diff options
Diffstat (limited to 'python/risk/__main__.py')
| -rw-r--r-- | python/risk/__main__.py | 23 |
1 files changed, 16 insertions, 7 deletions
diff --git a/python/risk/__main__.py b/python/risk/__main__.py index daf4ab27..d2edbd95 100644 --- a/python/risk/__main__.py +++ b/python/risk/__main__.py @@ -4,33 +4,42 @@ import os import pandas as pd from . import dbconn, dbengine from pandas.tseries.offsets import BDay -from .subprime import get_rmbs_portfolio, subprime_risk +from .bonds import subprime_risk, clo_risk, crt_risk from .swaptions import get_swaption_portfolio, insert_swaption_portfolio from .tranches import get_tranche_portfolio, insert_tranche_portfolio from . import SerenitasFileHandler parser = argparse.ArgumentParser() -parser.add_argument('workdate', nargs='?', - type=lambda s: pd.datetime.strptime(s, "%Y-%m-%d").date()), +parser.add_argument( + "workdate", nargs="?", type=lambda s: pd.datetime.strptime(s, "%Y-%m-%d").date() +), args = parser.parse_args() if args.workdate is None: - workdate = (pd.Timestamp.today()-BDay()).date() + workdate = (pd.Timestamp.today() - BDay()).date() else: workdate = args.workdate fh = SerenitasFileHandler("risk.log") -loggers = [logging.getLogger('analytics'), logging.getLogger('risk')] +loggers = [logging.getLogger("analytics"), logging.getLogger("risk")] for logger in loggers: logger.setLevel(logging.INFO) logger.addHandler(fh) -with dbconn('dawndb') as conn: +mysql_engine = dbengine("rmbs_model") +mysqlcrt_engine = dbengine("crt") + +with dbconn("dawndb") as conn: portf = get_swaption_portfolio(workdate, conn, source_list=["GS"]) insert_swaption_portfolio(portf, conn) portf = get_tranche_portfolio(workdate, conn) insert_tranche_portfolio(portf, conn) - #portf = get_rmbs_portfolio(workdate, conn) + +with dbconn("etdb") as etconn, dbconn("dawndb") as dawnconn: + subprime = subprime_risk(workdate, dawnconn, mysql_engine) + clo = clo_risk(workdate, dawnconn, etconn) + crt = crt_risk(workdate, dawnconn, mysqlcrt_engine) + # portf = get_rmbs_portfolio(workdate, conn) # crt_portf = portf[portf.strategy.str.contains("CRT")] # subprime_portf = portf[~portf.strategy.str.contains("CRT")] # subprime_portf_zero = subprime_portf[subprime_portf.identifier.str.endswith("_A")] |
