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Portfolios #37
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DerekTiggelaar
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help wanted
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May 10, 2019
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. |
some questions / comments on this:
@nick-young-gs please also take a look! |
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Describe the problem.
What is the best way to represent a Portfolio that can consists of so many types of investments?
Describe the solution you'd like
I would like to leverage the concept of an Instrument to describe a Position in a gs-quant Portfolio. An Instrument is an object with industry-standard required fields that all-together describe a unique investment. Using instruments to represent positions in a portfolio will allow a gs-quant user to quickly understand how to add investments of any type to their portfolio and calculate analytics such as pricing or risk in a way that is agnostic to the portfolio's contents.
Here are a few code examples:
Example 1:
Example 2:
Are you willing to contribute
Yes
Additional context
Let's build context from the ground up...
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