1 files changed, 0 insertions, 51 deletions
diff --git a/python/risk/ir.py b/python/risk/ir.py
deleted file mode 100644
index 0cc68c89..00000000
--- a/python/risk/ir.py
+++ /dev/null
@@ -1,51 +0,0 @@
-import logging
-from psycopg import sql
-
-logger = logging.getLogger(__name__)
-
-
-def insert_ir_portfolio(portf, conn):
-    cols = [
-        "date",
-        "swpt_id",
-        "notional",
-        "pv",
-        "vol",
-        "vol_type",
-        "DV01",
-        "IRGamma1bp",
-        "vega",
-    ]
-    sql_str = sql.SQL(
-        "INSERT INTO ir_swaption_risk({columns}) "
-        "VALUES({placeholders}) "
-        " ON CONFLICT (date, swpt_id) DO UPDATE "
-        "SET {update_str}"
-    ).format(
-        columns=sql.SQL(",").join([sql.Identifier(c) for c in cols]),
-        placeholders=sql.SQL(",").join([sql.Placeholder()] * len(cols)),
-        update_str=sql.SQL(",").join(
-            [
-                sql.SQL("{c} = EXCLUDED.{c}").format(c=sql.Identifier(c))
-                for c in cols[2:]
-            ]
-        ),
-    )
-    with conn.cursor() as c:
-        for trade_id, trade in portf.items():
-            logger.info(f"marking IR swaption {trade_id}")
-            c.execute(
-                sql_str,
-                (
-                    trade.value_date,
-                    trade_id,
-                    trade.notional,
-                    trade.pv,
-                    trade.implied_vol,
-                    trade._vol_type.name,
-                    trade.DV01,
-                    trade.IRGamma1bp,
-                    trade.vega,
-                ),
-            )
-    conn.commit()