diff options
Diffstat (limited to 'python/analytics/curve_trades.py')
| -rw-r--r-- | python/analytics/curve_trades.py | 10 |
1 files changed, 4 insertions, 6 deletions
diff --git a/python/analytics/curve_trades.py b/python/analytics/curve_trades.py index b7fc68bc..b1b09c74 100644 --- a/python/analytics/curve_trades.py +++ b/python/analytics/curve_trades.py @@ -170,7 +170,7 @@ def forward_loss(index="IG"): "close_spread*duration / 100 AS indexel " "FROM index_quotes WHERE index=%s AND date >= %s " "ORDER BY date DESC, series ASC, duration ASC", - serenitase_engine, + serenitas_engine, parse_dates=["date"], params=[index, start_date], ) @@ -357,10 +357,8 @@ def curve_shape(value_date, index="IG", percentile=0.95, spread=None): "SELECT closespread FROM index_quotes where index = %s " "and series = %s and tenor = %s and date = %s" ) - spread_df = pd.read_sql_query( - sql_string, serenitas_engine, params=[index, series, "5yr", value_date] - ) - spread = spread_df.iloc[0][0] + r = serenitas_engine.execute(sql_string, (index, series, "5yr", value_date)) + spread = r.fetchone() sql_string = ( "SELECT tenor, maturity FROM index_maturity where index = %s and series = %s" ) @@ -420,7 +418,7 @@ def pos_pnl_abs(portf, value_date, index="IG", rolling=6, years=3): sql_string, serenitas_engine, parse_dates=["maturity"], params=[index, series] ) lookup_table["year_frac"] = ( - lookup_table.maturity - pd.to_datetime(value_date) + lookup_table["maturity"] - pd.to_datetime(value_date) ).dt.days / 365 portf_copy = deepcopy(portf) |