diff options
Diffstat (limited to 'python/position_file_bowdst.py')
| -rw-r--r-- | python/position_file_bowdst.py | 15 |
1 files changed, 7 insertions, 8 deletions
diff --git a/python/position_file_bowdst.py b/python/position_file_bowdst.py index 269ee8fd..100f9627 100644 --- a/python/position_file_bowdst.py +++ b/python/position_file_bowdst.py @@ -8,6 +8,13 @@ from pandas.tseries.offsets import MonthEnd from serenitas.utils.exchange import ExchangeMessage, FileAttachment from csv_headers.globeop_upload import POSITION_HEADERS +_otc_queries = { + "Tranche": "SELECT trb.trade_id, trb.serenitas_clean_nav + trb.serenitas_accrued as mtm, trb.notional * trb.tranche_factor as active_notional, cds.* FROM tranche_risk_bowdst trb left join cds on trade_id=id WHERE date=%s", + "CDXSwaption": "SELECT abs(spr.notional) AS active_notional, spr.serenitas_nav as nav, swaptions.*, index_version_markit.annexdate FROM list_swaption_positions_and_risks(%s, 'BOWDST') spr LEFT JOIN swaptions ON deal_id=dealid LEFT JOIN index_version_markit ON swaptions.security_id=redindexcode;", + "IRSwaption": "SELECT abs(spr.notional) AS active_notional, spr.nav, swaptions.*, index_version_markit.effectivedate FROM list_ir_swaption_positions(%s, 'BOWDST') spr LEFT JOIN swaptions ON deal_id=dealid LEFT JOIN index_version_markit ON swaptions.security_id=redindexcode;", + "CDX": "SELECT cds.*, ivm.effectivedate FROM list_cds_marks(%s, null, 'BOWDST') cds LEFT JOIN index_version_markit ivm ON security_id=redindexcode;", +} + def build_line(obj, asset_type): return [obj.get(h, None) for h in POSITION_HEADERS[asset_type]] @@ -166,14 +173,6 @@ def _otc_serialize(obj, product_type, date): return obj -_otc_queries = { - "Tranche": "SELECT trb.trade_id, trb.serenitas_clean_nav + trb.serenitas_accrued as mtm, trb.notional * trb.tranche_factor as active_notional, cds.* FROM tranche_risk_bowdst trb left join cds on trade_id=id WHERE date=%s", - "CDXSwaption": "SELECT abs(spr.notional) AS active_notional, spr.serenitas_nav as nav, swaptions.*, index_version_markit.annexdate FROM list_swaption_positions_and_risks(%s, 'BOWDST') spr LEFT JOIN swaptions ON deal_id=dealid LEFT JOIN index_version_markit ON swaptions.security_id=redindexcode;", - "IRSwaption": "SELECT abs(spr.notional) AS active_notional, spr.nav, swaptions.*, index_version_markit.effectivedate FROM list_ir_swaption_positions(%s, 'BOWDST') spr LEFT JOIN swaptions ON deal_id=dealid LEFT JOIN index_version_markit ON swaptions.security_id=redindexcode;", - "CDX": "SELECT cds.*, ivm.effectivedate FROM list_cds_marks(%s, null, 'BOWDST') cds LEFT JOIN index_version_markit ivm ON security_id=redindexcode;", -} - - def positions_otc(conn, date): with conn.cursor() as c: for product_type, sql_query in _otc_queries.items(): |