diff options
Diffstat (limited to 'python/analytics/curve_trades.py')
| -rw-r--r-- | python/analytics/curve_trades.py | 9 |
1 files changed, 5 insertions, 4 deletions
diff --git a/python/analytics/curve_trades.py b/python/analytics/curve_trades.py index 4fd7641e..52589961 100644 --- a/python/analytics/curve_trades.py +++ b/python/analytics/curve_trades.py @@ -247,22 +247,23 @@ def spot_forward(index='IG', series=None, tenors=['3yr', '5yr', '7yr', '10yr']): return df.reset_index().set_index('maturity') -def curve_pos(value_date, index='IG'): +def curve_pos(value_date, index_type='IG'): ''' value_date : :class:`datetime.date` index : string - one of 'IG', 'HY' or 'ITRX' + one of 'IG', 'HY' or 'EU' Returns a Portfolio of curve trades ''' - + if index_type == "EU": + index_type = "ITRX" sql_string = "SELECT index, series, tenor, notional "\ "FROM list_cds_positions(%s, %s) " \ "JOIN index_desc " \ "ON security_id=redindexcode AND " \ "index_desc.maturity=list_cds_positions.maturity" df = pd.read_sql_query(sql_string, dawndb, - params=[value_date, f'SER_{index}CURVE']) + params=[value_date, f'SER_{index_type}CURVE']) portf = Portfolio([Index.from_name(row.index, row.series, row.tenor, value_date, -row.notional) |