21 lines
699 B
Python
21 lines
699 B
Python
import numpy as np
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def calculate_returns(prices, horizon=1, sort="ascending"):
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"""Calculate (simple) returns from price action"""
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step = 1 if sort == "ascending" else -1
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if horizon == 1:
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returns = prices / prices.shift(step) - 1
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else:
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returns = np.exp(np.log(prices / prices.shift(step)) * np.sqrt(horizon)) - 1
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return returns.dropna()
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def var(portfolio, prices, sort="ascending"):
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"""Calculate VaR 1-day for portfolio"""
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returns = calculate_returns(prices, 1, sort)
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pnl = portfolio.dot(returns.T)
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daily_pnl = pnl.sum(axis=0)
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daily_pnl_asc = daily_pnl.sort_values(ascending=True)
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return 0.4 * daily_pnl_asc[1] + 0.6 * daily_pnl_asc[2]
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