diff options
Diffstat (limited to 'python/report_ops/sma.py')
| -rw-r--r-- | python/report_ops/sma.py | 28 |
1 files changed, 26 insertions, 2 deletions
diff --git a/python/report_ops/sma.py b/python/report_ops/sma.py index 95e73f62..c147ee4c 100644 --- a/python/report_ops/sma.py +++ b/python/report_ops/sma.py @@ -73,11 +73,35 @@ class SMA: params=(self.date, self.fund, self.date), index_col=["id"], ) - return df_blotter, cds_positions, tranche_positions + swaption_positions = pd.read_sql_query( + "SELECT deal_id, security_id, maturity, notional, option_type, strike, " + "expiration_date, serenitas_nav, globeop_nav, initial_margin FROM " + "list_swaption_positions_and_risks(%s, %s);", + self._conn, + params=(self.date, self.fund), + index_col=["security_id"], + ) + ir_swaption_positions = pd.read_sql_query( + "SELECT deal_id, security_id, maturity, notional, option_type, strike, " + "expiration_date, nav, initial_margin_percentage FROM list_ir_swaption_positions(%s, %s); ", + self._conn, + params=(self.date, self.fund), + index_col=["security_id"], + ) + return ( + df_blotter, + cds_positions, + tranche_positions, + swaption_positions, + ir_swaption_positions, + ) def email_positions(self): attachments = [] - for name, df in zip(("bonds", "cds", "tranches"), (self.get_positions())): + for name, df in zip( + ("bonds", "cds", "tranches", "swaptions", "ir_swaptions"), + (self.get_positions()), + ): buf = StringIO() df.to_csv(buf) attachments.append( |