diff options
| -rw-r--r-- | python/risk/tranches.py | 8 |
1 files changed, 4 insertions, 4 deletions
diff --git a/python/risk/tranches.py b/python/risk/tranches.py index 3afc7e70..22c675c4 100644 --- a/python/risk/tranches.py +++ b/python/risk/tranches.py @@ -35,7 +35,7 @@ def get_tranche_portfolio(date, conn, by_strat=False, fund="SERCGMAST"): portf.mark() return portf -def insert_tranche_marks(portf, conn): +def insert_tranche_risk(portf, conn): cols = ["clean_nav", "accrued", "theta", "duration", "delta", "upfront", "running", "index_refprice", "index_refspread", "index_duration"] @@ -46,10 +46,10 @@ def insert_tranche_marks(portf, conn): with conn.cursor() as c: for trade_id, trade in portf.items(): c.execute(sql_str, (trade.value_date, - trade_id, + trade_id[1], trade.clean_pv, -trade._accrued * trade.notional, - None, + trade.theta(), trade.duration, trade.delta, trade.upfront, @@ -57,7 +57,7 @@ def insert_tranche_marks(portf, conn): 100 - float(trade._index.pv()) * 100, trade._index._snacspread(trade._index.coupon(), trade._index.recovery, - trade._index.maturities[0]) * 10000, + trade.maturity) * 10000, float(trade._index.duration())) ) conn.commit() |