diff options
| -rw-r--r-- | python/cds_rebook.py | 11 |
1 files changed, 6 insertions, 5 deletions
diff --git a/python/cds_rebook.py b/python/cds_rebook.py index 165aaccf..fad69c12 100644 --- a/python/cds_rebook.py +++ b/python/cds_rebook.py @@ -19,10 +19,11 @@ def get_outstanding_positions(trade_date, fcm): return r -def default_adjustment(company_id, end_date): +def default_adjustment(company_id, seniority, end_date): r = serenitas_engine.execute( - "SELECT recovery, event_date, auction_date FROM defaulted " "WHERE id=%s", - (company_id,), + "SELECT recovery, event_date, auction_date FROM defaulted WHERE id=%s " + "AND seniority=%s", + (company_id, seniority), ) recovery, event_date, auction_date = next(r) fee = 1 - recovery @@ -41,11 +42,11 @@ PORTFOLIO = { } -def rebook(trade_date, company_id, fcm): +def rebook(trade_date, company_id, seniority, fcm): upfront_settle_date = trade_date + 3 * BDay() effective_date = trade_date + datetime.timedelta(days=1) for r in get_outstanding_positions(trade_date, fcm): - accrual_days, fee = default_adjustment(company_id, r["maturity"]) + accrual_days, fee = default_adjustment(company_id, seniority, r["maturity"]) index_new = CreditIndex( redcode=r["nextredindexcode"], maturity=r["maturity"], |