diff options
| -rw-r--r-- | python/risk/portfolio.py | 14 |
1 files changed, 12 insertions, 2 deletions
diff --git a/python/risk/portfolio.py b/python/risk/portfolio.py index 1c7eca0d..5996fbd0 100644 --- a/python/risk/portfolio.py +++ b/python/risk/portfolio.py @@ -16,7 +16,13 @@ from pandas.tseries.offsets import BDay def hy_equiv_trade(value_date, notional): - return CreditIndex("HY", on_the_run("HY", value_date), "5yr", value_date, notional) + return CreditIndex( + "HY", + on_the_run("HY", value_date), + "5yr", + value_date=value_date, + notional=notional, + ) def build_portfolio(position_date, value_date=None, fund="SERCGMAST"): @@ -59,7 +65,11 @@ def build_portfolio(position_date, value_date=None, fund="SERCGMAST"): ("curve_trades", "curve_trades"), ) - syn_portf += curve_portf + nocurve_portf + if not curve_portf: + syn_portf = nocurve_portf + else: + syn_portf += curve_portf + nocurve_portf + # get bond risks: rmbs_pos = subprime_risk(position_date, conn, dbengine("rmbs_model"), fund=fund) crt_pos = crt_risk(position_date, conn, dbengine("crt"), fund=fund) |