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-rw-r--r--python/position_file_isosel.py62
1 files changed, 31 insertions, 31 deletions
diff --git a/python/position_file_isosel.py b/python/position_file_isosel.py
index 8d592804..22c8fc4e 100644
--- a/python/position_file_isosel.py
+++ b/python/position_file_isosel.py
@@ -123,37 +123,37 @@ def positions_otc(conn, date):
# obj["COB Date"] = date
# obj["Product Type"] = "Futures"
# yield obj
- # c.execute(
- # "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",
- # (date,),
- # )
- # for row in c:
- # obj = row._asdict()
- # obj["Client Name"] = "HEDGEMARK"
- # obj["Fund Name"] = "BOS_PAT_BOWDOIN"
- # obj["Product Type"] = "Credit Index Tranche"
- # obj["TransactionIndicator (Buy/Sell)"] = (
- # "B" if obj["protection"] == "Buyer" else "S"
- # )
- # obj["MTM Currency"] = "USD"
- # obj["COB Date"] = date
- # rename_keys(
- # obj,
- # {
- # "dealid": "Unique Deal ID",
- # "cp_code": "Counterparty",
- # "currency": "DealCurrencyA",
- # "active_notional": "NotionalA",
- # "fixed_rate": "FixedRate",
- # "trade_date": "Start Date",
- # "effective_date": "EffectiveDate",
- # "maturity": "Maturity Date",
- # "security_id": "Underlying (ISIN / CUSP / RED CODES)",
- # "security_desc": "Underlying Desc",
- # "mtm": "MTM Valuation",
- # },
- # )
- # yield obj
+ c.execute(
+ "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_selene trb left join cds on trade_id=id WHERE date=%s",
+ (date,),
+ )
+ for row in c:
+ obj = row._asdict()
+ obj["Client Name"] = "HEDGEMARK"
+ obj["Fund Name"] = "BOS_PAT_BOWDOIN"
+ obj["Product Type"] = "Credit Index Tranche"
+ obj["TransactionIndicator (Buy/Sell)"] = (
+ "B" if obj["protection"] == "Buyer" else "S"
+ )
+ obj["MTM Currency"] = "USD"
+ obj["COB Date"] = date
+ rename_keys(
+ obj,
+ {
+ "dealid": "Unique Deal ID",
+ "cp_code": "Counterparty",
+ "currency": "DealCurrencyA",
+ "active_notional": "NotionalA",
+ "fixed_rate": "FixedRate",
+ "trade_date": "Start Date",
+ "effective_date": "EffectiveDate",
+ "maturity": "Maturity Date",
+ "security_id": "Underlying (ISIN / CUSP / RED CODES)",
+ "security_desc": "Underlying Desc",
+ "mtm": "MTM Valuation",
+ },
+ )
+ yield obj
# c.execute(
# "SELECT abs(spr.notional) AS active_notional, spr.serenitas_nav, swaptions.*, index_version_markit.annexdate FROM list_swaption_positions_and_risks(%s, 'ISOSEL') spr LEFT JOIN swaptions ON deal_id=dealid LEFT JOIN index_version_markit ON swaptions.security_id=redindexcode;",
# (date,),