diff options
| -rw-r--r-- | python/swaption_pnl.py | 15 |
1 files changed, 10 insertions, 5 deletions
diff --git a/python/swaption_pnl.py b/python/swaption_pnl.py index 910803b9..b80cbc3c 100644 --- a/python/swaption_pnl.py +++ b/python/swaption_pnl.py @@ -2,6 +2,7 @@ import datetime import pandas as pd from analytics.utils import get_fx from dates import bus_day +from psycopg2.errors import SyntaxError from psycopg2.extensions import connection from risk.swaptions import get_swaption_portfolio from risk.indices import get_index_portfolio @@ -34,11 +35,15 @@ def get_index_pv( portf = get_index_portfolio(prev_day, conn, strategies) nav = 0.0 with conn.cursor() as c: - c.execute( - "SELECT upfront, currency FROM cds WHERE trade_date=%s " - "AND folder in %s", - (prev_day, strategies), - ) + try: + c.execute( + "SELECT upfront, currency FROM cds WHERE trade_date=%s " + "AND folder in %s", + (prev_day, strategies), + ) + except SyntaxError as e: + conn.reset() + raise e for (fee, curr) in c: nav += fee * get_fx(d, curr) daily.append(nav + accrued) |