diff options
| -rw-r--r-- | python/risk/__main__.py | 1 | ||||
| -rw-r--r-- | sql/dawn.sql | 15 |
2 files changed, 7 insertions, 9 deletions
diff --git a/python/risk/__main__.py b/python/risk/__main__.py index 2036054e..edc7928c 100644 --- a/python/risk/__main__.py +++ b/python/risk/__main__.py @@ -22,6 +22,7 @@ workdate = args.cob init_ontr(workdate) serenitas.analytics._include_todays_cashflows = True +serenitas.analytics._local = False mysql_engine = dbengine("rmbs_model") mysqlcrt_engine = dbengine("crt") diff --git a/sql/dawn.sql b/sql/dawn.sql index af28a7ce..089c76f0 100644 --- a/sql/dawn.sql +++ b/sql/dawn.sql @@ -2106,9 +2106,9 @@ CREATE OR REPLACE VIEW tranche_risk_serenitas AS SELECT tranche_risk.date, tranche_id as trade_id, b.globeop_id, security_desc, index, series, maturity, orig_attach, orig_detach, tranche_risk.notional, admin_notional, - clean_nav * coalesce(fx, 1.) as serenitas_clean_nav, + clean_nav as serenitas_clean_nav, admin_clean_nav, - accrued * coalesce(fx, 1.) as serenitas_accrued, admin_accrued, + accrued as serenitas_accrued, admin_accrued, base_nav AS cpty_nav, duration, delta, gamma, theta, theta_amount, tranche_factor, tranche_risk.corr_attach, tranche_risk.corr_detach, @@ -2125,7 +2125,6 @@ RIGHT JOIN (SELECT invid, periodenddate, FROM valuation_reports GROUP BY invid, periodenddate) a ON (invid=b.full_globeop_id AND periodenddate=tranche_risk.date) LEFT JOIN index_version ON (security_id=redindexcode) -LEFT JOIN (SELECT date, 'EUR'::currency AS currency, eurusd AS fx FROM fx) fx USING (date, currency) LEFT JOIN external_marks_deriv ON cpty_id=identifier AND external_marks_deriv.date=tranche_risk.date ORDER BY index, series, orig_attach; @@ -2133,9 +2132,9 @@ CREATE OR REPLACE VIEW tranche_risk_bowdst AS SELECT tranche_risk.date, tranche_id as trade_id, security_desc, index, series, maturity, orig_attach, orig_detach, tranche_risk.notional, admin_notional, - clean_nav * coalesce(fx, 1.) as serenitas_clean_nav, + clean_nav as serenitas_clean_nav, admin_clean_nav, - accrued * coalesce(fx, 1.) as serenitas_accrued, + accrued as serenitas_accrued, NULL AS admin_accrued, base_nav AS cpty_nav, duration, delta, gamma, theta, theta_amount, tranche_factor, @@ -2146,7 +2145,6 @@ FROM tranche_risk LEFT JOIN cds ON (tranche_id=id) LEFT JOIN (SELECT as_of_date, link_ref, (CASE WHEN coupon_rate=0 THEN current_notional ELSE -current_notional END) AS admin_notional, base_market_value AS admin_clean_nav FROM bowdst_val WHERE security_description_1 LIKE 'TR%NCH%' AND abs(base_market_value) > 1.0) b ON link_ref=format('SCCDS%s',tranche_id) AND as_of_date=tranche_risk.date LEFT JOIN index_version ON (security_id=redindexcode) -LEFT JOIN (SELECT date, 'EUR'::currency AS currency, eurusd AS fx FROM fx) fx USING (date, currency) LEFT JOIN external_marks_deriv ON cpty_id=identifier AND external_marks_deriv.date=tranche_risk.date WHERE fund='BOWDST' ORDER BY index, series, orig_attach; @@ -2155,9 +2153,9 @@ CREATE OR REPLACE VIEW tranche_risk_brinker AS SELECT tranche_risk.date, tranche_id as trade_id, security_desc, index, series, maturity, orig_attach, orig_detach, tranche_risk.notional, admin_notional, - clean_nav * coalesce(fx, 1.) as serenitas_clean_nav, + clean_nav as serenitas_clean_nav, admin_clean_nav, - accrued * coalesce(fx, 1.) as serenitas_accrued, + accrued as serenitas_accrued, NULL AS admin_accrued, base_nav AS cpty_nav, duration, delta, gamma, theta, theta_amount, tranche_factor, @@ -2169,7 +2167,6 @@ LEFT JOIN cds ON (tranche_id=id) LEFT JOIN (SELECT accounting_date, security_id, quantity * (CASE WHEN long_short_indicator = 'S' THEN 1. ELSE -1. END) AS admin_notional, (local_market_value - quantity) * fx_rate AS admin_clean_nav FROM bbh_val WHERE sub_security_type_code ='CXT' AND interest_rate IS NOT NULL) b ON b.security_id=format('SCCDS%s', tranche_id) AND accounting_date=tranche_risk.date LEFT JOIN index_version ON (cds.security_id=redindexcode) -LEFT JOIN (SELECT date, 'EUR'::currency AS currency, eurusd AS fx FROM fx) fx USING (date, currency) LEFT JOIN external_marks_deriv ON cpty_id=identifier AND external_marks_deriv.date=tranche_risk.date WHERE fund='BRINKER' ORDER BY index, series, orig_attach; |