diff options
| -rw-r--r-- | python/pnl_explain.py | 11 | ||||
| -rw-r--r-- | python/reto.py | 7 |
2 files changed, 9 insertions, 9 deletions
diff --git a/python/pnl_explain.py b/python/pnl_explain.py index 4a28e6e5..f5013514 100644 --- a/python/pnl_explain.py +++ b/python/pnl_explain.py @@ -1,7 +1,7 @@ import datetime import pandas as pd -import serenitas.analytics +from serenitas.analytics.config import Config from serenitas.analytics.dates import bus_day, prev_business_day, next_business_day from serenitas.analytics.utils import get_fx from serenitas.analytics.api import FxForward @@ -37,7 +37,7 @@ def get_index_pv( accrued = 0.0 for t in portf.trades: _, amount = t._fee_leg.cashflows[0] - if not serenitas.analytics._local: + if not Config.local: amount *= get_fx(prev_day, t.currency) accrued -= amount * t.notional * t.factor * t.fixed_rate * 1e-4 else: @@ -55,7 +55,7 @@ def get_index_pv( conn.reset() raise e for (fee, curr) in c: - if not serenitas.analytics._local: + if not Config.local: fee *= get_fx(prev_day, curr) nav += fee upfronts.append(nav) @@ -441,8 +441,9 @@ if __name__ == "__main__": from serenitas.utils.db import dbconn from itertools import chain - serenitas.analytics._local = False - serenitas.analytics._include_todays_cashflows = True + Config.local = False + Config.include_todays_cashflows = True + dawndb = dbconn("dawndb") parser = argparse.ArgumentParser() parser.add_argument("start_date", type=datetime.datetime.fromisoformat) diff --git a/python/reto.py b/python/reto.py index 1f7bddd5..ffd77775 100644 --- a/python/reto.py +++ b/python/reto.py @@ -3,7 +3,6 @@ import numpy as np from risk.portfolio import build_portfolio, generate_vol_surface -import serenitas.analytics as ana from serenitas.analytics.scenarios import run_portfolio_scenarios from serenitas.analytics.base import Trade from serenitas.analytics.index_data import load_all_curves @@ -11,7 +10,6 @@ from serenitas.analytics.index_data import load_all_curves def gen_shocks(portf, shock_date, fund): Trade.init_ontr(shock_date) - ana._local = False ontr_spread = Trade._ontr["HY"].spread spread_shock = np.array([-25.0, 1.0, +25.0, 100.0, 200.0, 500, 1000]) spread_shock /= ontr_spread @@ -129,6 +127,7 @@ if __name__ == "__main__": import warnings from serenitas.analytics.dates import prev_business_day from serenitas.utils.db2 import dbconn + from serenitas.analytics.config import Config parser = argparse.ArgumentParser( description="Shock data/ calculate JTD and insert into DB" @@ -141,10 +140,10 @@ if __name__ == "__main__": ) parser.add_argument("-n", "--no-upload", action="store_true", help="do not upload") args = parser.parse_args() - conn = dbconn("dawndb") - + Config.local = False survival_curves = get_survival_curves(Trade._conn, args.date) + conn = dbconn("dawndb") for fund in ( "SERCGMAST", "BOWDST", |