diff options
Diffstat (limited to 'python/risk/bonds.py')
| -rw-r--r-- | python/risk/bonds.py | 11 |
1 files changed, 6 insertions, 5 deletions
diff --git a/python/risk/bonds.py b/python/risk/bonds.py index 3804638b..ce064051 100644 --- a/python/risk/bonds.py +++ b/python/risk/bonds.py @@ -228,16 +228,17 @@ def get_portfolio(date, conn, asset_class: AssetClass, fund="SERCGMAST"): return df.set_index("cusip") -def crt_risk(date, dawn_conn, engine, model_version="hpi5_ir3_btm", fund="SERCGMAST"): +def crt_risk(date, dawn_conn, crt_engine, fund="SERCGMAST"): df = get_portfolio(date, dawn_conn, AssetClass.CRT, fund) df_model = pd.read_sql_query( "SELECT * from priced_at_market WHERE " - "timestamp BETWEEN %s AND date_add(%s, INTERVAL 1 DAY) " - "AND model_des = %s", - engine, + "timestamp BETWEEN %s AND date_add(%s, INTERVAL 1 DAY) ", + crt_engine, "cusip", - params=(date, date, model_version), + params=(date, date), ) + if any(~df_model["delta.ir"].isna()): + df_model = df_model[~df_model["delta.ir"].isna()] df = df.join(df_model) df["curr_ntl"] = df.notional * df.factor df["hy_equiv"] = ( |