diff options
| -rw-r--r-- | python/risk/bonds.py | 10 |
1 files changed, 5 insertions, 5 deletions
diff --git a/python/risk/bonds.py b/python/risk/bonds.py index 23626c3b..5db1ec5e 100644 --- a/python/risk/bonds.py +++ b/python/risk/bonds.py @@ -15,7 +15,7 @@ class AssetClass(Enum): CRT = auto() -def get_df(date, engine, zero_factor=False): +def get_df(date, engine, *, zero_factor=False): if zero_factor: normalization = "unnormalized" table1 = "priced_orig_ntl" @@ -59,8 +59,8 @@ def get_df(date, engine, zero_factor=False): def subprime_risk(date, conn, engine): - df = get_df(date, engine, False) - df_zero = get_df(date, engine, True) + df = get_df(date, engine, zero_factor=False) + df_zero = get_df(date, engine, zero_factor=True) df.loc[df_zero.index] = df_zero df_pos = get_portfolio(date, conn, AssetClass.Subprime) df_pv = df.xs("pv", axis=1, level=0) @@ -121,7 +121,7 @@ def subprime_risk(date, conn, engine): df_calc.bond_yield += ( np.log(df_calc.pv1 * df_calc.curr_ntl / df_calc.local_market_value) / df_calc.modDur - ).clip_upper(1.0) + ).clip(upper=1.0) # delta scaled by ratio of market_value to model value df_calc.delta_ir *= df_calc.local_market_value / df_calc.pv3 return df_calc @@ -136,7 +136,7 @@ def get_portfolio(date, conn, asset_class: AssetClass, fund="SERCGMAST"): if asset_class is AssetClass.CLO: with conn.cursor() as c: c.execute( - "SELECT cusip, identifier FROM securities " "WHERE asset_class = 'CLO'" + "SELECT cusip, identifier FROM securities WHERE asset_class = 'CLO'" ) cusip_map = {identifier: cusip for cusip, identifier in c.fetchall()} df["cusip"] = df["identifier"].replace(cusip_map) |