1 files changed, 19 insertions, 1 deletions
diff --git a/python/analytics/utils.py b/python/analytics/utils.py
index 09145b41..3d5c0da4 100644
--- a/python/analytics/utils.py
+++ b/python/analytics/utils.py
@@ -1,10 +1,11 @@
 import datetime
 import numpy as np
 import pandas as pd
+from . import dbconn
 from .exceptions import MissingDataError
 from scipy.special import h_roots
 from dateutil.relativedelta import relativedelta, WE
-from functools import partial, wraps
+from functools import partial, wraps, lru_cache
 from pyisda.date import pydate_to_TDate
 from pandas.api.types import CategoricalDtype
 from pandas.tseries.offsets import CustomBusinessDay
@@ -187,3 +188,20 @@ def get_external_nav(engine, trade_id, value_date=None, trade_type="swaption"):
         return pd.read_sql_query(
             query, engine, params=(trade_id,), parse_dates=["date"], index_col=["date"]
         )
+
+
+@lru_cache(32)
+def get_fx(currency: str, value_date: datetime.date):
+    if currency == "USD":
+        return 1.0
+    conn = dbconn("dawndb")
+    with conn.cursor() as c:
+        c.execute("SELECT * FROM fx where date=%s", (value_date,))
+        rec = c.fetchone()
+    r = getattr(rec, currency.lower() + "usd", None)
+    if r is None:
+        raise MissingDataError(
+            f"No {currency.upper()}USD fx rate available for {value_date}"
+        )
+    conn.close()
+    return r