diff options
| -rw-r--r-- | python/cds_rebook.py | 4 | ||||
| -rw-r--r-- | python/populate_tranche_cashflows.py | 2 | ||||
| -rw-r--r-- | python/report_ops/sma.py | 2 | ||||
| -rw-r--r-- | python/risk/tranches.py | 4 |
4 files changed, 5 insertions, 7 deletions
diff --git a/python/cds_rebook.py b/python/cds_rebook.py index 47d76b1d..a85032a8 100644 --- a/python/cds_rebook.py +++ b/python/cds_rebook.py @@ -161,9 +161,7 @@ def rebook(conn, trade_date, company_id, seniority, fcm, fund="SERCGMAST"): "account_code": fcm, } trade_new = copy(trade_old) - trade_new["protection"] = ( - "Seller" if trade_old["protection"] == "Buyer" else "Buyer" - ) + trade_new["protection"] = "Sell" if trade_old["protection"] == "Buy" else "Buy" trade_new["upfront"] = -adj - index_old.pv trade_new["security_id"] = r.redindexcode sql_str = f"INSERT INTO cds({','.join(trade_new.keys())}) VALUES %s" diff --git a/python/populate_tranche_cashflows.py b/python/populate_tranche_cashflows.py index 6638c002..67730f1d 100644 --- a/python/populate_tranche_cashflows.py +++ b/python/populate_tranche_cashflows.py @@ -34,7 +34,7 @@ def insert_tranche_cashflows( (tranche_ids,), ) for r in c: - direction = 1.0 if r.protection == "Buyer" else -1.0 + direction = 1.0 if r.protection == "Buy" else -1.0 notional = r.notional / (r.orig_detach - r.orig_attach) if r.orig_detach == 100: accrued = ( diff --git a/python/report_ops/sma.py b/python/report_ops/sma.py index 764c4a00..22b8d651 100644 --- a/python/report_ops/sma.py +++ b/python/report_ops/sma.py @@ -313,7 +313,7 @@ class TranchePosition(PositionReport, asset_class="tranche"): }, ) d["primebroker"] = "Bilateral" - d["buysell"] = d["protection"] == "Buyer" + d["buysell"] = d["protection"] == "Buy" return cls.from_dict(**d) diff --git a/python/risk/tranches.py b/python/risk/tranches.py index ae22a735..4647ce0c 100644 --- a/python/risk/tranches.py +++ b/python/risk/tranches.py @@ -59,7 +59,7 @@ def insert_tranche_pnl_explain(portf, conn): prev_day_risk = {rec.tranche_id: rec for rec in c} c.execute( "SELECT cds.id, cds.upfront, cds_delta.upfront AS delta_upfront, " - "cds_delta.notional * (CASE WHEN cds_delta.protection='Buyer' THEN -1.0 ELSE 1.0 END) AS notional, " + "cds_delta.notional * (CASE WHEN cds_delta.protection='Buy' THEN -1.0 ELSE 1.0 END) AS notional, " "cds.currency::text FROM cds " " LEFT JOIN cds AS cds_delta ON cds_delta.id=cds.delta_id " "WHERE cds.trade_date=%s", @@ -68,7 +68,7 @@ def insert_tranche_pnl_explain(portf, conn): daily_trades = {rec.id: rec for rec in c} c.execute( "SELECT terminations.dealid, termination_amount, termination_fee, terminations.currency::text, " - "cds.notional * delta_alloc * (CASE WHEN cds.protection='Buyer' THEN -1.0 ELSE 1.0 END) AS notional, " + "cds.notional * delta_alloc * (CASE WHEN cds.protection='Buy' THEN -1.0 ELSE 1.0 END) AS notional, " "cds.upfront * delta_alloc AS delta_upfront " "FROM terminations LEFT JOIN cds ON cds.id=terminations.delta_id " "WHERE deal_type='CDS' AND termination_date=%s", |