Netting in a dataframe - r

Question

I have a dataframe which I would like to clean by removing some offsetting lines (boxed positions) and doing some netting.
Here is the source table:
Type Name Strike Maturity Nominal
Call Amazon 10 10/12/2018 1000
Put Amazon 10 10/12/2018 1000
Call Ebay 8 2/8/2018 800
Put Ebay 8 2/8/2018 500
Call Facebook 5 5/5/2018 900
Call Google 2 23/4/2018 250
Put Google 2 23/4/2018 350
Call Microsoft 2 19/3/2018 250
Put Microsoft 2.5 19/3/2018 350
Put Ebay 8 2/8/2018 100
And the result of the code here:
Type Name Strike Maturity Nominal
Call Ebay 8 2/8/2018 200
Call Facebook 5 5/5/2018 900
Put Google 2 23/4/2018 100
Call Microsoft 2 19/3/2018 250
Put Microsoft 2.5 19/3/2018 350
I'm trying to write a code in R that would perform these 3 tasks:
1// Remove all the pairs that offset each other.
A pair that offset each other is a pair that meet these 2 criteria:
2 lines that have the same Name, Strike, Maturity and Nominal.
1 line is a "Call" while the other one is a "Put"
Example: the 2 "Amazon" lines that were removed from the table
2// Do a netting on the nominal for the lines that don't perfectly offset each other.
A pair that don't perfectly offset each other is a pair that meet these 2 criteria:
2 lines that have the same Name, Strike and Maturity but different Nominal
1 line is a "Call" while the other one is a "Put"
Example: the 2 "Ebay" lines that were netted on the Call or the 2 "Google" lines that were netted on the Put.
3// Don't do anything on all the other lines
Example: the 2 "Microsoft" lines. They have different strike so no netting at all should be done
Please see below my first attempt.
My idea was first to create a new column with a unique key, then sorting alphabetically and then testing each line one by one.
I find it very laborious so I was wondering if someone could help me find a more straightforward and efficient solution?
Many thanks!
library(data.table)
dt <- data.table(Type=c("Call", "Put", "Call", "Put", "Call", "Call", "Put", "Call", "Put","Put"),
Name=c("Amazon", "Amazon", "Ebay", "Ebay", "Facebook", "Google", "Google", "Microsoft", "Microsoft","Ebay"),
Strike=c(10,10,8,8,5,2,2,2,2.5,8),
Maturity=c("10/12/2018", "10/12/2018", "2/8/2018", "2/8/2018", "5/5/2018", "23/4/2018", "23/4/2018", "19/3/2018", "19/3/2018","2/8/2018),
Nominal=c(1000,1000,800,500,900,250,350,250,35,100))
##idea
dt$key <- paste(dt$Name,dt$Strike,dt$Maturity)
dt[order(dt$key,decreasing = FALSE),]
dt$Type2 <- ifelse(dt$Type = "Call",1,0)
#for each line k, test value in the column "Key" and the column "Type2":
#if key(k) = key(k+1) and Type2(k)+Type2(k+1)=1 then
#if Nominal (k)> Nominal (k+1), delete the line k+1 and do the netting on nominal of the line k
#else Nomnial (k+1)< Nominal (k), delete the line k and do the netting on nominal of the line k+1
#next k
dt <- dt[dt$Nominal!=0,]
dt$key <- NULL
After ideas that were recommended, I tried the dcast solution but it looks like it does not do the proper netting as shown below:
> dt <- data.table(Type=c("Call", "Put", "Call", "Put", "Call", "Call", "Put", "Call", "Put","Put"),
+ Name=c("Amazon", "Amazon", "Ebay", "Ebay", "Facebook", "Google", "Google", "Microsoft", "Microsoft","Ebay"),
+ Strike=c(10,10,8,8,5,2,2,2,2.5,8),
+ Maturity=c("10/12/2018", "10/12/2018", "2/8/2018", "2/8/2018", "5/5/2018", "23/4/2018", "23/4/2018", "19/3/2018", "19/3/2018","2/8/2018"),
+ Nominal=c(1000,1000,800,500,900,250,350,250,350,100))
> dcast(dt, Name + Maturity + Strike ~ Type, value.var="Nominal", fill = 0)[, Net := Call - Put][Net != 0]
Aggregate function missing, defaulting to 'length'
Name Maturity Strike Call Put Net
1: Ebay 2/8/2018 8.0 1 2 -1
2: Facebook 5/5/2018 5.0 1 0 1
3: Microsoft 19/3/2018 2.0 1 0 1
4: Microsoft 19/3/2018 2.5 0 1 -1

Answer 1

Here is a tidyverse solution. Basically, since you want to group all rows that have the same Name, Strike and Maturity, I think it's simplest to convert Call and Put into actual numbers and use summarise. Your special offset case is really just removing net cases where the total ends up being 0.
Approach is:
Convert Put into negative values of Nominal using ifelse and mutate,
Use group_by and summarise to reduce the groups into a single value per group`,
Remove perfect offsets with filter,
Replace the Type column and make the negative values positive.
Code:
library(tidyverse)
tbl <- read_table2(
"Type Name Strike Maturity Nominal
Call Amazon 10 10/12/2018 1000
Put Amazon 10 10/12/2018 1000
Call Ebay 8 2/8/2018 800
Put Ebay 8 2/8/2018 500
Call Facebook 5 5/5/2018 900
Call Google 2 23/4/2018 250
Put Google 2 23/4/2018 350
Call Microsoft 2 19/3/2018 250
Put Microsoft 2.5 19/3/2018 350
Put Ebay 8 2/8/2018 100"
)
tbl %>%
mutate(actual = ifelse(Type == "Call", Nominal, -Nominal)) %>%
group_by(Name, Strike, Maturity) %>%
summarise(Net = sum(actual)) %>%
filter(Net != 0) %>%
mutate(
Type = ifelse(Net > 0, "Call", "Put"),
Net = abs(Net)
)
# A tibble: 5 x 5
# Groups: Name, Strike [5]
Name Strike Maturity Net Type
<chr> <dbl> <chr> <int> <chr>
1 Ebay 8.00 2/8/2018 200 Call
2 Facebook 5.00 5/5/2018 900 Call
3 Google 2.00 23/4/2018 100 Put
4 Microsoft 2.00 19/3/2018 250 Call
5 Microsoft 2.50 19/3/2018 350 Put