1 files changed, 28 insertions, 0 deletions
diff --git a/python/risk/indices.py b/python/risk/indices.py
new file mode 100644
index 00000000..210d8aae
--- /dev/null
+++ b/python/risk/indices.py
@@ -0,0 +1,28 @@
+import datetime
+from analytics import Portfolio, CreditIndex
+from psycopg2.extensions import connection
+from typing import Tuple
+
+
+def get_index_portfolio(
+    d: datetime.date, strategies: Tuple[str], conn: connection, **kwargs
+):
+    with conn.cursor() as c:
+        c.execute(
+            "SELECT security_id AS redcode, notional, maturity "
+            "FROM list_cds_positions_by_strat(%s) "
+            "WHERE folder in %s",
+            (d, strategies),
+        )
+        trades = [
+            CreditIndex(
+                redcode=rec.redcode,
+                maturity=rec.maturity,
+                notional=rec.notional,
+                value_date=d,
+            )
+            for rec in c
+        ]
+        portf = Portfolio(trades)
+        portf.mark()
+    return portf