Data

The functions below are used to load and add data. This is usually the first step where either parameters or P&L simulations are loaded and additional information is added, for example, P&L simulations for derivate instruments as well as information about market prices relative to exposures and instrument costs.

add_instrument_info(instruments, instrument_name, cost_hold, cost_buy, cost_sell, relative_market_value)

Function for adding instrument information to an existing pd.DataFrame with shape (I, 4).

Parameters:

  • instruments (DataFrame) – pd.DataFrame containing instrument information.

  • instrument_name (str) – Instrument name.

  • cost_hold (float) – Holding cost.

  • cost_buy (float) – Buy transaction cost.

  • cost_sell (float) – Sell transaction cost.

  • relative_market_value (float) – Relative market value.

Return type:

DataFrame

Returns:

Updated pd.DataFrame with the new instrument information added and shape (I+1, 4).

Raises:

  • ValueError – If instruments is not a pd.DataFrame with 4 columns.

  • TypeError – If instrument_name is not a string.

  • TypeError – If cost_hold, cost_buy, cost_sell, or relative_market_value are not integers or floats.

add_simulation_column(pnl, simulation_name, simulation)

Function for adding a new column of simulated data to an existing pd.DataFrame of P&L.

Parameters:

  • pnl (DataFrame) – Existing simulation of P&L / risk factors with shape (S, I).

  • simulation_name (str) – Name of the new instrument / risk factor.

  • simulation (ndarray) – Simulation for the new instrument / risk factor with shape (S,).

Return type:

DataFrame

Returns:

Updated pd.DataFrame with the new instrument / risk factor added and shape (S, I+1).

Raises:

  • TypeError – If pnl is not a pd.DataFrame.

  • TypeError – If simulation_name is not a string.

  • ValueError – If there is a mismatch between the number of rows for pnl and simulation.

convert_csv(file_path, sep, decimal)

Function for converting a csv file to having sep=’,’ and decimal=’.’ by overwriting the current file.

Parameters:

  • file_path (str) – Path to the csv file.

  • sep (str) – Separator of the current file.

  • decimal (str) – Decimal of the current file.

load_parameters(instruments_path, parameters_path, sep=',', decimal='.')

Function for loading P&L / risk factor parameters.

Parameters:

  • instruments_path (str) – Path to the file (csv or xlsx) containing instrument information and having shape (I, 4). Instrument information consists of holding, buy, and sell costs as well as a market value relative to exposure.

  • parameters_path (str) – Path to the file (csv or xlsx) containing the parameters with shape (I+2, I). First row for mean values, second row for volatility values, and the last I rows for the correlation matrix.

  • sep (str) – Separator for csv files. Default: ‘,’

  • decimal (str) – Decimal separator for csv files. Default: ‘.’

Return type:

Tuple[DataFrame, DataFrame, DataFrame]

Returns:

Returns instrument information as well as P&L / risk factor means and covariance matrix.

Raises:

  • TypeError – If instruments_path or parameters_path is not a string.

  • ValueError – If file extension is not .csv or .xlsx.

  • TypeError – If parameters are not integers or floats.

  • ValueError – If there is a mismatch between parameter and instrument names.

  • ValueError – If any volatility value is not positive.

  • ValueError – If the diagonal elements of the correlation matrix are not 1.

  • ValueError – If the correlation matrix is not symmetric and positive definite.

load_pnl(instruments_path, pnl_path, sep=',', decimal='.')

Function for loading a P&L / risk factor simulation.

Parameters:

  • instruments_path (str) – Path to the file (csv or xlsx) containing instrument information and having shape (I, 4). Instrument information consists of holding, buy and sell costs as well as a market value relative to exposure.

  • pnl_path (str) – Path to the file (csv or xlsx) containing the P&L / risk factor simulation having shape (S, I) or (S, I+1) if the P&L / risk factor simulation contains a probability vector as the last column.

  • sep (str) – Separator for csv files. Default: ‘,’

  • decimal (str) – Decimal separator for csv files. Default: ‘.’

Return type:

Tuple[DataFrame, DataFrame, ndarray]

Returns:

Instrument information, P&L / risk factor simulation, and scenario probability vector.

Raises:

  • TypeError – If instruments_path or pnl_path is not a string.

  • ValueError – If file extension is not .csv or .xlsx.

  • TypeError – If P&L values are not integers or floats.

  • ValueError – If there is a mismatch between P&L and instruments names.

  • ValueError – If the optional probability vector is invalid.