1 files changed, 16 insertions, 0 deletions
diff --git a/python/risk/tranches.py b/python/risk/tranches.py
new file mode 100644
index 00000000..2c13daf7
--- /dev/null
+++ b/python/risk/tranches.py
@@ -0,0 +1,16 @@
+from db import dbconn, dbengine
+from analytics import Portfolio, DualCorrTranche
+import datetime
+import pandas as pd
+
+sql_string = ("SELECT id, sum(notional * case when protection='Buyer' then -1 else 1 end) "
+              "OVER (partition by security_id, attach) AS ntl_agg "
+              "FROM cds WHERE swap_type='CD_INDEX_TRANCHE' AND termination_cp IS NULL")
+conn = dbconn('dawndb')
+with conn.cursor() as c:
+    c.execute(sql_string)
+    trade_ids = [dealid for dealid, ntl in c if ntl != 0]
+portf = Portfolio([DualCorrTranche.from_tradeid(dealid) for dealid in trade_ids],
+                  trade_ids)
+portf.value_date = datetime.date(2018, 10, 10)
+portf.mark()