1 files changed, 23 insertions, 10 deletions
diff --git a/python/pnl_explain.py b/python/pnl_explain.py
index 7103e36b..45704538 100644
--- a/python/pnl_explain.py
+++ b/python/pnl_explain.py
@@ -7,7 +7,7 @@ from psycopg2.extensions import connection
 from risk.swaptions import get_swaption_portfolio
 from risk.indices import get_index_portfolio
 from risk.tranches import get_tranche_portfolio
-from pyisda.date import previous_twentieth
+from pyisda.date import previous_twentieth, cds_accrued
 from typing import Tuple, Union
 
 
@@ -28,7 +28,7 @@ def get_index_pv(
             accrued = 0.0
             for t in portf.trades:
                 _, amount = t._fee_leg.cashflows[0]
-                amount *= get_fx(d, t.currency)
+                amount *= get_fx(prev_day, t.currency)
                 accrued -= amount * t.notional * t.factor * t.fixed_rate * 1e-4
         else:
             accrued = 0.0
@@ -45,7 +45,7 @@ def get_index_pv(
                 conn.reset()
                 raise e
             for (fee, curr) in c:
-                nav += fee * get_fx(d, curr)
+                nav += fee * get_fx(prev_day, curr)
         daily.append(nav + accrued)
         pvs.append(portf.pv)
         dates.append(prev_day)
@@ -100,31 +100,44 @@ def get_tranche_pv(
     dates = []
     for d in dr:
         prev_day = (d - bus_day).date()
+        if previous_twentieth(d, roll=True) == d.date():
+            amount = cds_accrued(prev_day, 1.0, True)
+            for t in portf.trades:
+                accrued -= (
+                    amount
+                    * get_fx(prev_day, t._index.currency)
+                    * t.notional
+                    * t.tranche_factor
+                    * t.tranche_running
+                    * 1e-4
+                )
+        else:
+            accrued = 0.0
         portf = get_tranche_portfolio(prev_day, conn, **kwargs)
         nav = 0.0
         # add terminations
         with conn.cursor() as c:
             c.execute(
-                "SELECT termination_fee "
+                "SELECT termination_fee, currency "
                 "FROM terminations JOIN cds USING (dealid) "
                 "WHERE termination_date=%s AND dealid LIKE 'SCCDS%%' ",
                 (prev_day,),
             )
-            for (fee,) in c:
-                nav += fee
+            for (fee, currency) in c:
+                nav += fee * get_fx(prev_day, currency)
         # add new trades
         with conn.cursor() as c:
             c.execute(
-                "SELECT upfront "
+                "SELECT upfront, currency "
                 "FROM cds WHERE trade_date=%s AND swap_type='CD_INDEX_TRANCHE' "
                 "AND fund='SERCGMAST'",
                 (prev_day,),
             )
-            for (fee,) in c:
-                nav += fee
+            for (fee, currency) in c:
+                nav += fee * get_fx(prev_day, currency)
         dates.append(prev_day)
         pv.append(portf.pv)
-        daily.append(nav)
+        daily.append(nav + accrued)
     df = pd.DataFrame({"pv": pv, "daily": daily}, index=pd.to_datetime(dates))
     return df