1 files changed, 33 insertions, 2 deletions
diff --git a/python/recon_bowdst.py b/python/recon_bowdst.py
index d295d57f..ff754d47 100644
--- a/python/recon_bowdst.py
+++ b/python/recon_bowdst.py
@@ -7,6 +7,9 @@ from io import StringIO
 from serenitas.utils.env import DAILY_DIR
 from serenitas.utils.db import dbconn, dawn_engine
 import datetime
+from pandas.tseries.offsets import BDay
+import numpy as np
+import pandas_market_calendars as mcal
 
 
 def get_dir(date):
@@ -171,8 +174,26 @@ def recon(hierarchy_file, date):
         params=(date,),
     )
 
-    kinds = [bond_trades_combined, tranche_trades, cdx_trades, cdx_swaption_trades]
-    names = ["bond_trades", "tranche_trades", "cdx_trades", "cdx_swaption_trades"]
+    ir_swaption_trades = pd.read_sql_query(
+        "SELECT deal_id, option_type, strike, SECURITY_Id, expiration_date, notional AS db_notional, current_notional AS admin_notional, nav AS db_mv, base_market_value AS admin_mv FROM list_ir_swaption_positions(%s, 'BOWDST') LEFT JOIN bowdst_val ON deal_id=link_ref WHERE as_of_date=%s;",
+        dawndb,
+        params=(last_bus_day(date), date),
+    )
+
+    kinds = [
+        bond_trades_combined,
+        tranche_trades,
+        cdx_trades,
+        cdx_swaption_trades,
+        ir_swaption_trades,
+    ]
+    names = [
+        "bond_trades",
+        "tranche_trades",
+        "cdx_trades",
+        "cdx_swaption_trades",
+        "ir_swaption_trades",
+    ]
     message = ""
     em = ExchangeMessage()
     attachments = []
@@ -192,6 +213,16 @@ def recon(hierarchy_file, date):
     )
 
 
+def last_bus_day(date):
+    holidays = mcal.get_calendar("NYSE").holidays().holidays
+    if date in holidays:
+        return (date - BDay(1)).date()
+    elif not np.is_busday(date):
+        return (date - BDay(1)).date()
+    else:
+        return date
+
+
 parser = argparse.ArgumentParser()
 parser.add_argument("end_date", type=datetime.date.fromisoformat)
 args = parser.parse_args()