Portfolio_analyzer_table_charts.ipynb

{
 "cells": [
  {
   "cell_type": "code",
   "execution_count": null,
   "id": "85e6ea1b",
   "metadata": {},
   "outputs": [],
   "source": [
    "data = gvol_client.portfolio_analyzer(portfolio= simulation\n",
    "                                      ,deltaFutures=deltas_book\n",
    "                                      ,ivShift= iv_shift\n",
    "                                      , symbol= symbol)\n",
    "\n",
    "book =pd.json_normalize(data['PortfolioAnalyzer'])\n",
    "df = book\n",
    "df['index'] = df['index'].astype(int)"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": null,
   "id": "2920f844",
   "metadata": {},
   "outputs": [],
   "source": [
    "## Insert manually your equity\n",
    "df['equity'] = (df['PnL'] + equity).round(4)\n",
    "df['equityUSD'] = (df['equity'] * df['index']).astype(int)"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": null,
   "id": "464e8363",
   "metadata": {},
   "outputs": [],
   "source": [
    "col = ['indexChange','PnL','PnLUSD','deltaBSM','deltaCash','deltaSkew','gamma','vega','wVega','theta','equity','equityUSD']\n",
    "\n",
    "\n",
    "print ('')\n",
    "print ('PORTFOLIO ANALYZER TABLE')\n",
    "display(df[df['days']==0].iloc[50:115:5].set_index('index')[col]\\\n",
    "#display(df[df['days']==0].iloc[0:200:5].set_index('index')[col]\\\n",
    ".style.format({\n",
    "            'indexChange':\"{:20,.4f}\",\n",
    "            'PnL':\"{:20,.4f}\",\n",
    "             'PnLUSD':\"${:20,.0f}\",\n",
    "             'deltaBSM':\"{:20,.2f}\",\n",
    "               'deltaCash':\"{:20,.2f}\",\n",
    "               'deltaSkew':\"{:20,.2f}\",\n",
    "             'gamma':\"{:20.4f}\",\n",
    "              'vega':\"{:20.0f}\",\n",
    "              'wVega':\"{:20,.0f}\",\n",
    "            'theta':\"{:20,.0f}\",\n",
    "            'index':\"${:20,.0f}\",\n",
    "            'equity':\"{:20,.4f}\",\n",
    "            'equityUSD':\"${:20,.0f}\",\n",
    "            'days':\"{:20,.0f}\"\n",
    "\n",
    "}))"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": null,
   "id": "c2e84c2f",
   "metadata": {},
   "outputs": [],
   "source": [
    "fig = go.Figure()\n",
    "###CHART\n",
    "\n",
    "index = df.iloc[80]['index']\n",
    "\n",
    "minimo = 0\n",
    "massimo = 0\n",
    "\n",
    "for d in df.days.unique():\n",
    "    df_t = df[df['days']==d]\n",
    "    df_t = df_t.set_index('index')\n",
    "\n",
    "    ##METRICS TO CHART\n",
    "    metrics = ['PnL','PnLUSD','deltaSkew','gamma','vega','wVega','theta']\n",
    "    ##IDENTIFY IN THE ARRAY ABOVE, THE POSITION OF METRICS TO CHART\n",
    "    pos = 0\n",
    "\n",
    "    x = df_t.index\n",
    "    y_t = df_t[metrics[pos]]\n",
    "    \n",
    "    minimo = min(y_t.loc[index*0.7:index*1.3].min(),minimo)\n",
    "    massimo = max(y_t.loc[index*0.7:index*1.3].max(),massimo)\n",
    "\n",
    "    #prices = np.arange(index-index*0.45,index+index*0.75,100)\n",
    "    prices = np.linspace(df[df['days']==0]['index'].min(),df[df['days']==0]['index'].max(),1000)\n",
    "\n",
    "    if d in df.days.unique()[-1:]:\n",
    "        z = interp1d(x, y_t,kind='linear')\n",
    "        y_t_inter = z(prices)\n",
    "        fig.add_trace(go.Scatter(x=prices, y=y_t_inter,name=metrics[pos]+' t'+str(int(d)),line_width=2,line=dict(dash='solid')))\n",
    "\n",
    "    elif d not in df.days.unique()[-1:]:\n",
    "        z = interp1d(x, y_t,kind='cubic')\n",
    "        y_t_inter = z(prices)\n",
    "        fig.add_trace(go.Scatter(x=prices, y=y_t_inter,name=metrics[pos]+' t'+str(int(d)),line_width=3,line=dict(dash='dot')))\n",
    "\n",
    "\n",
    "\n",
    "    fig.add_vline(x=index, line_width=2, line_dash=\"dash\", line_color=\"grey\")\n",
    "  \n",
    "\n",
    "\n",
    "y_min =  minimo\n",
    "y_max =  massimo\n",
    "\n",
    "#fig.update_yaxes(range=[y_min,y_max])\n",
    "#fig.update_xaxes(range=[index*0.7,index*1.3])\n",
    "\n",
    "fig.layout.images = [dict(\n",
    "    source=\"./amberdata_logo_bug_color_100p.png\",\n",
    "    xref=\"paper\", yref=\"paper\",\n",
    "    x=0.98, y=1.1,\n",
    "    sizex=0.13, sizey=0.13,\n",
    "    xanchor=\"center\", yanchor=\"bottom\"\n",
    ")]\n",
    "\n",
    "fig.update_layout(title=\"PAYOFF STRUCTURE\",title_x=0.50,\n",
    "                  #yaxis_title=\"coin\",\n",
    "                  legend=dict(\n",
    "                      orientation=\"h\",\n",
    "                      yanchor=\"bottom\",\n",
    "                      y=-0.2,\n",
    "                      xanchor=\"center\",\n",
    "                      x=0.45\n",
    "                      ),\n",
    "                  margin=dict(r=25),\n",
    "                 # template = 'plotly_dark'\n",
    "                 )\n",
    "fig.show()"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": null,
   "id": "5687ddb7",
   "metadata": {},
   "outputs": [],
   "source": [
    "#DEFINE SUBPLOTS CHART\n",
    "fig = make_subplots(rows=2,cols=2,subplot_titles=(\"delta\", \"gamma\",\"vega\",\"theta\"),horizontal_spacing=0.05)\n",
    "\n",
    "df[df['indexChange']==1]['index'].values[0]\n",
    "#df[df['index_change']==1]['index'].values[0]\n",
    "\n",
    "greeks = ['deltaBSM','gamma','vega','theta']\n",
    "#greeks = ['delta_BSM','gamma','vega','theta']\n",
    "\n",
    "row = 1\n",
    "col = 1\n",
    "inc_row = [0,1,0,0]\n",
    "inc_col = [1,-1,1,0]\n",
    "\n",
    "colore = ['blue','red','green']\n",
    "\n",
    "\n",
    "for pos in range(0,len(greeks)):\n",
    "    i = 0\n",
    "    \n",
    "    minimo = 0\n",
    "    massimo = 0\n",
    "\n",
    "    for d in df.days.unique()[:-1]:\n",
    "        df_t = df[df['days']==d]\n",
    "        df_t = df_t.set_index('index')\n",
    " \n",
    "\n",
    "        x = df_t.index\n",
    "        y_t = df_t[greeks[pos]]\n",
    "\n",
    "\n",
    "        minimo = min(y_t.loc[index*0.7:index*1.3].min(),minimo)\n",
    "        massimo = max(y_t.loc[index*0.7:index*1.3].max(),massimo)\n",
    "        \n",
    "        prices = np.linspace(df[df['days']==0]['index'].min(),df[df['days']==0]['index'].max(),1000)\n",
    "\n",
    "        if d in df.days.unique()[-1:]:\n",
    "            z = interp1d(x, y_t,kind='linear')\n",
    "            y_t_inter = z(prices)\n",
    "            fig.add_trace(go.Scatter(x=prices, y=y_t_inter,name=greeks[pos]+' t'+str(int(d)),line_width=2,line=dict(dash='solid',color=colore[i])),\n",
    "                         row = row, col = col)\n",
    "\n",
    "        elif d not in df.days.unique()[-1:]:\n",
    "            z = interp1d(x, y_t,kind='cubic')\n",
    "            y_t_inter = z(prices)\n",
    "            fig.add_trace(go.Scatter(x=prices, y=y_t_inter,name=greeks[pos]+' t'+str(int(d)),line_width=3,line=dict(dash='dot',color=colore[i])),\n",
    "                         row = row, col = col)\n",
    "\n",
    "\n",
    "\n",
    "        fig.add_vline(x=index, line_width=2, line_dash=\"dash\", line_color=\"grey\",row=row, col=col)\n",
    "  \n",
    "        i = i + 1\n",
    "    \n",
    "    y_min =  minimo\n",
    "    y_max =  massimo\n",
    "\n",
    "    fig.update_yaxes(range=[y_min,y_max],row=row,col=col)\n",
    "    fig.update_xaxes(range=[index*0.7,index*1.3],row=row,col=col)\n",
    "    \n",
    "    row = row + inc_row[pos]\n",
    "    col = col + inc_col[pos]\n",
    "            \n",
    "fig.layout.images = [dict(\n",
    "    source=\"./amberdata_logo_bug_color_100p.png\",\n",
    "    xref=\"paper\", yref=\"paper\",\n",
    "    x=0.98, y=1.1,\n",
    "    sizex=0.13, sizey=0.13,\n",
    "    xanchor=\"center\", yanchor=\"bottom\"\n",
    ")]\n",
    "\n",
    "fig.update_layout(title=\"GREEKS\",title_x=0.50,\n",
    "                  legend=dict(\n",
    "                      orientation=\"h\",\n",
    "                      yanchor=\"bottom\",\n",
    "                      y=-0.2,\n",
    "                      xanchor=\"center\",\n",
    "                      x=0.45\n",
    "                      ),\n",
    "                  margin=dict(r=25),\n",
    "                 # template = 'plotly_dark'\n",
    "                 )\n",
    "\n",
    "fig.update_layout(showlegend=False)    \n",
    "    \n",
    "    \n",
    "fig.show()"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": null,
   "id": "3a5cf95e",
   "metadata": {},
   "outputs": [],
   "source": []
  }
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