1 files changed, 7 insertions, 23 deletions
diff --git a/python/exploration/VaR.py b/python/exploration/VaR.py
index 09446591..bb64c314 100644
--- a/python/exploration/VaR.py
+++ b/python/exploration/VaR.py
@@ -33,35 +33,19 @@ def hist_var(portf, index_type='IG', quantile=.05, years=5):
     for k, g in returns.groupby(level='date', as_index=False):
         shocks = g.reset_index('date', drop=True).stack('tenor')
         shocks.name = 'shocks'
-        portf.spread = spreads.spread * (1 + spreads.join(shocks).shocks)
-        r.append((k, portf.pnl))
+    portf.spread = spreads.spread * (1 + spreads.join(shocks).shocks)
+    r.append((k, portf.pnl))
     pnl = pd.DataFrame.from_records(r, columns=['date', 'pnl'], index=['date'])
     return pnl.quantile(quantile) * math.sqrt(12)
 
-
-def rel_spread_diff(report_date=datetime.date.today(), index='HY', rolling=10):
-    otr = on_the_run(index)
-    ## look at spreads
-    df = get_index_quotes(index, list(range(otr - rolling, otr + 1)),
-                          tenor=['3yr', '5yr', '7yr', '10yr'], years=5)
-
-    duration = df.duration.xs((report_date, '5yr', otr), level=['date', 'tenor', 'series'])[-1]
-
-    df = df.xs('5yr', level='tenor')['closespread'].groupby(['date']).last()
-    df = df.loc['2013-01-15':report_date]
-    curr_spread = df.iloc[-1]
-    df = df.pct_change(freq='22B').dropna()
-
-    return df.groupby('date').last(), curr_spread, duration
-
-
 def get_pos(report_date, strategy=None):
-    if strategy is None:
-        return pd.read_sql_query("SELECT * from list_cds_marks(%s)",
+
+    df = pd.read_sql_query("SELECT * from list_cds_marks_by_strat(%s)",
                                  dawndb, params=(report_date,))
+    if strategy is None:
+        return df
     else:
-        return pd.read_sql_query("SELECT * from list_cds_marks(%s, %s)",
-                                 dawndb, params=(report_date, strategy))
+        return df[df['strategy'] == strategy]
 
 def cleared_cds_margins(report_date=datetime.date.today()):