diff options
| -rw-r--r-- | python/risk/portfolio.py | 10 |
1 files changed, 7 insertions, 3 deletions
diff --git a/python/risk/portfolio.py b/python/risk/portfolio.py index 05386afe..fb863e85 100644 --- a/python/risk/portfolio.py +++ b/python/risk/portfolio.py @@ -43,7 +43,8 @@ def build_portfolio(position_date, value_date=None, fund="SERCGMAST"): curve_portf.value_date = value_date curve_portf.mark() portf.add_trade( - hy_equiv_trade(value_date, curve_portf.hy_equiv), ("", "curve_trades") + hy_equiv_trade(value_date, curve_portf.hy_equiv), + ("curve_trades", "curve_trades"), ) syn_portf += curve_portf + nocurve_portf @@ -57,13 +58,16 @@ def build_portfolio(position_date, value_date=None, fund="SERCGMAST"): rmbs_pos.get("hy_equiv", np.zeros(1)).sum() + crt_pos.get("hy_equiv", np.zeros(1)).sum() ) - portf.add_trade(hy_equiv_trade(value_date, -rmbs_notional), ("", "rmbs_bonds")) + portf.add_trade( + hy_equiv_trade(value_date, -rmbs_notional), ("rmbs_bonds", "rmbs_bonds") + ) with dbconn("etdb") as etconn: clo_pos = clo_risk(position_date, conn, etconn) if clo_pos is not None: portf.add_trade( - hy_equiv_trade(value_date, -clo_pos["hy_equiv"].sum()), ("", "clo_bonds") + hy_equiv_trade(value_date, -clo_pos["hy_equiv"].sum()), + ("clo_bonds", "clo_bonds"), ) for p in [portf, syn_portf]: |