diff options
| -rw-r--r-- | python/risk/indices.py | 5 |
1 files changed, 3 insertions, 2 deletions
diff --git a/python/risk/indices.py b/python/risk/indices.py index 053610d9..3aaabcf9 100644 --- a/python/risk/indices.py +++ b/python/risk/indices.py @@ -16,7 +16,7 @@ def get_index_portfolio( include_strategies: Union[str, None] = None, exclude_strategies: Union[str, None] = None, exclude_redcode: Iterable[str] = (), - **kwargs + **kwargs, ): sql_str = ( "SELECT security_id AS redcode, sum(notional) AS notional, maturity " @@ -52,7 +52,8 @@ def get_index_portfolio( for rec in c if rec.redcode not in exclude_redcode ] - portf = Portfolio(trades) + trade_ids = [("", f"{t.index_type}{t.series} {t.tenor}") for t in trades] + portf = Portfolio(trades, trade_ids) portf.mark() return portf |