diff options
| -rw-r--r-- | python/risk/tranches.py | 18 |
1 files changed, 9 insertions, 9 deletions
diff --git a/python/risk/tranches.py b/python/risk/tranches.py index 2e7d1059..3afc7e70 100644 --- a/python/risk/tranches.py +++ b/python/risk/tranches.py @@ -17,17 +17,17 @@ def get_tranche_portfolio(date, conn, by_strat=False, fund="SERCGMAST"): c.execute(sql_string, params) trade_ids = list(c) if by_strat: - portf = Portfolio([DualCorrTranche(redcode=d['security_id'], - maturity=d['maturity'], - notional=d['notional'], - tranche_running=d['fixed_rate']*100, - attach=d['orig_attach'], - detach=d['orig_detach'], + portf = Portfolio([DualCorrTranche(redcode=t.security_id, + maturity=t.maturity, + notional=t.notional, + tranche_running=t.fixed_rate*100, + attach=t.orig_attach, + detach=t.orig_detach, corr_attach=None, corr_detach=None) - for d in trade_ids]) - portf.trade_ids = [(d["folder"], + for t in trade_ids]) + portf.trade_ids = [(tid.folder, f"{t.index_type} {t.series} {t.tenor} {t.attach}-{t.detach}") - for d, t in zip(trade_ids, portf.trades)] + for tid, t in zip(trade_ids, portf.trades)] else: portf = Portfolio([DualCorrTranche.from_tradeid(dealid) for _, dealid in trade_ids], trade_ids) |