diff options
Diffstat (limited to 'python/pnl_explain.py')
| -rw-r--r-- | python/pnl_explain.py | 12 |
1 files changed, 8 insertions, 4 deletions
diff --git a/python/pnl_explain.py b/python/pnl_explain.py index c00c2348..a631eeb7 100644 --- a/python/pnl_explain.py +++ b/python/pnl_explain.py @@ -133,7 +133,12 @@ def get_tranche_pv( # we know prev_day is an accrued payment date # we remove one business day so that previous_twentieth actually returns # the previous twentieth - amount = (prev_day - previous_twentieth(prev_day - bus_day)).days / 360 + amount = ( + ( + prev_day + - previous_twentieth(prev_day - bus_day, cal="/usr/share/cds/US") + ).days + ) / 360 accrued = 0.0 for t in portf.trades: accrued -= ( @@ -210,12 +215,11 @@ def get_tranche_pv2( start_date = prev_business_day(start_date) df = pd.read_sql_query( "SELECT date, tranche_id AS id, " - "clean_nav * (CASE WHEN currency='USD' THEN 1. ELSE eurusd END) AS clean_nav, " - "accrued * (CASE WHEN currency='USD' THEN 1. ELSE eurusd END) AS accrued, " + "clean_nav, " + "accrued, " "folder " "FROM tranche_risk " "JOIN cds ON tranche_id=id " - "LEFT JOIN fx USING (date) " "WHERE date BETWEEN %s and %s AND fund=%s", conn, params=(start_date, end_date, fund), |