1 files changed, 40 insertions, 8 deletions
diff --git a/python/risk/tranches.py b/python/risk/tranches.py
index 4b13dc22..76284a36 100644
--- a/python/risk/tranches.py
+++ b/python/risk/tranches.py
@@ -6,22 +6,28 @@ logger = logging.getLogger(__name__)
 def get_tranche_portfolio(date, conn, by_strat=False):
     if by_strat:
         sql_string = "SELECT * from list_tranche_positions_by_strat(%s)"
+        params = (date,)
     else:
-        sql_string = "SELECT dealid from list_tranche_positions(%s)"
+        sql_string = ("SELECT id from cds "
+                      "WHERE orig_attach IS NOT NULL "
+                      "AND (termination_date IS NULL OR termination_date > %s) "
+                      "AND maturity > %s ORDER BY trade_date")
+        params = (date, date)
     with conn.cursor() as c:
-        c.execute(sql_string, (date,))
+        c.execute(sql_string, params)
         if by_strat:
             trade_ids = list(c)
         else:
             trade_ids = [dealid for dealid, in c]
     if by_strat:
         portf = Portfolio([DualCorrTranche(redcode=d['security_id'],
-                                maturity=d['maturity'],
-                                notional=d['notional'],
-                                tranche_running=d['fixed_rate']*100,
-                                attach=d['orig_attach'],
-                                detach=d['orig_detach'],
-                                corr_attach=None, corr_detach=None) for d in trade_ids])
+                                           maturity=d['maturity'],
+                                           notional=d['notional'],
+                                           tranche_running=d['fixed_rate']*100,
+                                           attach=d['orig_attach'],
+                                           detach=d['orig_detach'],
+                                           corr_attach=None, corr_detach=None)
+                           for d in trade_ids])
         portf.trade_ids = [(d["folder"],
                              f"{t.index_type} {t.series} {t.tenor} {t.attach}-{t.detach}")
                             for d, t in zip(trade_ids, portf.trades)]
@@ -31,3 +37,29 @@ def get_tranche_portfolio(date, conn, by_strat=False):
     portf.value_date = date
     portf.mark()
     return portf
+
+def insert_tranche_marks(portf, conn):
+    cols = ["clean_nav", "accrued", "theta", "duration", "delta",
+            "upfront", "running", "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({['%s'] * 12}) "
+               " ON CONFLICT (date, tranche_id) DO UPDATE "
+               f"SET {update_str}")
+    print(sql_str)
+    with conn.cursor() as c:
+        for trade_id, trade in portf.items():
+            c.execute(sql_str, (d,
+                                trade_id,
+                                trade.clean_pv,
+                                trace._accrued,
+                                None,
+                                trade.duration,
+                                trade.upfront,
+                                trade.tranche_upfront,
+                                trade.tranche_running,
+                                trade._indexpv().bond_price * 100,
+                                trade._index.spread(),
+                                trade._index.duration())
+            )
+    conn.commit()