diff options
Diffstat (limited to 'python/populate_tranche_cashflows.py')
| -rw-r--r-- | python/populate_tranche_cashflows.py | 25 |
1 files changed, 21 insertions, 4 deletions
diff --git a/python/populate_tranche_cashflows.py b/python/populate_tranche_cashflows.py index 99080597..a46d169a 100644 --- a/python/populate_tranche_cashflows.py +++ b/python/populate_tranche_cashflows.py @@ -65,7 +65,11 @@ def insert_tranche_accrued(d: datetime.date, dawndb, fund="SERCGMAST"): ( t.cs["payment_dates"][0], t.trade_id, - -t.cs["coupons"][0] * t.tranche_running * t.notional * 1e-4, + -t.cs["coupons"][0] + * t.tranche_running + * t.notional + * t.tranche_factor + * 1e-4, t.currency, ), ) @@ -75,12 +79,25 @@ def insert_tranche_accrued(d: datetime.date, dawndb, fund="SERCGMAST"): if __name__ == "__main__": dawndb = dbconn("dawndb") # conn = serenitas_pool.getconn() - # auction_date = datetime.date(2020, 8, 4) + # auction_date = datetime.date(2022, 6, 7) # severity, acc = get_default_information(auction_date, conn) - # insert_tranche_cashflows(auction_date, severity, acc, (1590, 1413), dawndb) + # insert_tranche_cashflows(auction_date, severity, acc, (3157, + # 3154, + # 3096, + # 3078, + # 3715, + # 3156, + # 3153, + # 3126, + # 3102, + # 3088, + # 3070, + # 3030, + # 2993, + # 3400), dawndb) # serenitas_pool.putconn(conn) import serenitas.analytics serenitas.analytics._include_todays_cashflows = True for fund in ("SERCGMAST", "BOWDST", "BRINKER"): - insert_tranche_accrued(datetime.date(2021, 12, 17), dawndb, fund) + insert_tranche_accrued(datetime.date(2022, 6, 17), dawndb, fund) |