diff options
Diffstat (limited to 'python/risk/indices.py')
| -rw-r--r-- | python/risk/indices.py | 10 |
1 files changed, 5 insertions, 5 deletions
diff --git a/python/risk/indices.py b/python/risk/indices.py index ef97d306..60f6da3e 100644 --- a/python/risk/indices.py +++ b/python/risk/indices.py @@ -1,10 +1,10 @@ import datetime import logging import pandas as pd -from serenitas.analytics import on_the_run, Portfolio, CreditIndex -from serenitas.analytics.index_data import index_returns +from serenitas.analytics.api import Portfolio, CreditIndex +from serenitas.analytics.index_data import on_the_run, index_returns from math import sqrt -from psycopg2.extensions import connection +from psycopg import Connection from typing import Iterable, Tuple, Union logger = logging.getLogger(__name__) @@ -12,7 +12,7 @@ logger = logging.getLogger(__name__) def get_index_portfolio( d: datetime.date, - conn: connection, + conn: Connection, fund: str = "SERCGMAST", strategies: Union[Tuple[str], str] = (), include_strategies: Union[str, None] = None, @@ -121,7 +121,7 @@ def VaR(portf: Portfolio, quantile=0.05, years: int = 5, period="monthly"): def insert_curve_risk( d: datetime.date, - conn: connection, + conn: Connection, fund: str = "SERCGMAST", strategies: Tuple[str] = ("SER_IGCURVE",), ): |