1 files changed, 51 insertions, 0 deletions
diff --git a/python/risk/ir_swaption.py b/python/risk/ir_swaption.py
new file mode 100644
index 00000000..668fd8f6
--- /dev/null
+++ b/python/risk/ir_swaption.py
@@ -0,0 +1,51 @@
+import logging
+from psycopg import sql
+
+logger = logging.getLogger(__name__)
+
+
+def insert_ir_swaption_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()