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-rw-r--r--python/risk/__main__.py23
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")]