diff options
| -rw-r--r-- | python/risk/bonds.py | 8 |
1 files changed, 4 insertions, 4 deletions
diff --git a/python/risk/bonds.py b/python/risk/bonds.py index 9f02a5fd..f78c28ef 100644 --- a/python/risk/bonds.py +++ b/python/risk/bonds.py @@ -4,7 +4,7 @@ from serenitas.analytics.base import Trade import datetime from enum import Enum, auto -from serenitas.analytics.yieldcurve import YC +from serenitas.analytics.yieldcurve import get_curve, jp_to_ql class AssetClass(Enum): @@ -135,7 +135,7 @@ def subprime_risk(date, conn, engine, model_date=None, fund="SERCGMAST"): ) df_calc = df_pos.join(df_risk) - yc = YC(evaluation_date=date, curve_type="OIS") + yc = jp_to_ql(get_curve(date, "USD")) df_calc = df_calc.assign( swap_rate=df_calc.modDur.apply( @@ -227,7 +227,7 @@ def get_portfolio(date, conn, asset_class: AssetClass, fund="SERCGMAST"): def crt_risk(date, dawn_conn, fund="SERCGMAST"): Trade.init_ontr(date) - yc = YC(evaluation_date=date, curve_type="OIS") + yc = jp_to_ql(get_curve(date, "USD")) df = pd.read_sql_query( "SELECT * FROM list_crt_data(%s, %s)", dawn_conn, @@ -255,7 +255,7 @@ def crt_risk(date, dawn_conn, fund="SERCGMAST"): def clo_risk(date, dawn_conn, et_conn, fund="SERCGMAST"): - yc = YC(evaluation_date=date, curve_type="OIS") + yc = jp_to_ql(get_curve(date, "USD")) df = get_portfolio(date, dawn_conn, AssetClass.CLO, fund) if df.empty: return None |