diff options
| -rw-r--r-- | python/risk/tranches.py | 10 | ||||
| -rw-r--r-- | sql/dawn.sql | 5 |
2 files changed, 11 insertions, 4 deletions
diff --git a/python/risk/tranches.py b/python/risk/tranches.py index 22291170..f4391f99 100644 --- a/python/risk/tranches.py +++ b/python/risk/tranches.py @@ -11,8 +11,9 @@ def get_tranche_portfolio(date, conn, by_strat=False, fund="SERCGMAST"): sql_string = ("SELECT folder, id from cds " "WHERE orig_attach IS NOT NULL " "AND (termination_date IS NULL OR termination_date > %s) " - "AND maturity > %s AND fund = %s ORDER BY trade_date") - params = (date, date, fund) + "AND maturity > %s AND trade_date <= %s " + "AND fund = %s ORDER BY trade_date") + params = (date, date, date, fund) with conn.cursor() as c: c.execute(sql_string, params) trade_ids = [tuple(e) for e in c] @@ -49,10 +50,13 @@ def insert_tranche_portfolio(portf, conn): trade_id, trade.clean_pv, -trade._accrued * trade.notional, - trade.theta(method="TLP"), trade.duration, trade.delta, + trade.gamma, + trade.theta(method="TLP"), trade.upfront, + trade.rho[0], + trade.rho[1], trade.tranche_running, 100 - float(trade._index.pv()) * 100, trade._index._snacspread(trade._index.coupon(), diff --git a/sql/dawn.sql b/sql/dawn.sql index 30a95e96..f60c8ed9 100644 --- a/sql/dawn.sql +++ b/sql/dawn.sql @@ -909,11 +909,14 @@ CREATE TABLE tranche_risk( tranche_id integer REFERENCES cds(id), clean_nav float, accrued float, - theta float, duration float, delta float, + gamma float, + theta float, upfront float, running float, + corr_attach float, + corr_detach float, index_refprice float, index_refspread float, index_duration float, |