Portfolio

A book of trades. Each trade is recorded and risked on its own tape; the portfolio and netting-set views are pure addition of the resulting Sensitivities — the aggregation layer never touches a kernel (Seam 7).

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Record components

trades: List<Trade>

Methods

static Portfolio of(Trade... trades)

Sensitivities aggregate()

Book-level sensitivities: the sum over every trade.

Map<String, Sensitivities> byNettingSet()

Sensitivities per netting set, in first-seen order.

static Trade trade(String id, String nettingSet, Sensitivities sensitivities)

A plain immutable trade holding a pre-computed sensitivity vector.