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Diffstat (limited to 'python/mark_tranches.py')
| -rw-r--r-- | python/mark_tranches.py | 16 |
1 files changed, 0 insertions, 16 deletions
diff --git a/python/mark_tranches.py b/python/mark_tranches.py deleted file mode 100644 index 2c13daf7..00000000 --- a/python/mark_tranches.py +++ /dev/null @@ -1,16 +0,0 @@ -from db import dbconn, dbengine -from analytics import Portfolio, DualCorrTranche -import datetime -import pandas as pd - -sql_string = ("SELECT id, sum(notional * case when protection='Buyer' then -1 else 1 end) " - "OVER (partition by security_id, attach) AS ntl_agg " - "FROM cds WHERE swap_type='CD_INDEX_TRANCHE' AND termination_cp IS NULL") -conn = dbconn('dawndb') -with conn.cursor() as c: - c.execute(sql_string) - trade_ids = [dealid for dealid, ntl in c if ntl != 0] -portf = Portfolio([DualCorrTranche.from_tradeid(dealid) for dealid in trade_ids], - trade_ids) -portf.value_date = datetime.date(2018, 10, 10) -portf.mark() |