diff options
Diffstat (limited to 'python/pnl_explain.py')
| -rw-r--r-- | python/pnl_explain.py | 6 |
1 files changed, 4 insertions, 2 deletions
diff --git a/python/pnl_explain.py b/python/pnl_explain.py index 00a7805b..036bee7e 100644 --- a/python/pnl_explain.py +++ b/python/pnl_explain.py @@ -89,7 +89,7 @@ def get_swaption_pv( "SELECT termination_fee " "FROM terminations JOIN swaptions USING (dealid) " "WHERE termination_date=%s AND dealid LIKE 'SWPTN%%' " - "AND folder !='STEEP' AND fund = %s", + "AND folder NOT IN ('STEEP', 'HEDGE_MAC') AND fund = %s", (prev_day, fund), ) for (fee,) in c: @@ -98,7 +98,9 @@ def get_swaption_pv( with conn.cursor() as c: c.execute( "SELECT notional * price/100 * (CASE WHEN buysell THEN -1. ELSE 1. END) " - "FROM swaptions WHERE trade_date=%s AND folder != 'STEEP' AND fund=%s", + "FROM swaptions WHERE trade_date=%s " + "AND folder NOT IN ('STEEP', 'HEDGE_MAC') " + "AND fund=%s", (prev_day, fund), ) for (fee,) in c: |