Python for Finance, 3rd Edition

Chapter 30. Portfolio Valuation

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Valuing a single derivative is a useful first milestone, but real-world applications rarely stop there. Traders, risk managers, and portfolio managers care about collections of positions: the value of the whole book, the contribution of each trade, and the sensitivities of the aggregated exposure. This chapter extends dxlib with a compact portfolio layer that lets you value and analyze multiple derivatives consistently.

This chapter adds a small portfolio container to dxlib. You implement a Position class that combines a quantity with a pricer and a Portfolio class that aggregates values and simple bump-and-revalue deltas. You also add two diagnostic figures that visualize value and delta contributions across the positions of an example equity-index options book. The examples assume numpy, Matplotlib, pandas for tabular output, and the valuation layer from Chapter 29.

Why Portfolios Need Structure

If you value instruments one by one in ad-hoc scripts, the ...