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nassuphis avatar nassuphis commented on July 30, 2024

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

from pairs.

nassuphis avatar nassuphis commented on July 30, 2024

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

from pairs.

nassuphis avatar nassuphis commented on July 30, 2024

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"  
>

from pairs.

nassuphis avatar nassuphis commented on July 30, 2024

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.

from pairs.

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