diff options
Diffstat (limited to 'python/risk/indices.py')
| -rw-r--r-- | python/risk/indices.py | 32 |
1 files changed, 18 insertions, 14 deletions
diff --git a/python/risk/indices.py b/python/risk/indices.py index 3c074df7..183414ba 100644 --- a/python/risk/indices.py +++ b/python/risk/indices.py @@ -16,14 +16,17 @@ def get_index_portfolio( **kwargs ): sql_str = ( - "SELECT security_id AS redcode, notional, maturity " + "SELECT security_id AS redcode, sum(notional) AS notional, maturity " "FROM list_cds_positions_by_strat(%s) " ) params = (d,) if strategies is not None: - sql_str += "WHERE folder in %s" + if isinstance(strategies, tuple): + sql_str += "WHERE folder in %s" + else: + sql_str += "WHERE folder = %s" params += (strategies,) - + sql_str += "GROUP BY security_id, maturity" with conn.cursor() as c: c.execute(sql_str, params) trades = [ @@ -36,15 +39,18 @@ def get_index_portfolio( for rec in c if rec.redcode not in exclude_redcode ] - portf = Portfolio(trades) - portf.mark() + portf = Portfolio(trades) + portf.mark() return portf def VaR(portf: Portfolio, quantile=0.05, years: int = 5, period="monthly"): index_types = tuple(set(t.index_type for t in portf)) df = index_returns( - index=index_types, years=years, tenor=["3yr", "5yr", "7yr", "10yr"] + index=index_types, + years=years, + end_date=portf.value_date, + tenor=["3yr", "5yr", "7yr", "10yr"], ) df = df.reorder_levels(["date", "index", "series", "tenor"]) returns = df.spread_return.dropna().reset_index("series") @@ -74,7 +80,7 @@ def VaR(portf: Portfolio, quantile=0.05, years: int = 5, period="monthly"): shocks = g.reset_index("date", drop=True).stack(["tenor"]) shocks.name = "shocks" portf.spread = spreads.spread * (1 + spreads.join(shocks).shocks).values - r.append((k, portf.local_pnl)) + r.append((k, portf.pnl)) pnl = pd.DataFrame.from_records(r, columns=["date", "pnl"], index=["date"]) if period == "daily": return float(pnl.quantile(quantile)) @@ -90,14 +96,12 @@ def insert_curve_risk(d: datetime.date, conn: connection, strategies=("SER_IGCUR "ON CONFLICT (date, strategy) DO UPDATE SET " '"VaR"=excluded."VaR", currency=excluded.currency' ) + # add a portfolio with all strategies + strategies = (*strategies, strategies) with conn.cursor() as c: for strat in strategies: - portf = get_index_portfolio( - d, conn, (strat,), exclude_redcode=["2I65BYDU6"] - ) + portf = get_index_portfolio(d, conn, strat, exclude_redcode=["2I65BYDU6"]) var = VaR(portf, period="daily") - c.execute(sql_str, (d, strat, var, "USD")) - portf = get_index_portfolio(d, conn, strategies, exclude_redcode=["2I65BYDU6"]) - var = VaR(portf, period="daily") - c.execute(sql_str, (d, "*", var, "USD")) + strat_name = "*" if len(strat) > 1 else strat + c.execute(sql_str, (d, strat_name, var, "USD")) conn.commit() |