product/option/american_option.py +114 -0
- quantark/asset/equity/product/option/asian_option.py +531 -0
- quantark/asset/equity/product/option/barrier_option.py +289 -0
- quantark/asset/equity/product/option/base_equity_option.py +659 -0
- quantark/asset/equity/product/option/digital_option.py +102 -0
- quantark/asset/equity/product/option/double_barrier_option.py +286 -0
- quantark/asset/equity/product/option/double_one_touch_option.py +310 -0
- quantark/asset/equity/product/option/double_sharkfin_option.py +466 -0
- quantark/asset/equity/product/option/european_vanilla_option.py +103 -0
- quantark/asset/equity/product/option/ko_reset_snowball_option.py +563 -0
- quantark/asset/equity/product/option/observation_schedule.py +530 -0
- quantark/asset/equity/product/option/one_touch_option.py +287 -0
- quantark/asset/equity/product/option/phoenix_config.py +116 -0
- quantark/asset/equity/product/option/phoenix_helpers.py +576 -0
- quantark/asset/equity/product/option/phoenix_option.py +1167 -0
- quantark/asset/equity/product/option/range_accrual_config.py +288 -0
- quantark/asset/equity/product/option/range_accrual_helpers.py +608 -0
- quantark/asset/equity/product/option/range_accrual_option.py +526 -0
- quantark/asset/equity/product/option/single_sharkfin_option.py +420 -0
- quantark/asset/equity/product/option/snowball_config.py +261 -0
- quantark/asset/equity/product/option/snowball_helpers.py +977 -0
- quantark/asset/equity/product/option/snowball_option.py +1242 -0
- quantark/asset/equity/report/__init__.py +15 -0
- quantark/asset/equity/report/autocallable_risk_report.py +2118 -0
- quantark/asset/equity/report/plotting.py +87 -0
- quantark/asset/equity/report/snowball_risk_comparison_report.py +2230 -0
- quantark/asset/equity/report/surfaces.py +123 -0
- quantark/asset/equity/report/term_structure.py +126 -0
- quantark/asset/equity/riskmeasures/__init__.py +7 -0
- quantark/asset/equity/riskmeasures/greeks_calculator.py +1204 -0
- quantark/asset/rate/__init__.py +58 -0
- quantark/asset/rate/engine/__init__.py +25 -0
- quantark/asset/rate/engine/cap_floor_engine.py +514 -0
- quantark/asset/rate/engine/fra_engine.py +286 -0
- quantark/asset/rate/engine/irs_discount_engine.py +891 -0
- quantark/asset/rate/engine/swaption_engine.py +587 -0
- quantark/asset/rate/product/__init__.py +67 -0
- quantark/asset/rate/product/cap_floor.py +550 -0
- quantark/asset/rate/product/fra.py +219 -0
- quantark/asset/rate/product/irs.py +1223 -0
- quantark/asset/rate/product/swaption.py +372 -0
- quantark/backtest/__init__.py +153 -0
- quantark/backtest/base.py +263 -0
- quantark/backtest/dashboard.py +874 -0
- quantark/backtest/equity/__init__.py +35 -0
- quantark/backtest/equity/config.py +118 -0
- quantark/backtest/equity/engine.py +408 -0
- quantark/backtest/equity/hedge_executor.py +374 -0
- quantark/backtest/equity/metrics.py +396 -0
- quantark/backtest/equity/results.py +232 -0
- quantark/backtest/equity/state.py +252 -0
- quantark/backtest/examples/__init__.py +4 -0
- quantark/backtest/examples/advanced_backtest.py +345 -0
- quantark/backtest/examples/basic_delta_hedge.py +246 -0
- quantark/backtest/examples/fi_dv01_hedge.py +267 -0
- quantark/backtest/fi/__init__.py +30 -0
- quantark/backtest/fi/config.py +114 -0
- quantark/backtest/fi/engine.py +378 -0
- quantark/backtest/fi/hedge_executor.py +254 -0
- quantark/backtest/fi/metrics.py +308 -0
- quantark/backtest/fi/results.py +193 -0
- quantark/backtest/fi/state.py +212 -0
- quantark/backtest/logger.py +393 -0
- quantark/backtest/otc/__init__.py +74 -0
- quantark/backtest/otc/_replay.py +637 -0
- quantark/backtest/otc/book_engine.py +587 -0
- quantark/backtest/otc/config.py +175 -0
- quantark/backtest/otc/dashboard.py +1006 -0
- quantark/backtest/otc/engine.py +420 -0
- quantark/backtest/otc/engine_factory.py +138 -0
- quantark/backtest/otc/market.py +216 -0
- quantark/backtest/otc/results.py +107 -0
- quantark/backtest/otc/state.py +166 -0
- quantark/backtest/report_generator.py +608 -0
- quantark/backtest/strategy/__init__.py +28 -0
- quantark/backtest/strategy/base_strategy.py +235 -0
- quantark/backtest/strategy/convexity_neutral_strategy.py +247 -0
- quantark/backtest/strategy/delta_neutral_strategy.py +283 -0
- quantark/backtest/strategy/dv01_neutral_strategy.py +283 -0
- quantark/backtest/transaction_costs.py +485 -0
- quantark/backtest/visualizer.py +1019 -0
- quantark/cashleg/__init__.py +31 -0
- quantark/cashleg/accrual_leg.py +120 -0
- quantark/cashleg/base.py +48 -0
- quantark/cashleg/base_amount.py +60 -0
- quantark/cashleg/deterministic_leg.py +39 -0
- quantark/cashleg/event_distribution.py +262 -0
- quantark/cashleg/fixed_payoff_leg.py +92 -0
- quantark/cashleg/leg_schedule.py +95 -0
- quantark/cashleg/leg_valuator.py +40 -0
- quantark/dynamicscenario/__init__.py +97 -0
- quantark/dynamicscenario/base.py +297 -0
- quantark/dynamicscenario/config.py +122 -0
- quantark/dynamicscenario/engine.py +703 -0
- quantark/dynamicscenario/equity/__init__.py +14 -0
- quantark/dynamicscenario/fi/__init__.py +24 -0
- quantark/dynamicscenario/fi/config.py +149 -0
- quantark/dynamicscenario/fi/engine.py +500 -0
- quantark/dynamicscenario/fi/results.py +503 -0
- quantark/dynamicscenario/path/__init__.py +17 -0
- quantark/dynamicscenario/path/day_path.py +397 -0
- quantark/dynamicscenario/path/fi_path_library.py +488 -0
- quantark/dynamicscenario/path/path_builder.py +726 -0
- quantark/dynamicscenario/path/path_library.py +620 -0
- quantark/dynamicscenario/report/__init__.py +12 -0
- quantark/dynamicscenario/report/dynamic_report.py +1175 -0
- quantark/dynamicscenario/report/visualizer.py +1586 -0
- quantark/dynamicscenario/results/__init__.py +19 -0
- quantark/dynamicscenario/results/dynamic_results.py +579 -0
- quantark/dynamicscenario/results/result_exporter.py +438 -0
- quantark/param/__init__.py +75 -0
- quantark/param/basis/__init__.py +19 -0
- quantark/param/basis/basis_yield.py +301 -0
- quantark/param/div/__init__.py +16 -0
- quantark/param/div/dividend_yield.py +123 -0
- quantark/param/index/__init__.py +52 -0
- quantark/param/index/rate_index.py +568 -0
- quantark/param/quote/__init__.py +7 -0
- quantark/param/quote/spot_quote.py +35 -0
- quantark/param/rrf/__init__.py +22 -0
- quantark/param/rrf/rate_curve.py +436 -0
- quantark/param/vol/__init__.py +6 -0
- quantark/param/vol/vol_surface.py +118 -0
- quantark/portfolio/__init__.py +61 -0
- quantark/portfolio/base.py +203 -0
- quantark/portfolio/equity/__init__.py +17 -0
- quantark/portfolio/equity/portfolio.py +391 -0
- quantark/portfolio/equity/position.py +368 -0
- quantark/portfolio/fi/__init__.py +14 -0
- quantark/portfolio/fi/portfolio.py +424 -0
- quantark/portfolio/fi/position.py +272 -0
- quantark/portfolio/portfolio_snapshot.py +221 -0
- quantark/portfolio/portfolio_storage.py +414 -0
- quantark/priceenv/__init__.py +7 -0
- quantark/priceenv/pricing_environment.py +196 -0
- quantark/rfq/__init__.py +32 -0
- quantark/rfq/builders.py +102 -0
- quantark/rfq/models.py +214 -0
- quantark/rfq/registry.py +611 -0
- quantark/rfq/service.py +237 -0
- quantark/simm/__init__.py +155 -0
- quantark/simm/calibration/__init__.py +206 -0
- quantark/simm/calibration/accessors.py +439 -0
- quantark/simm/calibration/commodity.py +156 -0
- quantark/simm/calibration/credit_non_qualifying.py +79 -0
- quantark/simm/calibration/credit_qualifying.py +130 -0
- quantark/simm/calibration/cross_risk.py +39 -0
- quantark/simm/calibration/equity.py +125 -0
- quantark/simm/calibration/fx.py +92 -0
- quantark/simm/calibration/ir.py +152 -0
- quantark/simm/calibration/version.py +33 -0
- quantark/simm/config.py +186 -0
- quantark/simm/crif/__init__.py +35 -0
- quantark/simm/crif/models.py +230 -0
- quantark/simm/crif/parser.py +585 -0
- quantark/simm/engines/__init__.py +62 -0
- quantark/simm/engines/aggregation/__init__.py +67 -0
- quantark/simm/engines/aggregation/addon.py +141 -0
- quantark/simm/engines/aggregation/bucket_aggregator.py +298 -0
- quantark/simm/engines/aggregation/concentration.py +349 -0
- quantark/simm/engines/aggregation/product_class_aggregator.py +183 -0
- quantark/simm/engines/aggregation/risk_class_aggregator.py +403 -0
- quantark/simm/engines/aggregation/simm_calculator.py +430 -0
- quantark/simm/engines/aggregation/weighted_sensitivity.py +272 -0
- quantark/simm/engines/base.py +231 -0
- quantark/simm/engines/classification/__init__.py +10 -0
- quantark/simm/engines/classification/bucket_mapper.py +347 -0
- quantark/simm/engines/factory.py +137 -0
- quantark/simm/engines/portfolio_adapter.py +336 -0
- quantark/simm/engines/result.py +176 -0
- quantark/simm/engines/risk_class/__init__.py +18 -0
- quantark/simm/engines/risk_class/equity_engine.py +263 -0
- quantark/simm/engines/risk_class/ir_engine.py +264 -0
- quantark/simm/report/__init__.py +17 -0
- quantark/simm/report/crif_export.py +284 -0
- quantark/simm/report/excel_generator.py +401 -0
- quantark/simm/report/html_generator.py +840 -0
- quantark/simm/results/__init__.py +38 -0
- quantark/simm/results/attribution.py +313 -0
- quantark/simm/results/simm_result.py +339 -0
- quantark/simm/results/whatif.py +268 -0
- quantark/simm/sensitivity.py +533 -0
- quantark/simm/taxonomy.py +416 -0
- quantark/stresstest/__init__.py +67 -0
- quantark/stresstest/base.py +116 -0
- quantark/stresstest/config.py +5 -0
- quantark/stresstest/engine.py +5 -0
- quantark/stresstest/equity/__init__.py +17 -0
- quantark/stresstest/equity/config.py +69 -0
- quantark/stresstest/equity/engine.py +272 -0
- quantark/stresstest/equity/report/__init__.py +7 -0
- quantark/stresstest/equity/report/report_generator.py +423 -0
- quantark/stresstest/equity/report/visualizer.py +328 -0
- quantark/stresstest/equity/results.py +145 -0
- quantark/stresstest/fi/__init__.py +15 -0
- quantark/stresstest/fi/config.py +59 -0
- quantark/stresstest/fi/engine.py +213 -0
- quantark/stresstest/fi/metrics.py +60 -0
- quantark/stresstest/fi/results.py +64 -0
- quantark/stresstest/report/__init__.py +12 -0
- quantark/stresstest/report/report_generator.py +5 -0
- quantark/stresstest/report/visualizer.py +5 -0
- quantark/stresstest/results/__init__.py +16 -0
- quantark/stresstest/results/result_aggregator.py +325 -0
- quantark/stresstest/results/result_exporter.py +286 -0
- quantark/stresstest/results/stress_results.py +5 -0
- quantark/stresstest/scenario/__init__.py +13 -0
- quantark/stresstest/scenario/scenario.py +242 -0
- quantark/stresstest/scenario/scenario_builder.py +376 -0
- quantark/stresstest/scenario/scenario_library.py +435 -0
- quantark/stresstest/scenario/scenario_storage.py +224 -0
- quantark/stresstest/stress/__init__.py +13 -0
- quantark/stresstest/stress/stress_applicator.py +590 -0
- quantark/stresstest/stress/stress_types.py +142 -0
- quantark/util/__init__.py +23 -0
- quantark/util/barrier_shift.py +44 -0
- quantark/util/calendar/__init__.py +27 -0
- quantark/util/calendar/business_calendar.py +584 -0
- quantark/util/calendar/day_counter.py +517 -0
- quantark/util/calendar/holidayfile/china.csv +1920 -0
- quantark/util/calendar/holidayfile/china_sse.csv +1462 -0
- quantark/util/enum/__init__.py +81 -0
- quantark/util/enum/bond_enums.py +112 -0
- quantark/util/enum/deltaone_enums.py +16 -0
- quantark/util/enum/engine_enums.py +137 -0
- quantark/util/enum/greeks_enums.py +29 -0
- quantark/util/enum/option_enums.py +221 -0
- quantark/util/exceptions.py +66 -0
- quantark/util/marketdata/__init__.py +39 -0
- quantark/util/marketdata/adapter/base_adapter.py +203 -0
- quantark/util/marketdata/adapter/mock_adapter.py +265 -0
- quantark/util/marketdata/converter.py +289 -0
- quantark/util/marketdata/example_usage.py +314 -0
- quantark/util/marketdata/generator/__init__.py +7 -0
- quantark/util/marketdata/generator/mock_generator.py +466 -0
- quantark/util/marketdata/models.py +358 -0
- quantark/util/marketdata/storage/__init__.py +7 -0
- quantark/util/marketdata/storage/parquet_storage.py +340 -0
- quantark/util/numerical/__init__.py +98 -0
- quantark/util/numerical/comparison.py +219 -0
- quantark/util/numerical/constants.py +98 -0
- quantark/util/numerical/formatting.py +380 -0
- quantark/util/numerical/pnl.py +17 -0
- quantark/util/numerical/safe_math.py +238 -0
- quantark/util/numerical/validation.py +315 -0
- quantark/var/__init__.py +39 -0
- quantark/var/attribution.py +398 -0
- quantark/var/backtest/__init__.py +7 -0
- quantark/var/backtest/var_backtester.py +309 -0
- quantark/var/base.py +63 -0
- quantark/var/config.py +219 -0
- quantark/var/engines/__init__.py +13 -0
- quantark/var/engines/historical.py +925 -0
- quantark/var/engines/monte_carlo.py +870 -0
- quantark/var/engines/parametric.py +1199 -0
- quantark/var/results/__init__.py +16 -0
- quantark/var/results/incremental_var_result.py +131 -0
- quantark/var/results/var_report.py +346 -0
- quantark/var/results/var_result.py +134 -0
- quantark/var/risk_factors/__init__.py +22 -0
- quantark/var/risk_factors/base.py +41 -0
- quantark/var/risk_factors/equity_factors.py +158 -0
- quantark/var/risk_factors/fi_factors.py +99 -0
- quantark-0.1.0.dist-info/METADATA +351 -0
- quantark-0.1.0.dist-info/RECORD +399 -0
- quantark-0.1.0.dist-info/WHEEL +4 -0
- quantark-0.1.0.dist-info/licenses/LICENSE +202 -0
- quantark-0.1.0.dist-info/licenses/NOTICE +2 -0
- quantark_compat.pth +1 -0
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"""
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HTML report generation for dynamic scenario analysis.
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"""
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from pathlib import Path
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from typing import Union, Optional
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from datetime import datetime
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import base64
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from io import BytesIO
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from quantark.dynamicscenario.results.dynamic_results import DynamicScenarioResults
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# Type hint for FI results
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try:
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from quantark.dynamicscenario.fi.results import FIDynamicScenarioResults
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except ImportError:
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FIDynamicScenarioResults = None
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class DynamicReportGenerator:
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"""
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Generates comprehensive HTML reports for dynamic scenario results.
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Creates a standalone HTML file with:
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- Executive summary
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- Day-by-day evolution table
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- P&L chart
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- Greeks evolution chart
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- Position changes
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- Market path visualization
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Example:
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>>> generator = DynamicReportGenerator()
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>>> generator.generate_report(results, "output/report.html")
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"""
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def __init__(self):
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"""Initialize report generator."""
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pass
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def generate_report(
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self,
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results: DynamicScenarioResults,
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output_path: Union[str, Path],
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title: Optional[str] = None,
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include_charts: bool = True,
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) -> None:
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"""
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Generate comprehensive HTML report.
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Args:
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results: Dynamic scenario results
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output_path: Path for output HTML file
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title: Optional custom title
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include_charts: Whether to include embedded charts
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"""
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output_path = Path(output_path)
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output_path.parent.mkdir(parents=True, exist_ok=True)
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if title is None:
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title = f"Dynamic Scenario Report - {results.path_name}"
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# Generate HTML content
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html = self._generate_html(results, title, include_charts)
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# Write to file
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with open(output_path, "w") as f:
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f.write(html)
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print(f"Generated HTML report: {output_path}")
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def _generate_html(
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self, results: DynamicScenarioResults, title: str, include_charts: bool
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) -> str:
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"""Generate complete HTML content."""
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html = f"""<!DOCTYPE html>
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<html lang="en">
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<head>
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<meta charset="UTF-8">
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<meta name="viewport" content="width=device-width, initial-scale=1.0">
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<title>{title}</title>
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<script src="https://cdn.jsdelivr.net/npm/chart.js"></script>
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<style>
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{self._get_css()}
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</style>
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</head>
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<body>
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<div class="container">
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<header>
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<h1>{title}</h1>
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<p class="timestamp">Generated: {datetime.now().strftime('%Y-%m-%d %H:%M:%S')}</p>
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</header>
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{self._generate_executive_summary(results)}
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{self._generate_performance_metrics(results)}
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{self._generate_charts_section(results) if include_charts else ''}
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{self._generate_day_by_day_table(results)}
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{self._generate_trades_section(results)}
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<footer>
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<p>Generated by QuantArk Dynamic Scenario Analysis Module</p>
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</footer>
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</div>
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{self._generate_chart_scripts(results) if include_charts else ''}
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</body>
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</html>"""
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return html
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def _get_css(self) -> str:
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"""Get CSS styles for report."""
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return """
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* {
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margin: 0;
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padding: 0;
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box-sizing: border-box;
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}
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body {
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font-family: 'Segoe UI', Tahoma, Geneva, Verdana, sans-serif;
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line-height: 1.6;
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color: #333;
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background-color: #f4f4f4;
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}
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.container {
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max-width: 1400px;
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margin: 0 auto;
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padding: 20px;
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background-color: white;
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box-shadow: 0 0 10px rgba(0,0,0,0.1);
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}
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header {
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text-align: center;
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padding: 20px 0;
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border-bottom: 3px solid #1a5f7a;
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margin-bottom: 30px;
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background: linear-gradient(135deg, #1a5f7a 0%, #2d8ba4 100%);
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color: white;
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border-radius: 8px 8px 0 0;
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margin: -20px -20px 30px -20px;
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}
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h1 {
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margin-bottom: 10px;
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}
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h2 {
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color: #1a5f7a;
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margin-bottom: 15px;
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padding-bottom: 10px;
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border-bottom: 2px solid #ecf0f1;
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}
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h3 {
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}
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td {
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.negative {
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.neutral {
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}
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.metric-box {
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padding: 15px;
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}
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.metric-box h4 {
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margin-bottom: 10px;
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text-transform: uppercase;
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}
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.trades-section {
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margin-top: 30px;
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}
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.no-trades {
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padding: 20px;
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background: #f8f9fa;
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text-align: center;
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border-radius: 8px;
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}
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footer {
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text-align: center;
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padding: 20px 0;
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margin-top: 40px;
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border-top: 2px solid #ecf0f1;
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color: #7f8c8d;
|
|
322
|
+
font-size: 0.9em;
|
|
323
|
+
}
|
|
324
|
+
"""
|
|
325
|
+
|
|
326
|
+
def _generate_executive_summary(self, results: DynamicScenarioResults) -> str:
|
|
327
|
+
"""Generate executive summary section."""
|
|
328
|
+
pnl_class = "positive" if results.total_pnl >= 0 else "negative"
|
|
329
|
+
net_pnl_class = "positive" if results.net_pnl >= 0 else "negative"
|
|
330
|
+
|
|
331
|
+
html = f"""
|
|
332
|
+
<section class="executive-summary">
|
|
333
|
+
<h2>Executive Summary</h2>
|
|
334
|
+
<div class="summary-grid">
|
|
335
|
+
<div class="summary-card">
|
|
336
|
+
<h3>Scenario Path</h3>
|
|
337
|
+
<div class="value">{results.path_name}</div>
|
|
338
|
+
<p style="font-size: 0.85em; color: #7f8c8d; margin-top: 5px;">{results.num_days} days</p>
|
|
339
|
+
</div>
|
|
340
|
+
<div class="summary-card">
|
|
341
|
+
<h3>Initial Value</h3>
|
|
342
|
+
<div class="value">${results.baseline_value:,.2f}</div>
|
|
343
|
+
</div>
|
|
344
|
+
<div class="summary-card">
|
|
345
|
+
<h3>Final Value</h3>
|
|
346
|
+
<div class="value">${results.final_value:,.2f}</div>
|
|
347
|
+
</div>
|
|
348
|
+
<div class="summary-card {pnl_class}">
|
|
349
|
+
<h3>Total P&L</h3>
|
|
350
|
+
<div class="value {pnl_class}">${results.total_pnl:+,.2f}</div>
|
|
351
|
+
<p style="font-size: 0.85em; margin-top: 5px;">{results.total_pnl_pct:+.2f}%</p>
|
|
352
|
+
</div>
|
|
353
|
+
<div class="summary-card">
|
|
354
|
+
<h3>Transaction Costs</h3>
|
|
355
|
+
<div class="value">${results.total_transaction_costs:,.2f}</div>
|
|
356
|
+
</div>
|
|
357
|
+
<div class="summary-card {net_pnl_class}">
|
|
358
|
+
<h3>Net P&L</h3>
|
|
359
|
+
<div class="value {net_pnl_class}">${results.net_pnl:+,.2f}</div>
|
|
360
|
+
</div>
|
|
361
|
+
</div>
|
|
362
|
+
</section>
|
|
363
|
+
"""
|
|
364
|
+
return html
|
|
365
|
+
|
|
366
|
+
def _generate_performance_metrics(self, results: DynamicScenarioResults) -> str:
|
|
367
|
+
"""Generate performance metrics section."""
|
|
368
|
+
best = results.get_best_day()
|
|
369
|
+
worst = results.get_worst_day()
|
|
370
|
+
dd_amt, dd_pct, peak_day, trough_day = results.get_max_drawdown()
|
|
371
|
+
|
|
372
|
+
html = f"""
|
|
373
|
+
<section class="performance-metrics">
|
|
374
|
+
<h2>Performance Metrics</h2>
|
|
375
|
+
<div class="metrics-grid">
|
|
376
|
+
<div class="metric-box">
|
|
377
|
+
<h4>Best Day</h4>
|
|
378
|
+
<p><strong>Day {best.day_index if best else 'N/A'}</strong></p>
|
|
379
|
+
<p class="positive">P&L: ${best.daily_pnl if best else 0:+,.2f}</p>
|
|
380
|
+
</div>
|
|
381
|
+
<div class="metric-box">
|
|
382
|
+
<h4>Worst Day</h4>
|
|
383
|
+
<p><strong>Day {worst.day_index if worst else 'N/A'}</strong></p>
|
|
384
|
+
<p class="negative">P&L: ${worst.daily_pnl if worst else 0:+,.2f}</p>
|
|
385
|
+
</div>
|
|
386
|
+
<div class="metric-box">
|
|
387
|
+
<h4>Maximum Drawdown</h4>
|
|
388
|
+
<p class="negative"><strong>${dd_amt:,.2f}</strong> ({dd_pct:.2f}%)</p>
|
|
389
|
+
<p style="font-size: 0.85em; color: #7f8c8d;">Peak: Day {peak_day}, Trough: Day {trough_day}</p>
|
|
390
|
+
</div>
|
|
391
|
+
<div class="metric-box">
|
|
392
|
+
<h4>Hedge Trades</h4>
|
|
393
|
+
<p><strong>{results.total_hedges}</strong> trades executed</p>
|
|
394
|
+
<p style="font-size: 0.85em; color: #7f8c8d;">Avg cost: ${results.total_transaction_costs/max(results.total_hedges,1):,.2f}/trade</p>
|
|
395
|
+
</div>
|
|
396
|
+
</div>
|
|
397
|
+
</section>
|
|
398
|
+
"""
|
|
399
|
+
return html
|
|
400
|
+
|
|
401
|
+
def _generate_charts_section(self, results: DynamicScenarioResults) -> str:
|
|
402
|
+
"""Generate charts section with placeholders for Chart.js."""
|
|
403
|
+
html = """
|
|
404
|
+
<section class="charts">
|
|
405
|
+
<h2>Evolution Charts</h2>
|
|
406
|
+
|
|
407
|
+
<div class="chart-row">
|
|
408
|
+
<div class="chart-container">
|
|
409
|
+
<h3>Portfolio Value & P&L</h3>
|
|
410
|
+
<canvas id="pnlChart" height="300"></canvas>
|
|
411
|
+
</div>
|
|
412
|
+
<div class="chart-container">
|
|
413
|
+
<h3>Greeks Evolution</h3>
|
|
414
|
+
<canvas id="greeksChart" height="300"></canvas>
|
|
415
|
+
</div>
|
|
416
|
+
</div>
|
|
417
|
+
|
|
418
|
+
<div class="chart-row">
|
|
419
|
+
<div class="chart-container">
|
|
420
|
+
<h3>Market Parameters</h3>
|
|
421
|
+
<canvas id="marketChart" height="300"></canvas>
|
|
422
|
+
</div>
|
|
423
|
+
<div class="chart-container">
|
|
424
|
+
<h3>Cumulative P&L vs Transaction Costs</h3>
|
|
425
|
+
<canvas id="costsChart" height="300"></canvas>
|
|
426
|
+
</div>
|
|
427
|
+
</div>
|
|
428
|
+
</section>
|
|
429
|
+
"""
|
|
430
|
+
return html
|
|
431
|
+
|
|
432
|
+
def _generate_day_by_day_table(self, results: DynamicScenarioResults) -> str:
|
|
433
|
+
"""Generate day-by-day results table."""
|
|
434
|
+
html = """
|
|
435
|
+
<section class="day-by-day">
|
|
436
|
+
<h2>Day-by-Day Evolution</h2>
|
|
437
|
+
<div style="overflow-x: auto;">
|
|
438
|
+
<table>
|
|
439
|
+
<thead>
|
|
440
|
+
<tr>
|
|
441
|
+
<th>Day</th>
|
|
442
|
+
<th>Date</th>
|
|
443
|
+
<th>Label</th>
|
|
444
|
+
<th>Portfolio Value</th>
|
|
445
|
+
<th>Daily P&L</th>
|
|
446
|
+
<th>Cumulative P&L</th>
|
|
447
|
+
<th>Delta</th>
|
|
448
|
+
<th>Gamma</th>
|
|
449
|
+
<th>Vega</th>
|
|
450
|
+
<th>Trades</th>
|
|
451
|
+
</tr>
|
|
452
|
+
</thead>
|
|
453
|
+
<tbody>
|
|
454
|
+
"""
|
|
455
|
+
|
|
456
|
+
for day in results.day_results:
|
|
457
|
+
pnl_class = "positive" if day.daily_pnl >= 0 else "negative"
|
|
458
|
+
cum_pnl_class = "positive" if day.cumulative_pnl >= 0 else "negative"
|
|
459
|
+
date_str = day.date.strftime("%Y-%m-%d") if day.date else "-"
|
|
460
|
+
label = day.label or "-"
|
|
461
|
+
|
|
462
|
+
html += f"""
|
|
463
|
+
<tr>
|
|
464
|
+
<td><strong>{day.day_index}</strong></td>
|
|
465
|
+
<td>{date_str}</td>
|
|
466
|
+
<td>{label}</td>
|
|
467
|
+
<td>${day.portfolio_value:,.2f}</td>
|
|
468
|
+
<td class="{pnl_class}">${day.daily_pnl:+,.2f}</td>
|
|
469
|
+
<td class="{cum_pnl_class}">${day.cumulative_pnl:+,.2f}</td>
|
|
470
|
+
<td>{day.delta:,.1f}</td>
|
|
471
|
+
<td>{day.gamma:,.4f}</td>
|
|
472
|
+
<td>{day.vega:,.2f}</td>
|
|
473
|
+
<td>{day.num_trades}</td>
|
|
474
|
+
</tr>
|
|
475
|
+
"""
|
|
476
|
+
|
|
477
|
+
html += """
|
|
478
|
+
</tbody>
|
|
479
|
+
</table>
|
|
480
|
+
</div>
|
|
481
|
+
</section>
|
|
482
|
+
"""
|
|
483
|
+
return html
|
|
484
|
+
|
|
485
|
+
def _generate_trades_section(self, results: DynamicScenarioResults) -> str:
|
|
486
|
+
"""Generate trades section."""
|
|
487
|
+
all_trades = []
|
|
488
|
+
for day in results.day_results:
|
|
489
|
+
for trade in day.trades:
|
|
490
|
+
all_trades.append((day.day_index, day.date, trade))
|
|
491
|
+
|
|
492
|
+
if not all_trades:
|
|
493
|
+
return """
|
|
494
|
+
<section class="trades-section">
|
|
495
|
+
<h2>Trade History</h2>
|
|
496
|
+
<div class="no-trades">No trades executed during this scenario</div>
|
|
497
|
+
</section>
|
|
498
|
+
"""
|
|
499
|
+
|
|
500
|
+
html = """
|
|
501
|
+
<section class="trades-section">
|
|
502
|
+
<h2>Trade History</h2>
|
|
503
|
+
<table>
|
|
504
|
+
<thead>
|
|
505
|
+
<tr>
|
|
506
|
+
<th>Day</th>
|
|
507
|
+
<th>Date</th>
|
|
508
|
+
<th>Type</th>
|
|
509
|
+
<th>Underlying</th>
|
|
510
|
+
<th>Quantity</th>
|
|
511
|
+
<th>Price</th>
|
|
512
|
+
<th>Notional</th>
|
|
513
|
+
<th>Cost</th>
|
|
514
|
+
<th>Reason</th>
|
|
515
|
+
</tr>
|
|
516
|
+
</thead>
|
|
517
|
+
<tbody>
|
|
518
|
+
"""
|
|
519
|
+
|
|
520
|
+
for day_idx, date, trade in all_trades:
|
|
521
|
+
date_str = date.strftime("%Y-%m-%d") if date else "-"
|
|
522
|
+
html += f"""
|
|
523
|
+
<tr>
|
|
524
|
+
<td>{day_idx}</td>
|
|
525
|
+
<td>{date_str}</td>
|
|
526
|
+
<td>{trade.trade_type}</td>
|
|
527
|
+
<td>{trade.underlying}</td>
|
|
528
|
+
<td>{trade.quantity:+,.2f}</td>
|
|
529
|
+
<td>${trade.price:,.2f}</td>
|
|
530
|
+
<td>${trade.notional:,.2f}</td>
|
|
531
|
+
<td>${trade.transaction_cost:,.2f}</td>
|
|
532
|
+
<td>{trade.reason}</td>
|
|
533
|
+
</tr>
|
|
534
|
+
"""
|
|
535
|
+
|
|
536
|
+
html += """
|
|
537
|
+
</tbody>
|
|
538
|
+
</table>
|
|
539
|
+
</section>
|
|
540
|
+
"""
|
|
541
|
+
return html
|
|
542
|
+
|
|
543
|
+
def _generate_chart_scripts(self, results: DynamicScenarioResults) -> str:
|
|
544
|
+
"""Generate Chart.js scripts for charts."""
|
|
545
|
+
# Prepare data
|
|
546
|
+
days = [d.day_index for d in results.day_results]
|
|
547
|
+
portfolio_values = [d.portfolio_value for d in results.day_results]
|
|
548
|
+
daily_pnl = [d.daily_pnl for d in results.day_results]
|
|
549
|
+
cumulative_pnl = [d.cumulative_pnl for d in results.day_results]
|
|
550
|
+
transaction_costs = [
|
|
551
|
+
d.cumulative_transaction_costs for d in results.day_results
|
|
552
|
+
]
|
|
553
|
+
net_pnl = [d.net_pnl for d in results.day_results]
|
|
554
|
+
|
|
555
|
+
# Greeks
|
|
556
|
+
deltas = [d.delta for d in results.day_results]
|
|
557
|
+
gammas = [d.gamma * 1000 for d in results.day_results] # Scale for visibility
|
|
558
|
+
vegas = [d.vega for d in results.day_results]
|
|
559
|
+
|
|
560
|
+
# Market data (first underlying)
|
|
561
|
+
spots = []
|
|
562
|
+
vols = []
|
|
563
|
+
for d in results.day_results:
|
|
564
|
+
if d.market_state:
|
|
565
|
+
spot_vals = list(d.market_state.spot.values())
|
|
566
|
+
vol_vals = list(d.market_state.volatility.values())
|
|
567
|
+
spots.append(spot_vals[0] if spot_vals else 0)
|
|
568
|
+
vols.append(vol_vals[0] * 100 if vol_vals else 0) # Convert to %
|
|
569
|
+
else:
|
|
570
|
+
spots.append(0)
|
|
571
|
+
vols.append(0)
|
|
572
|
+
|
|
573
|
+
script = f"""
|
|
574
|
+
<script>
|
|
575
|
+
// P&L Chart
|
|
576
|
+
new Chart(document.getElementById('pnlChart'), {{
|
|
577
|
+
type: 'line',
|
|
578
|
+
data: {{
|
|
579
|
+
labels: {days},
|
|
580
|
+
datasets: [
|
|
581
|
+
{{
|
|
582
|
+
label: 'Portfolio Value',
|
|
583
|
+
data: {portfolio_values},
|
|
584
|
+
borderColor: '#1a5f7a',
|
|
585
|
+
backgroundColor: 'rgba(26, 95, 122, 0.1)',
|
|
586
|
+
fill: true,
|
|
587
|
+
tension: 0.3,
|
|
588
|
+
yAxisID: 'y'
|
|
589
|
+
}},
|
|
590
|
+
{{
|
|
591
|
+
label: 'Cumulative P&L',
|
|
592
|
+
data: {cumulative_pnl},
|
|
593
|
+
borderColor: '#27ae60',
|
|
594
|
+
borderDash: [5, 5],
|
|
595
|
+
tension: 0.3,
|
|
596
|
+
yAxisID: 'y1'
|
|
597
|
+
}}
|
|
598
|
+
]
|
|
599
|
+
}},
|
|
600
|
+
options: {{
|
|
601
|
+
responsive: true,
|
|
602
|
+
interaction: {{ intersect: false, mode: 'index' }},
|
|
603
|
+
scales: {{
|
|
604
|
+
y: {{ type: 'linear', position: 'left', title: {{ display: true, text: 'Portfolio Value ($)' }} }},
|
|
605
|
+
y1: {{ type: 'linear', position: 'right', title: {{ display: true, text: 'P&L ($)' }}, grid: {{ drawOnChartArea: false }} }}
|
|
606
|
+
}}
|
|
607
|
+
}}
|
|
608
|
+
}});
|
|
609
|
+
|
|
610
|
+
// Greeks Chart
|
|
611
|
+
new Chart(document.getElementById('greeksChart'), {{
|
|
612
|
+
type: 'line',
|
|
613
|
+
data: {{
|
|
614
|
+
labels: {days},
|
|
615
|
+
datasets: [
|
|
616
|
+
{{
|
|
617
|
+
label: 'Delta',
|
|
618
|
+
data: {deltas},
|
|
619
|
+
borderColor: '#e74c3c',
|
|
620
|
+
tension: 0.3,
|
|
621
|
+
yAxisID: 'y'
|
|
622
|
+
}},
|
|
623
|
+
{{
|
|
624
|
+
label: 'Gamma (x1000)',
|
|
625
|
+
data: {gammas},
|
|
626
|
+
borderColor: '#9b59b6',
|
|
627
|
+
tension: 0.3,
|
|
628
|
+
yAxisID: 'y1'
|
|
629
|
+
}},
|
|
630
|
+
{{
|
|
631
|
+
label: 'Vega',
|
|
632
|
+
data: {vegas},
|
|
633
|
+
borderColor: '#f39c12',
|
|
634
|
+
tension: 0.3,
|
|
635
|
+
yAxisID: 'y1'
|
|
636
|
+
}}
|
|
637
|
+
]
|
|
638
|
+
}},
|
|
639
|
+
options: {{
|
|
640
|
+
responsive: true,
|
|
641
|
+
interaction: {{ intersect: false, mode: 'index' }},
|
|
642
|
+
scales: {{
|
|
643
|
+
y: {{ type: 'linear', position: 'left', title: {{ display: true, text: 'Delta' }} }},
|
|
644
|
+
y1: {{ type: 'linear', position: 'right', title: {{ display: true, text: 'Gamma/Vega' }}, grid: {{ drawOnChartArea: false }} }}
|
|
645
|
+
}}
|
|
646
|
+
}}
|
|
647
|
+
}});
|
|
648
|
+
|
|
649
|
+
// Market Chart
|
|
650
|
+
new Chart(document.getElementById('marketChart'), {{
|
|
651
|
+
type: 'line',
|
|
652
|
+
data: {{
|
|
653
|
+
labels: {days},
|
|
654
|
+
datasets: [
|
|
655
|
+
{{
|
|
656
|
+
label: 'Spot Price',
|
|
657
|
+
data: {spots},
|
|
658
|
+
borderColor: '#1a5f7a',
|
|
659
|
+
tension: 0.3,
|
|
660
|
+
yAxisID: 'y'
|
|
661
|
+
}},
|
|
662
|
+
{{
|
|
663
|
+
label: 'Volatility (%)',
|
|
664
|
+
data: {vols},
|
|
665
|
+
borderColor: '#e74c3c',
|
|
666
|
+
borderDash: [5, 5],
|
|
667
|
+
tension: 0.3,
|
|
668
|
+
yAxisID: 'y1'
|
|
669
|
+
}}
|
|
670
|
+
]
|
|
671
|
+
}},
|
|
672
|
+
options: {{
|
|
673
|
+
responsive: true,
|
|
674
|
+
interaction: {{ intersect: false, mode: 'index' }},
|
|
675
|
+
scales: {{
|
|
676
|
+
y: {{ type: 'linear', position: 'left', title: {{ display: true, text: 'Spot Price ($)' }} }},
|
|
677
|
+
y1: {{ type: 'linear', position: 'right', title: {{ display: true, text: 'Volatility (%)' }}, grid: {{ drawOnChartArea: false }} }}
|
|
678
|
+
}}
|
|
679
|
+
}}
|
|
680
|
+
}});
|
|
681
|
+
|
|
682
|
+
// Costs Chart
|
|
683
|
+
new Chart(document.getElementById('costsChart'), {{
|
|
684
|
+
type: 'line',
|
|
685
|
+
data: {{
|
|
686
|
+
labels: {days},
|
|
687
|
+
datasets: [
|
|
688
|
+
{{
|
|
689
|
+
label: 'Cumulative P&L',
|
|
690
|
+
data: {cumulative_pnl},
|
|
691
|
+
borderColor: '#27ae60',
|
|
692
|
+
backgroundColor: 'rgba(39, 174, 96, 0.1)',
|
|
693
|
+
fill: true,
|
|
694
|
+
tension: 0.3
|
|
695
|
+
}},
|
|
696
|
+
{{
|
|
697
|
+
label: 'Net P&L (after costs)',
|
|
698
|
+
data: {net_pnl},
|
|
699
|
+
borderColor: '#1a5f7a',
|
|
700
|
+
tension: 0.3
|
|
701
|
+
}},
|
|
702
|
+
{{
|
|
703
|
+
label: 'Transaction Costs',
|
|
704
|
+
data: {transaction_costs},
|
|
705
|
+
borderColor: '#e74c3c',
|
|
706
|
+
borderDash: [3, 3],
|
|
707
|
+
tension: 0.3
|
|
708
|
+
}}
|
|
709
|
+
]
|
|
710
|
+
}},
|
|
711
|
+
options: {{
|
|
712
|
+
responsive: true,
|
|
713
|
+
interaction: {{ intersect: false, mode: 'index' }},
|
|
714
|
+
scales: {{
|
|
715
|
+
y: {{ title: {{ display: true, text: 'Value ($)' }} }}
|
|
716
|
+
}}
|
|
717
|
+
}}
|
|
718
|
+
}});
|
|
719
|
+
</script>
|
|
720
|
+
"""
|
|
721
|
+
return script
|
|
722
|
+
|
|
723
|
+
# =========================================================================
|
|
724
|
+
# FI-SPECIFIC REPORT GENERATION
|
|
725
|
+
# =========================================================================
|
|
726
|
+
|
|
727
|
+
def generate_fi_report(
|
|
728
|
+
self,
|
|
729
|
+
results: "FIDynamicScenarioResults",
|
|
730
|
+
output_path: Union[str, Path],
|
|
731
|
+
title: Optional[str] = None,
|
|
732
|
+
include_charts: bool = True,
|
|
733
|
+
) -> None:
|
|
734
|
+
"""
|
|
735
|
+
Generate comprehensive HTML report for FI dynamic scenario.
|
|
736
|
+
|
|
737
|
+
Args:
|
|
738
|
+
results: FI Dynamic scenario results
|
|
739
|
+
output_path: Path for output HTML file
|
|
740
|
+
title: Optional custom title
|
|
741
|
+
include_charts: Whether to include embedded charts
|
|
742
|
+
"""
|
|
743
|
+
output_path = Path(output_path)
|
|
744
|
+
output_path.parent.mkdir(parents=True, exist_ok=True)
|
|
745
|
+
|
|
746
|
+
if title is None:
|
|
747
|
+
title = f"FI Dynamic Scenario Report - {results.path_name}"
|
|
748
|
+
|
|
749
|
+
# Generate HTML content
|
|
750
|
+
html = self._generate_fi_html(results, title, include_charts)
|
|
751
|
+
|
|
752
|
+
# Write to file
|
|
753
|
+
with open(output_path, "w") as f:
|
|
754
|
+
f.write(html)
|
|
755
|
+
|
|
756
|
+
print(f"Generated FI HTML report: {output_path}")
|
|
757
|
+
|
|
758
|
+
def _generate_fi_html(
|
|
759
|
+
self, results: "FIDynamicScenarioResults", title: str, include_charts: bool
|
|
760
|
+
) -> str:
|
|
761
|
+
"""Generate complete FI HTML content."""
|
|
762
|
+
|
|
763
|
+
html = f"""<!DOCTYPE html>
|
|
764
|
+
<html lang="en">
|
|
765
|
+
<head>
|
|
766
|
+
<meta charset="UTF-8">
|
|
767
|
+
<meta name="viewport" content="width=device-width, initial-scale=1.0">
|
|
768
|
+
<title>{title}</title>
|
|
769
|
+
<script src="https://cdn.jsdelivr.net/npm/chart.js"></script>
|
|
770
|
+
<style>
|
|
771
|
+
{self._get_css()}
|
|
772
|
+
</style>
|
|
773
|
+
</head>
|
|
774
|
+
<body>
|
|
775
|
+
<div class="container">
|
|
776
|
+
<header>
|
|
777
|
+
<h1>{title}</h1>
|
|
778
|
+
<p class="timestamp">Generated: {datetime.now().strftime('%Y-%m-%d %H:%M:%S')}</p>
|
|
779
|
+
</header>
|
|
780
|
+
|
|
781
|
+
{self._generate_fi_executive_summary(results)}
|
|
782
|
+
{self._generate_fi_risk_metrics(results)}
|
|
783
|
+
{self._generate_fi_charts_section(results) if include_charts else ''}
|
|
784
|
+
{self._generate_fi_day_by_day_table(results)}
|
|
785
|
+
{self._generate_fi_trades_section(results)}
|
|
786
|
+
|
|
787
|
+
<footer>
|
|
788
|
+
<p>Generated by QuantArk FI Dynamic Scenario Analysis Module</p>
|
|
789
|
+
</footer>
|
|
790
|
+
</div>
|
|
791
|
+
|
|
792
|
+
{self._generate_fi_chart_scripts(results) if include_charts else ''}
|
|
793
|
+
</body>
|
|
794
|
+
</html>"""
|
|
795
|
+
|
|
796
|
+
return html
|
|
797
|
+
|
|
798
|
+
def _generate_fi_executive_summary(
|
|
799
|
+
self, results: "FIDynamicScenarioResults"
|
|
800
|
+
) -> str:
|
|
801
|
+
"""Generate FI executive summary section."""
|
|
802
|
+
pnl_class = "positive" if results.total_pnl >= 0 else "negative"
|
|
803
|
+
net_pnl_class = "positive" if results.net_pnl >= 0 else "negative"
|
|
804
|
+
|
|
805
|
+
html = f"""
|
|
806
|
+
<section class="executive-summary">
|
|
807
|
+
<h2>Executive Summary</h2>
|
|
808
|
+
<div class="summary-grid">
|
|
809
|
+
<div class="summary-card">
|
|
810
|
+
<h3>Scenario Path</h3>
|
|
811
|
+
<div class="value">{results.path_name}</div>
|
|
812
|
+
<p style="font-size: 0.85em; color: #7f8c8d; margin-top: 5px;">{results.num_days} days</p>
|
|
813
|
+
</div>
|
|
814
|
+
<div class="summary-card">
|
|
815
|
+
<h3>Initial Value</h3>
|
|
816
|
+
<div class="value">${results.baseline_value:,.2f}</div>
|
|
817
|
+
</div>
|
|
818
|
+
<div class="summary-card">
|
|
819
|
+
<h3>Final Value</h3>
|
|
820
|
+
<div class="value">${results.final_value:,.2f}</div>
|
|
821
|
+
</div>
|
|
822
|
+
<div class="summary-card {pnl_class}">
|
|
823
|
+
<h3>Total P&L</h3>
|
|
824
|
+
<div class="value {pnl_class}">${results.total_pnl:+,.2f}</div>
|
|
825
|
+
<p style="font-size: 0.85em; margin-top: 5px;">{results.total_pnl_pct:+.2f}%</p>
|
|
826
|
+
</div>
|
|
827
|
+
<div class="summary-card">
|
|
828
|
+
<h3>Initial DV01</h3>
|
|
829
|
+
<div class="value">${results.baseline_dv01:,.2f}</div>
|
|
830
|
+
</div>
|
|
831
|
+
<div class="summary-card">
|
|
832
|
+
<h3>Final DV01</h3>
|
|
833
|
+
<div class="value">${results.final_dv01:,.2f}</div>
|
|
834
|
+
</div>
|
|
835
|
+
<div class="summary-card">
|
|
836
|
+
<h3>Initial Duration</h3>
|
|
837
|
+
<div class="value">{results.baseline_duration:.2f} yrs</div>
|
|
838
|
+
</div>
|
|
839
|
+
<div class="summary-card">
|
|
840
|
+
<h3>Final Duration</h3>
|
|
841
|
+
<div class="value">{results.final_duration:.2f} yrs</div>
|
|
842
|
+
</div>
|
|
843
|
+
</div>
|
|
844
|
+
</section>
|
|
845
|
+
"""
|
|
846
|
+
return html
|
|
847
|
+
|
|
848
|
+
def _generate_fi_risk_metrics(self, results: "FIDynamicScenarioResults") -> str:
|
|
849
|
+
"""Generate FI risk metrics section."""
|
|
850
|
+
best = results.get_best_day()
|
|
851
|
+
worst = results.get_worst_day()
|
|
852
|
+
dd_amt, dd_pct, peak_day, trough_day = results.get_max_drawdown()
|
|
853
|
+
effectiveness = results.get_hedge_effectiveness()
|
|
854
|
+
|
|
855
|
+
html = f"""
|
|
856
|
+
<section class="performance-metrics">
|
|
857
|
+
<h2>Performance & Risk Metrics</h2>
|
|
858
|
+
<div class="metrics-grid">
|
|
859
|
+
<div class="metric-box">
|
|
860
|
+
<h4>Best Day</h4>
|
|
861
|
+
<p><strong>Day {best.day_index if best else 'N/A'}</strong></p>
|
|
862
|
+
<p class="positive">P&L: ${best.daily_pnl if best else 0:+,.2f}</p>
|
|
863
|
+
</div>
|
|
864
|
+
<div class="metric-box">
|
|
865
|
+
<h4>Worst Day</h4>
|
|
866
|
+
<p><strong>Day {worst.day_index if worst else 'N/A'}</strong></p>
|
|
867
|
+
<p class="negative">P&L: ${worst.daily_pnl if worst else 0:+,.2f}</p>
|
|
868
|
+
</div>
|
|
869
|
+
<div class="metric-box">
|
|
870
|
+
<h4>Maximum Drawdown</h4>
|
|
871
|
+
<p class="negative"><strong>${dd_amt:,.2f}</strong> ({dd_pct:.2f}%)</p>
|
|
872
|
+
<p style="font-size: 0.85em; color: #7f8c8d;">Peak: Day {peak_day}, Trough: Day {trough_day}</p>
|
|
873
|
+
</div>
|
|
874
|
+
<div class="metric-box">
|
|
875
|
+
<h4>Hedge Trades</h4>
|
|
876
|
+
<p><strong>{results.total_hedges}</strong> trades executed</p>
|
|
877
|
+
<p style="font-size: 0.85em; color: #7f8c8d;">Hedge freq: {effectiveness.get('hedge_frequency', 0):.1%}</p>
|
|
878
|
+
</div>
|
|
879
|
+
<div class="metric-box">
|
|
880
|
+
<h4>DV01 Mean (Post-Hedge)</h4>
|
|
881
|
+
<p><strong>${effectiveness.get('dv01_mean', 0):,.2f}</strong></p>
|
|
882
|
+
<p style="font-size: 0.85em; color: #7f8c8d;">Tracking error: ${effectiveness.get('dv01_tracking_error', 0):,.2f}</p>
|
|
883
|
+
</div>
|
|
884
|
+
<div class="metric-box">
|
|
885
|
+
<h4>Transaction Costs</h4>
|
|
886
|
+
<p><strong>${results.total_transaction_costs:,.2f}</strong></p>
|
|
887
|
+
<p style="font-size: 0.85em; color: #7f8c8d;">Net P&L: ${results.net_pnl:+,.2f}</p>
|
|
888
|
+
</div>
|
|
889
|
+
</div>
|
|
890
|
+
</section>
|
|
891
|
+
"""
|
|
892
|
+
return html
|
|
893
|
+
|
|
894
|
+
def _generate_fi_charts_section(self, results: "FIDynamicScenarioResults") -> str:
|
|
895
|
+
"""Generate FI charts section."""
|
|
896
|
+
html = """
|
|
897
|
+
<section class="charts">
|
|
898
|
+
<h2>Evolution Charts</h2>
|
|
899
|
+
|
|
900
|
+
<div class="chart-row">
|
|
901
|
+
<div class="chart-container">
|
|
902
|
+
<h3>Portfolio Value & P&L</h3>
|
|
903
|
+
<canvas id="pnlChart" height="300"></canvas>
|
|
904
|
+
</div>
|
|
905
|
+
<div class="chart-container">
|
|
906
|
+
<h3>DV01 Evolution</h3>
|
|
907
|
+
<canvas id="dv01Chart" height="300"></canvas>
|
|
908
|
+
</div>
|
|
909
|
+
</div>
|
|
910
|
+
|
|
911
|
+
<div class="chart-row">
|
|
912
|
+
<div class="chart-container">
|
|
913
|
+
<h3>Duration & Convexity</h3>
|
|
914
|
+
<canvas id="durationChart" height="300"></canvas>
|
|
915
|
+
</div>
|
|
916
|
+
<div class="chart-container">
|
|
917
|
+
<h3>Rate Evolution</h3>
|
|
918
|
+
<canvas id="rateChart" height="300"></canvas>
|
|
919
|
+
</div>
|
|
920
|
+
</div>
|
|
921
|
+
</section>
|
|
922
|
+
"""
|
|
923
|
+
return html
|
|
924
|
+
|
|
925
|
+
def _generate_fi_day_by_day_table(self, results: "FIDynamicScenarioResults") -> str:
|
|
926
|
+
"""Generate FI day-by-day results table."""
|
|
927
|
+
html = """
|
|
928
|
+
<section class="day-by-day">
|
|
929
|
+
<h2>Day-by-Day Evolution</h2>
|
|
930
|
+
<div style="overflow-x: auto;">
|
|
931
|
+
<table>
|
|
932
|
+
<thead>
|
|
933
|
+
<tr>
|
|
934
|
+
<th>Day</th>
|
|
935
|
+
<th>Label</th>
|
|
936
|
+
<th>Portfolio Value</th>
|
|
937
|
+
<th>Daily P&L</th>
|
|
938
|
+
<th>DV01 (Pre)</th>
|
|
939
|
+
<th>DV01 (Post)</th>
|
|
940
|
+
<th>Duration</th>
|
|
941
|
+
<th>Convexity</th>
|
|
942
|
+
<th>Rate (%)</th>
|
|
943
|
+
<th>Trades</th>
|
|
944
|
+
</tr>
|
|
945
|
+
</thead>
|
|
946
|
+
<tbody>
|
|
947
|
+
"""
|
|
948
|
+
|
|
949
|
+
for day in results.day_results:
|
|
950
|
+
pnl_class = "positive" if day.daily_pnl >= 0 else "negative"
|
|
951
|
+
label = day.label or "-"
|
|
952
|
+
rate = day.market_state.rate * 100 if day.market_state else 0
|
|
953
|
+
|
|
954
|
+
html += f"""
|
|
955
|
+
<tr>
|
|
956
|
+
<td><strong>{day.day_index}</strong></td>
|
|
957
|
+
<td>{label}</td>
|
|
958
|
+
<td>${day.portfolio_value:,.2f}</td>
|
|
959
|
+
<td class="{pnl_class}">${day.daily_pnl:+,.2f}</td>
|
|
960
|
+
<td>${day.dv01_pre_hedge:,.2f}</td>
|
|
961
|
+
<td>${day.dv01_post_hedge:,.2f}</td>
|
|
962
|
+
<td>{day.modified_duration:.2f}</td>
|
|
963
|
+
<td>{day.convexity:,.4f}</td>
|
|
964
|
+
<td>{rate:.3f}</td>
|
|
965
|
+
<td>{day.num_trades}</td>
|
|
966
|
+
</tr>
|
|
967
|
+
"""
|
|
968
|
+
|
|
969
|
+
html += """
|
|
970
|
+
</tbody>
|
|
971
|
+
</table>
|
|
972
|
+
</div>
|
|
973
|
+
</section>
|
|
974
|
+
"""
|
|
975
|
+
return html
|
|
976
|
+
|
|
977
|
+
def _generate_fi_trades_section(self, results: "FIDynamicScenarioResults") -> str:
|
|
978
|
+
"""Generate FI trades section."""
|
|
979
|
+
all_trades = []
|
|
980
|
+
for day in results.day_results:
|
|
981
|
+
for trade in day.trades:
|
|
982
|
+
all_trades.append((day.day_index, day.date, trade))
|
|
983
|
+
|
|
984
|
+
if not all_trades:
|
|
985
|
+
return """
|
|
986
|
+
<section class="trades-section">
|
|
987
|
+
<h2>Hedge Trade History</h2>
|
|
988
|
+
<div class="no-trades">No hedge trades executed during this scenario</div>
|
|
989
|
+
</section>
|
|
990
|
+
"""
|
|
991
|
+
|
|
992
|
+
html = """
|
|
993
|
+
<section class="trades-section">
|
|
994
|
+
<h2>Hedge Trade History</h2>
|
|
995
|
+
<table>
|
|
996
|
+
<thead>
|
|
997
|
+
<tr>
|
|
998
|
+
<th>Day</th>
|
|
999
|
+
<th>Type</th>
|
|
1000
|
+
<th>Instrument</th>
|
|
1001
|
+
<th>Contracts</th>
|
|
1002
|
+
<th>Price</th>
|
|
1003
|
+
<th>DV01 Impact</th>
|
|
1004
|
+
<th>Cost</th>
|
|
1005
|
+
<th>Reason</th>
|
|
1006
|
+
</tr>
|
|
1007
|
+
</thead>
|
|
1008
|
+
<tbody>
|
|
1009
|
+
"""
|
|
1010
|
+
|
|
1011
|
+
for day_idx, date, trade in all_trades:
|
|
1012
|
+
html += f"""
|
|
1013
|
+
<tr>
|
|
1014
|
+
<td>{day_idx}</td>
|
|
1015
|
+
<td>{trade.trade_type}</td>
|
|
1016
|
+
<td>{trade.instrument}</td>
|
|
1017
|
+
<td>{trade.contracts:+,.0f}</td>
|
|
1018
|
+
<td>${trade.price:,.2f}</td>
|
|
1019
|
+
<td>${trade.dv01_impact:+,.2f}</td>
|
|
1020
|
+
<td>${trade.transaction_cost:,.2f}</td>
|
|
1021
|
+
<td>{trade.reason}</td>
|
|
1022
|
+
</tr>
|
|
1023
|
+
"""
|
|
1024
|
+
|
|
1025
|
+
html += """
|
|
1026
|
+
</tbody>
|
|
1027
|
+
</table>
|
|
1028
|
+
</section>
|
|
1029
|
+
"""
|
|
1030
|
+
return html
|
|
1031
|
+
|
|
1032
|
+
def _generate_fi_chart_scripts(self, results: "FIDynamicScenarioResults") -> str:
|
|
1033
|
+
"""Generate Chart.js scripts for FI charts."""
|
|
1034
|
+
days = [d.day_index for d in results.day_results]
|
|
1035
|
+
portfolio_values = [d.portfolio_value for d in results.day_results]
|
|
1036
|
+
cumulative_pnl = [d.cumulative_pnl for d in results.day_results]
|
|
1037
|
+
dv01_pre = [d.dv01_pre_hedge for d in results.day_results]
|
|
1038
|
+
dv01_post = [d.dv01_post_hedge for d in results.day_results]
|
|
1039
|
+
durations = [d.modified_duration for d in results.day_results]
|
|
1040
|
+
convexities = [d.convexity for d in results.day_results]
|
|
1041
|
+
|
|
1042
|
+
rates = []
|
|
1043
|
+
for d in results.day_results:
|
|
1044
|
+
if d.market_state:
|
|
1045
|
+
rates.append(d.market_state.rate * 100)
|
|
1046
|
+
else:
|
|
1047
|
+
rates.append(0)
|
|
1048
|
+
|
|
1049
|
+
script = f"""
|
|
1050
|
+
<script>
|
|
1051
|
+
// P&L Chart
|
|
1052
|
+
new Chart(document.getElementById('pnlChart'), {{
|
|
1053
|
+
type: 'line',
|
|
1054
|
+
data: {{
|
|
1055
|
+
labels: {days},
|
|
1056
|
+
datasets: [
|
|
1057
|
+
{{
|
|
1058
|
+
label: 'Portfolio Value',
|
|
1059
|
+
data: {portfolio_values},
|
|
1060
|
+
borderColor: '#1a5f7a',
|
|
1061
|
+
backgroundColor: 'rgba(26, 95, 122, 0.1)',
|
|
1062
|
+
fill: true,
|
|
1063
|
+
tension: 0.3,
|
|
1064
|
+
yAxisID: 'y'
|
|
1065
|
+
}},
|
|
1066
|
+
{{
|
|
1067
|
+
label: 'Cumulative P&L',
|
|
1068
|
+
data: {cumulative_pnl},
|
|
1069
|
+
borderColor: '#27ae60',
|
|
1070
|
+
borderDash: [5, 5],
|
|
1071
|
+
tension: 0.3,
|
|
1072
|
+
yAxisID: 'y1'
|
|
1073
|
+
}}
|
|
1074
|
+
]
|
|
1075
|
+
}},
|
|
1076
|
+
options: {{
|
|
1077
|
+
responsive: true,
|
|
1078
|
+
interaction: {{ intersect: false, mode: 'index' }},
|
|
1079
|
+
scales: {{
|
|
1080
|
+
y: {{ type: 'linear', position: 'left', title: {{ display: true, text: 'Portfolio Value ($)' }} }},
|
|
1081
|
+
y1: {{ type: 'linear', position: 'right', title: {{ display: true, text: 'P&L ($)' }}, grid: {{ drawOnChartArea: false }} }}
|
|
1082
|
+
}}
|
|
1083
|
+
}}
|
|
1084
|
+
}});
|
|
1085
|
+
|
|
1086
|
+
// DV01 Chart
|
|
1087
|
+
new Chart(document.getElementById('dv01Chart'), {{
|
|
1088
|
+
type: 'line',
|
|
1089
|
+
data: {{
|
|
1090
|
+
labels: {days},
|
|
1091
|
+
datasets: [
|
|
1092
|
+
{{
|
|
1093
|
+
label: 'DV01 Pre-Hedge',
|
|
1094
|
+
data: {dv01_pre},
|
|
1095
|
+
borderColor: '#1a5f7a',
|
|
1096
|
+
tension: 0.3
|
|
1097
|
+
}},
|
|
1098
|
+
{{
|
|
1099
|
+
label: 'DV01 Post-Hedge',
|
|
1100
|
+
data: {dv01_post},
|
|
1101
|
+
borderColor: '#27ae60',
|
|
1102
|
+
borderDash: [5, 5],
|
|
1103
|
+
tension: 0.3
|
|
1104
|
+
}}
|
|
1105
|
+
]
|
|
1106
|
+
}},
|
|
1107
|
+
options: {{
|
|
1108
|
+
responsive: true,
|
|
1109
|
+
interaction: {{ intersect: false, mode: 'index' }},
|
|
1110
|
+
scales: {{
|
|
1111
|
+
y: {{ title: {{ display: true, text: 'DV01 ($)' }} }}
|
|
1112
|
+
}}
|
|
1113
|
+
}}
|
|
1114
|
+
}});
|
|
1115
|
+
|
|
1116
|
+
// Duration Chart
|
|
1117
|
+
new Chart(document.getElementById('durationChart'), {{
|
|
1118
|
+
type: 'line',
|
|
1119
|
+
data: {{
|
|
1120
|
+
labels: {days},
|
|
1121
|
+
datasets: [
|
|
1122
|
+
{{
|
|
1123
|
+
label: 'Modified Duration',
|
|
1124
|
+
data: {durations},
|
|
1125
|
+
borderColor: '#9b59b6',
|
|
1126
|
+
backgroundColor: 'rgba(155, 89, 182, 0.1)',
|
|
1127
|
+
fill: true,
|
|
1128
|
+
tension: 0.3,
|
|
1129
|
+
yAxisID: 'y'
|
|
1130
|
+
}},
|
|
1131
|
+
{{
|
|
1132
|
+
label: 'Convexity',
|
|
1133
|
+
data: {convexities},
|
|
1134
|
+
borderColor: '#f39c12',
|
|
1135
|
+
tension: 0.3,
|
|
1136
|
+
yAxisID: 'y1'
|
|
1137
|
+
}}
|
|
1138
|
+
]
|
|
1139
|
+
}},
|
|
1140
|
+
options: {{
|
|
1141
|
+
responsive: true,
|
|
1142
|
+
interaction: {{ intersect: false, mode: 'index' }},
|
|
1143
|
+
scales: {{
|
|
1144
|
+
y: {{ type: 'linear', position: 'left', title: {{ display: true, text: 'Duration (years)' }} }},
|
|
1145
|
+
y1: {{ type: 'linear', position: 'right', title: {{ display: true, text: 'Convexity' }}, grid: {{ drawOnChartArea: false }} }}
|
|
1146
|
+
}}
|
|
1147
|
+
}}
|
|
1148
|
+
}});
|
|
1149
|
+
|
|
1150
|
+
// Rate Chart
|
|
1151
|
+
new Chart(document.getElementById('rateChart'), {{
|
|
1152
|
+
type: 'line',
|
|
1153
|
+
data: {{
|
|
1154
|
+
labels: {days},
|
|
1155
|
+
datasets: [
|
|
1156
|
+
{{
|
|
1157
|
+
label: 'Rate (%)',
|
|
1158
|
+
data: {rates},
|
|
1159
|
+
borderColor: '#e74c3c',
|
|
1160
|
+
backgroundColor: 'rgba(231, 76, 60, 0.1)',
|
|
1161
|
+
fill: true,
|
|
1162
|
+
tension: 0.3
|
|
1163
|
+
}}
|
|
1164
|
+
]
|
|
1165
|
+
}},
|
|
1166
|
+
options: {{
|
|
1167
|
+
responsive: true,
|
|
1168
|
+
scales: {{
|
|
1169
|
+
y: {{ title: {{ display: true, text: 'Rate (%)' }} }}
|
|
1170
|
+
}}
|
|
1171
|
+
}}
|
|
1172
|
+
}});
|
|
1173
|
+
</script>
|
|
1174
|
+
"""
|
|
1175
|
+
return script
|