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pair ACTW7 has exposure but is not in duke_pair_look_vs_outright #73

Open nassuphis opened 6 years ago

nassuphis commented 6 years ago

ACTW7 is in pair_exposure, but not in duke_pair_look_vs_outright

nassuphis commented 6 years ago

ACTW is here

> sort(unique(duke_pair_exposure$Pair))
  [1] ABC1   ABC11  ABC23  ABC24  ABC27  ABC28  ABC29  ABC32  ABC33  ABC34  ABC35  ABC37  ABC38  ABC39  ABC40  ABC41  ABC42  ABC5  
 [19] ABC6   ABC7   ABC8   ABC9   AC102  AC104  AC107  AC111  AC112  AC113  AC114  AC115  AC53   AC57   AC67   AC94   AC95   AC96  
 [37] AC98   AC99   ACTW1  ACTW10 ACTW11 ACTW12 ACTW13 ACTW14 ACTW2  ACTW3  ACTW4  ACTW5  ACTW6  ACTW7  ACTW9  DH16   DH32   DH38  
 [55] DH42   DH48   DH51   DH52   DH58   DH59   DH61   DH62   DH63   GJ13   GJ15   GJ16   GJ17   GJ18   GJ19   GJ22   GJ23   GJ24  
 [73] GJ4    GJ7    GJ9    JR10   JR14   JR15   JR16   JR17   JR18   JR22   JR28   JR32   JR33   JR34   MC110  MC114  MC122  MC129 
 [91] MC130  MC132  MC133  MC143  MC145  MC149  MC151  MC153  MC155  MC156  MC53   MC79   MC89  
103 Levels: ABC1 ABC11 ABC23 ABC24 ABC27 ABC28 ABC29 ABC32 ABC33 ABC34 ABC35 ABC37 ABC38 ABC39 ABC40 ABC41 ABC42 ABC5 ABC6 ABC7 ... MC89
nassuphis commented 6 years ago

but ACTW7 is not here

sort(unique(duke_pair_look_vs_outright$Pair))
  [1] ABC1   ABC11  ABC23  ABC24  ABC27  ABC28  ABC29  ABC32  ABC33  ABC34  ABC35  ABC37  ABC38  ABC39  ABC40  ABC41  ABC42  ABC5  
 [19] ABC6   ABC7   ABC8   ABC9   AC102  AC104  AC107  AC111  AC112  AC113  AC114  AC115  AC53   AC57   AC67   AC94   AC95   AC96  
 [37] AC98   AC99   ACTW1  ACTW10 ACTW11 ACTW12 ACTW13 ACTW14 ACTW2  ACTW3  ACTW4  ACTW5  ACTW6  ACTW9  DH16   DH32   DH38   DH42  
 [55] DH48   DH51   DH52   DH58   DH59   DH61   DH62   DH63   GJ13   GJ15   GJ16   GJ17   GJ18   GJ19   GJ22   GJ23   GJ24   GJ4   
 [73] GJ7    GJ9    JR10   JR14   JR15   JR16   JR17   JR18   JR22   JR28   JR32   JR33   JR34   MC110  MC114  MC122  MC129  MC130 
 [91] MC132  MC133  MC143  MC145  MC149  MC151  MC153  MC155  MC156  MC53   MC79   MC89
nassuphis commented 6 years ago

ACTW7 has no equity exposure, only index exposure. It seems this is the reason for the problem. The logic cant handle pairs that only contain index exposures.

> sort(unique(duke_pair_index_exposure$Pair))
 [1] "ABC1"   "ABC23"  "ABC24"  "ABC27"  "ABC28"  "ABC29"  "ABC32"  "ABC33"  "ABC35"  "ABC37"  "ABC38"  "ABC41"  "ABC5"   "ABC6"  
[15] "ABC8"   "ABC9"   "AC102"  "AC104"  "AC111"  "AC112"  "AC113"  "AC94"   "AC95"   "AC99"   "ACTW1"  "ACTW10" "ACTW12" "ACTW13"
[29] "ACTW14" "ACTW2"  "ACTW3"  "ACTW4"  "ACTW5"  "ACTW7"  "ACTW9"  "DH16"   "DH32"   "DH38"   "DH42"   "DH48"   "DH51"   "DH52"  
[43] "DH59"   "DH62"   "DH63"   "GJ13"   "GJ15"   "GJ17"   "GJ18"   "GJ19"   "GJ22"   "GJ24"   "GJ4"    "GJ7"    "GJ9"    "JR10"  
[57] "JR15"   "JR16"   "JR17"   "JR18"   "JR28"   "JR33"   "JR34"   "MC110"  "MC122"  "MC129"  "MC130"  "MC132"  "MC133"  "MC143" 
[71] "MC145"  "MC149"  "MC151"  "MC153"  "MC155"  "MC156"  "MC79"   "MC89"  
> sort(unique(duke_pair_equity_exposure$Pair))
  [1] "ABC1"   "ABC11"  "ABC23"  "ABC24"  "ABC27"  "ABC28"  "ABC29"  "ABC32"  "ABC33"  "ABC34"  "ABC35"  "ABC37"  "ABC38"  "ABC39" 
 [15] "ABC40"  "ABC41"  "ABC42"  "ABC5"   "ABC6"   "ABC7"   "ABC8"   "ABC9"   "AC102"  "AC104"  "AC107"  "AC111"  "AC113"  "AC114" 
 [29] "AC115"  "AC53"   "AC57"   "AC67"   "AC94"   "AC95"   "AC96"   "AC98"   "AC99"   "ACTW1"  "ACTW10" "ACTW11" "ACTW12" "ACTW13"
 [43] "ACTW14" "ACTW2"  "ACTW3"  "ACTW4"  "ACTW5"  "ACTW6"  "ACTW9"  "DH16"   "DH32"   "DH38"   "DH42"   "DH48"   "DH51"   "DH52"  
 [57] "DH58"   "DH59"   "DH61"   "DH62"   "DH63"   "GJ13"   "GJ15"   "GJ16"   "GJ17"   "GJ18"   "GJ19"   "GJ22"   "GJ23"   "GJ24"  
 [71] "GJ4"    "GJ7"    "GJ9"    "JR10"   "JR14"   "JR15"   "JR16"   "JR17"   "JR18"   "JR22"   "JR28"   "JR32"   "JR33"   "JR34"  
 [85] "MC110"  "MC114"  "MC122"  "MC129"  "MC130"  "MC132"  "MC133"  "MC143"  "MC145"  "MC149"  "MC151"  "MC153"  "MC155"  "MC156" 
 [99] "MC53"   "MC79"   "MC89"  
>
nassuphis commented 6 years ago

duke_pair_look_though_exposure was rounding exposures. ACTW7 has a tiny exposure (less than 1bp) that was being rounded to zero and filtered out.