diff options
Diffstat (limited to 'python/risk/tranches.py')
| -rw-r--r-- | python/risk/tranches.py | 6 |
1 files changed, 4 insertions, 2 deletions
diff --git a/python/risk/tranches.py b/python/risk/tranches.py index f468108f..5f7edb39 100644 --- a/python/risk/tranches.py +++ b/python/risk/tranches.py @@ -38,11 +38,12 @@ def get_tranche_portfolio(date, conn, by_strat=False, fund="SERCGMAST"): def insert_tranche_portfolio(portf, conn): cols = ["clean_nav", "accrued", "duration", "delta", "gamma", - "theta", "upfront", "running", "corr_attach", "corr_detach", + "theta", "tranche_factor", "upfront", "running", + "corr_attach", "corr_detach", "index_refprice", "index_refspread", "index_duration"] update_str = ",".join(f"{c} = EXCLUDED.{c}" for c in cols) - sql_str = (f"INSERT INTO tranche_risk VALUES({','.join(['%s'] * 15)}) " + sql_str = (f"INSERT INTO tranche_risk VALUES({','.join(['%s'] * 16)}) " " ON CONFLICT (date, tranche_id) DO UPDATE " f"SET {update_str}") with conn.cursor() as c: @@ -60,6 +61,7 @@ def insert_tranche_portfolio(portf, conn): trade.delta, trade.gamma, theta, + trade.tranche_factor, trade.upfront, trade.tranche_running, trade.rho[0], |