1 files changed, 14 insertions, 0 deletions
diff --git a/python/risk/ir.py b/python/risk/ir.py
new file mode 100644
index 00000000..005586d8
--- /dev/null
+++ b/python/risk/ir.py
@@ -0,0 +1,14 @@
+from serenitas.analytics import Portfolio, IRSwaption
+import logging
+
+logger = logging.getLogger(__name__)
+
+
+def get_ir_portfolio(date, conn, fund="SERCGMAST", **kwargs):
+    sql_str = "SELECT * FROM list_ir_swaption_positions(%s, %s)"
+    with conn.cursor() as c:
+        c.execute(sql_str, (date, fund))
+        trades = list(c)
+
+    portf = Portfolio([IRSwaption.from_tradeid(t.deal_id, conn) for t in trades])
+    return portf