diff options
Diffstat (limited to 'python/risk/tranches.py')
| -rw-r--r-- | python/risk/tranches.py | 4 |
1 files changed, 2 insertions, 2 deletions
diff --git a/python/risk/tranches.py b/python/risk/tranches.py index ae22a735..4647ce0c 100644 --- a/python/risk/tranches.py +++ b/python/risk/tranches.py @@ -59,7 +59,7 @@ def insert_tranche_pnl_explain(portf, conn): prev_day_risk = {rec.tranche_id: rec for rec in c} c.execute( "SELECT cds.id, cds.upfront, cds_delta.upfront AS delta_upfront, " - "cds_delta.notional * (CASE WHEN cds_delta.protection='Buyer' THEN -1.0 ELSE 1.0 END) AS notional, " + "cds_delta.notional * (CASE WHEN cds_delta.protection='Buy' THEN -1.0 ELSE 1.0 END) AS notional, " "cds.currency::text FROM cds " " LEFT JOIN cds AS cds_delta ON cds_delta.id=cds.delta_id " "WHERE cds.trade_date=%s", @@ -68,7 +68,7 @@ def insert_tranche_pnl_explain(portf, conn): daily_trades = {rec.id: rec for rec in c} c.execute( "SELECT terminations.dealid, termination_amount, termination_fee, terminations.currency::text, " - "cds.notional * delta_alloc * (CASE WHEN cds.protection='Buyer' THEN -1.0 ELSE 1.0 END) AS notional, " + "cds.notional * delta_alloc * (CASE WHEN cds.protection='Buy' THEN -1.0 ELSE 1.0 END) AS notional, " "cds.upfront * delta_alloc AS delta_upfront " "FROM terminations LEFT JOIN cds ON cds.id=terminations.delta_id " "WHERE deal_type='CDS' AND termination_date=%s", |