diff options
Diffstat (limited to 'python/intex_scenarios.py')
| -rw-r--r-- | python/intex_scenarios.py | 17 |
1 files changed, 13 insertions, 4 deletions
diff --git a/python/intex_scenarios.py b/python/intex_scenarios.py index bc4a64cf..5492bc3d 100644 --- a/python/intex_scenarios.py +++ b/python/intex_scenarios.py @@ -79,6 +79,8 @@ def generate_scenarios(workdate, dealnames, conn, cursor): reinv_assets = get_reinv_assets(dealname)
perct_reinv_assets = convert_reinvtoperct(reinv_assets)
basedir = os.path.join(common.root, "Scenarios", "Intex curves_" + workdate)
+ with open(os.path.join(basedir, "csv", dealname + "-rollingmat"), "rb") as fh:
+ rollingmat = fh.readline().rstrip()
floatreinvprices = []
fixedreinvprices = []
try:
@@ -120,18 +122,25 @@ def generate_scenarios(workdate, dealnames, conn, cursor): if reinvflag:
if pattern11.match(line):
line = re.sub(pattern11, r"\1{0}\2", line).format(dealname.upper())
+
if reinv_assets["REINV_TBA1"] == "Float":
- line = line + "COUP_SPR=2.5|AMORT=Bullet|USE_REINVEST_PIP=1|MAT_DATE=84|"
+ coupon = 2.5
elif reinv_assets["REINV_TBA1"] == "Fixed":
- line = line + "COUP_SPR=7|AMORT=Bullet|USE_REINVEST_PIP=1|MAT_DATE=84|"
+ coupon = 7
+ line = line + \
+ "COUP_SPR={0}|AMORT=Bullet|USE_REINVEST_PIP=1|MAT_DATE={1}|".format(coupon,
+ rollingmat)
fh2.write(line + "\r\n")
continue
if pattern12.match(line):
line = re.sub(pattern12, r"\1{0}\2", line).format(dealname.upper())
if reinv_assets["REINV_TBA2"] == "Float":
- line = line + "COUP_SPR=2.5|AMORT=Bullet|USE_REINVEST_PIP=1|MAT_DATE=84|"
+ coupon = 2.5
elif reinv_assets["REINV_TBA2"] == "Fixed":
- line = line + "COUP_SPR=7|AMORT=Bullet|USE_REINVEST_PIP=1|MAT_DATE=84|"
+ coupon = 7
+ line = line + \
+ "COUP_SPR={0}|AMORT=Bullet|USE_REINVEST_PIP=1|MAT_DATE={1}|".format(coupon,
+ rollingmat)
fh2.write(line + "\r\n")
continue
if pattern2.match(line):
|