1 files changed, 36 insertions, 0 deletions
diff --git a/python/risk/indices.py b/python/risk/indices.py
index 1d4f338d..267e0181 100644
--- a/python/risk/indices.py
+++ b/python/risk/indices.py
@@ -143,3 +143,39 @@ def insert_curve_risk(
                 strat_name = "*" if isinstance(strat, tuple) else strat
                 c.execute(sql_str, (d, strat_name, var, "USD", fund))
     conn.commit()
+
+
+def insert_index_risk(d: datetime.date, conn: Connection, fund: str = "SERCGMAST"):
+    df = pd.read_sql_query(
+        "SELECT * FROM list_cds_positions_by_strat(%s, %s)",
+        conn,
+        params=(d, "SERCGMAST"),
+    )
+    to_insert = []
+    for t in df.itertuples(index=False):
+        ind = CreditIndex(
+            redcode=t.security_id,
+            maturity=t.maturity,
+            notional=t.notional,
+            value_date=d,
+        )
+        ind.mark()
+        to_insert.append(
+            (
+                d,
+                fund,
+                t.security_id,
+                t.maturity,
+                t.folder,
+                t.notional,
+                ind.factor,
+                ind.hy_equiv,
+            )
+        )
+        with conn.cursor() as c:
+            c.executemany(
+                "INSERT INTO index_risk VALUES (%s, %s, %s, %s, %s, %s, %s, %s) "
+                "ON CONFLICT (date, fund, security_id, maturity, folder) DO UPDATE "
+                "SET notional=EXCLUDED.notional, index_factor=EXCLUDED.index_factor, hy_equiv=EXCLUDED.hy_equiv",
+                to_insert,
+            )