diff options
Diffstat (limited to 'python/risk/__main__.py')
| -rw-r--r-- | python/risk/__main__.py | 11 |
1 files changed, 10 insertions, 1 deletions
diff --git a/python/risk/__main__.py b/python/risk/__main__.py index acc07be3..01e0e052 100644 --- a/python/risk/__main__.py +++ b/python/risk/__main__.py @@ -1,7 +1,8 @@ import argparse import pandas as pd -from db import dbconn +from db import dbconn, dbengine from pandas.tseries.offsets import BDay +from .subprime import get_rmbs_portfolio, subprime_risk from .swaptions import get_swaption_portfolio, insert_swaption_portfolio parser = argparse.ArgumentParser() @@ -12,6 +13,14 @@ if args.workdate is None: workdate = (pd.Timestamp.today()-BDay()).date() else: workdate = args.workdate + with dbconn('dawndb') as conn: portf = get_swaption_portfolio(workdate, conn, source_list=["GS"]) insert_swaption_portfolio(portf, conn) + 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")] + subprime_portf = subprime_portf[~subprime_portf.identifier.str.endswith("_A")] + df = subprime_risk(workdate) + subprime_portf = subprime_portf.join(df) |