diff options
Diffstat (limited to 'python/recon_bowdst.py')
| -rw-r--r-- | python/recon_bowdst.py | 11 |
1 files changed, 5 insertions, 6 deletions
diff --git a/python/recon_bowdst.py b/python/recon_bowdst.py index ad3a6e29..b06427d0 100644 --- a/python/recon_bowdst.py +++ b/python/recon_bowdst.py @@ -28,12 +28,9 @@ def sums(df): def recon(hierarchy_file, date): df = pd.read_excel(hierarchy_file) - # security_balance = df[df["Asset Type"] == "FIXED INCOME SECURITIES"][ - # "Base Market Value" - # ].sum() bowd_bond_trades = df[df["CUSIP"].notnull()] bond_asset_classes = ["Subprime", "CRT", "CLO"] - + bond_trades_combined = [] for asset in bond_asset_classes: db_bond_trades = pd.read_sql_query( f"select * from risk_positions(%s, %s, 'BOWDST')", @@ -66,6 +63,8 @@ def recon(hierarchy_file, date): }, inplace=True, ) + bond_trades_combined.append(bond_trades) + bond_trades_combined = pd.concat(bond_trades_combined) tranche_trades = pd.read_sql_query( f"select security_desc, maturity, orig_attach, orig_detach, sum(notional * tranche_factor) as db_notional, sum(admin_notional) as admin_notional, sum(serenitas_clean_nav) as db_mv, sum(admin_clean_nav) as admin_mv from tranche_risk_bowdst where date=%s group by security_desc, maturity, orig_attach, orig_detach ;", @@ -85,7 +84,7 @@ def recon(hierarchy_file, date): params=(date,), ) - kinds = [bond_trades, tranche_trades, cdx_trades, cdx_swaption_trades] + kinds = [bond_trades_combined, tranche_trades, cdx_trades, cdx_swaption_trades] names = ["bond_trades", "tranche_trades", "cdx_trades", "cdx_swaption_trades"] message = "" em = ExchangeMessage() @@ -115,6 +114,6 @@ args = parser.parse_args() if __name__ == "__main__": dawndb = dbconn("dawndb") - hierarchy_file = "/home/serenitas/flint/rec.xlsx" + hierarchy_file = "/home/serenitas/flint/april_recon.xls" date = args.end_date recon(hierarchy_file, date) |