diff options
Diffstat (limited to 'python/risk')
| -rw-r--r-- | python/risk/forwards.py | 6 | ||||
| -rw-r--r-- | python/risk/trs.py | 15 |
2 files changed, 18 insertions, 3 deletions
diff --git a/python/risk/forwards.py b/python/risk/forwards.py index 727551b6..9630127e 100644 --- a/python/risk/forwards.py +++ b/python/risk/forwards.py @@ -1,13 +1,13 @@ -from serenitas.analytics import Portfolio, FxForward +from serenitas.analytics.api import Portfolio, FxForward import logging logger = logging.getLogger(__name__) def get_forward_portfolio(date, conn, fund="SERCGMAST", **kwargs): - sql_str = "SELECT dealid FROM spots where settle_date > %s and fund = %s" + sql_str = "SELECT dealid FROM forwards WHERE settle_date > %s AND trade_date <= %s AND fund = %s" with conn.cursor() as c: - c.execute(sql_str, (date, fund)) + c.execute(sql_str, (date, date, fund)) trade_ids = [tid for (tid,) in c] portf = Portfolio([FxForward.from_tradeid(tid) for tid in trade_ids], trade_ids) diff --git a/python/risk/trs.py b/python/risk/trs.py new file mode 100644 index 00000000..59b9ee35 --- /dev/null +++ b/python/risk/trs.py @@ -0,0 +1,15 @@ +from serenitas.analytics.api import Portfolio, TRS +import logging + +logger = logging.getLogger(__name__) + + +def get_trs_portfolio(date, conn, fund="SERCGMAST", **kwargs): + sql_str = "SELECT dealid FROM trs WHERE trade_date <= %s AND maturity_date > %s AND fund = %s" + with conn.cursor() as c: + c.execute(sql_str, (date, fund)) + trade_ids = [tid for (tid,) in c] + + portf = Portfolio([TRS.from_tradeid(tid) for tid in trade_ids], trade_ids) + portf.value_date = date + return portf |