diff options
Diffstat (limited to 'python/mark_swaptions.py')
| -rw-r--r-- | python/mark_swaptions.py | 6 |
1 files changed, 4 insertions, 2 deletions
diff --git a/python/mark_swaptions.py b/python/mark_swaptions.py index d9954974..4db50724 100644 --- a/python/mark_swaptions.py +++ b/python/mark_swaptions.py @@ -15,8 +15,10 @@ logging.basicConfig(filename=os.path.join(os.getenv("LOG_DIR"), def get_swaption_portfolio(date, conn): with conn.cursor() as c: - c.execute("SELECT id, dealid FROM swaptions WHERE termination_date is NULL " - "AND expiration_date > %s AND trade_date <= %s", (date, date)) + c.execute("SELECT id, dealid FROM swaptions " + "WHERE (termination_date is NULL or termination_date > %s) " + "AND expiration_date > %s AND trade_date <= %s " + "AND swap_type='CD_INDEX_OPTION'", (date, date, date)) try: trade_ids, deal_ids = zip(*c) except ValueError: |