diff options
Diffstat (limited to 'python/risk/__main__.py')
| -rw-r--r-- | python/risk/__main__.py | 14 |
1 files changed, 10 insertions, 4 deletions
diff --git a/python/risk/__main__.py b/python/risk/__main__.py index 21f73c4b..3ba9f077 100644 --- a/python/risk/__main__.py +++ b/python/risk/__main__.py @@ -14,7 +14,11 @@ from .ir_swap import insert_ir_swap_portfolio from .ir_swaption import insert_ir_swaption_portfolio from serenitas.analytics.api import IRSwaption, SofrSwap from .swaptions import get_swaption_portfolio, insert_swaption_portfolio -from .tranches import get_tranche_portfolio, insert_tranche_portfolio +from .tranches import ( + get_tranche_portfolio, + insert_tranche_risk, + insert_tranche_pnl_explain, +) os.environ["SERENITAS_APP_NAME"] = "risk" @@ -36,10 +40,9 @@ serenitas.analytics._local = False mysql_engine = dbengine("rmbs_model") mysqlcrt_engine = dbengine("crt") +funds = ("SERCGMAST", "BOWDST", "BRINKER", "ISOSEL") with dawn_pool.connection() as conn: - for fund in ("SERCGMAST", "BOWDST", "BRINKER", "ISOSEL"): - portf = get_tranche_portfolio(workdate, conn, fund=fund) - insert_tranche_portfolio(portf, conn) + for fund in funds: insert_curve_risk( workdate, conn, @@ -51,6 +54,9 @@ with dawn_pool.connection() as conn: ir_swap_portf = SofrSwap.get_portfolio(workdate, fund=fund) insert_ir_swap_portfolio(ir_swap_portf, conn) insert_index_risk(workdate, conn, fund) + portf = get_tranche_portfolio(workdate, conn, funds=funds) + insert_tranche_pnl_explain(portf, conn) + insert_tranche_risk(portf, conn) portf = get_swaption_portfolio(workdate, conn, source_list=["MS"]) insert_swaption_portfolio(portf, conn) |