From 04770bdd6e8375a37c05b75b2f996f8f9f78a185 Mon Sep 17 00:00:00 2001 From: rodion lim Date: Fri, 13 Feb 2026 12:07:03 +0800 Subject: [PATCH] feat(account): make average notional position optional --- src/quantlib_st/systems/accounts/account_forecast.py | 5 ++++- 1 file changed, 4 insertions(+), 1 deletion(-) diff --git a/src/quantlib_st/systems/accounts/account_forecast.py b/src/quantlib_st/systems/accounts/account_forecast.py index 6c805bc..64cef9c 100644 --- a/src/quantlib_st/systems/accounts/account_forecast.py +++ b/src/quantlib_st/systems/accounts/account_forecast.py @@ -295,8 +295,8 @@ def pandl_for_instrument_forecast( def pandl_for_position( notional_position: pd.Series, - average_notional_position: pd.Series, price: pd.Series, + average_notional_position: Optional[pd.Series] = None, capital: float = ARBITRARY_FORECAST_CAPITAL, fx=None, daily_returns_volatility: Optional[pd.Series] = None, @@ -305,6 +305,9 @@ def pandl_for_position( roundpositions: bool = False, value_per_point=ARBITRARY_VALUE_OF_PRICE_POINT, ) -> accountCurve: + if average_notional_position is None: + average_notional_position = pd.Series(1.0, index=price.index) + pandl_calculator = pandlCalculationWithSRCosts( price, SR_cost=SR_cost,