diff options
| -rw-r--r-- | python/risk/swaptions.py | 7 | ||||
| -rw-r--r-- | sql/dawn.sql | 9 |
2 files changed, 10 insertions, 6 deletions
diff --git a/python/risk/swaptions.py b/python/risk/swaptions.py index e35ab21b..0b3752c3 100644 --- a/python/risk/swaptions.py +++ b/python/risk/swaptions.py @@ -44,8 +44,8 @@ def get_swaption_portfolio(date, conn, fund="SERCGMAST", portfolio=None, **kwarg def insert_swaption_portfolio(portf, conn, overwrite=True): - columns = ["market_value", "delta", "gamma", "vega", "theta"] - place_holders = sql.SQL(", ").join([sql.Placeholder()] * 7) + columns = ["market_value", "delta", "gamma", "vega", "theta", "hy_equiv"] + place_holders = sql.SQL(", ").join([sql.Placeholder()] * 8) if overwrite: update_str = sql.SQL("DO UPDATE SET {}").format( sql.SQL(", ").join( @@ -58,7 +58,7 @@ def insert_swaption_portfolio(portf, conn, overwrite=True): else: update_str = sql.SQL("DO NOTHING") sql_str = sql.SQL( - "INSERT INTO swaption_marks VALUES({}) " "ON CONFLICT (dealid, date) {} " + "INSERT INTO swaption_marks VALUES({}) ON CONFLICT (dealid, date) {} " ).format(place_holders, update_str) with conn.cursor() as c: for id, trade in portf.items(): @@ -70,6 +70,7 @@ def insert_swaption_portfolio(portf, conn, overwrite=True): trade.gamma, trade.vega, trade.theta, + trade.hy_equiv, ) try: c.execute(sql_str, to_insert) diff --git a/sql/dawn.sql b/sql/dawn.sql index 06b8572d..e8724f34 100644 --- a/sql/dawn.sql +++ b/sql/dawn.sql @@ -1582,7 +1582,8 @@ CREATE OR REPLACE FUNCTION list_swaption_positions_and_risks(IN p_date date, p_f globeop_nav double precision, initial_margin double precision, latest_model_date date, delta double precision, gamma double precision, vega double precision, - theta double precision, index index_type, series smallint, tenor tenor, + theta double precision, hy_equiv double precision,index index_type, + series smallint, tenor tenor, duration double precision, portfolio portfolio, indexfactor float) AS $$ BEGIN RETURN QUERY @@ -1592,7 +1593,7 @@ SELECT DISTINCT ON (a.dealid) a.dealid, a.security_id, c.maturity, a.option_type, a.strike, a.expiration_date, b.market_value, coalesce(endbooknav, base_market_value), f.ia, b.date, b.delta, b.gamma, b.vega, - b.theta, c.index, c.series, c.tenor, d.duration, a.portfolio, c.indexfactor + b.theta, b.hy_equiv, c.index, c.series, c.tenor, d.duration, a.portfolio, c.indexfactor FROM swaptions a LEFT JOIN (SELECT * FROM swaption_marks where date <= p_date) b USING (dealid) LEFT JOIN index_desc c ON a.security_id=redindexcode AND a.maturity=c.maturity @@ -2059,7 +2060,9 @@ CREATE TABLE swaption_marks( market_value float, delta float, gamma float, - vega float) + vega float, + theta float, + hy_equiv float) CREATE TABLE subprime_risk( date date, |