diff options
| -rw-r--r-- | python/risk/ir.py | 9 |
1 files changed, 6 insertions, 3 deletions
diff --git a/python/risk/ir.py b/python/risk/ir.py index 005586d8..a7dfde78 100644 --- a/python/risk/ir.py +++ b/python/risk/ir.py @@ -5,10 +5,13 @@ logger = logging.getLogger(__name__) def get_ir_portfolio(date, conn, fund="SERCGMAST", **kwargs): - sql_str = "SELECT * FROM list_ir_swaption_positions(%s, %s)" + sql_str = "SELECT deal_id FROM list_ir_swaption_positions(%s, %s)" with conn.cursor() as c: c.execute(sql_str, (date, fund)) - trades = list(c) + trade_ids = [tid for (tid,) in c] - portf = Portfolio([IRSwaption.from_tradeid(t.deal_id, conn) for t in trades]) + portf = Portfolio( + [IRSwaption.from_tradeid(tid, conn) for tid in trade_ids], trade_ids + ) + portf.value_date = date return portf |