3 files changed, 53 insertions, 5 deletions
diff --git a/python/risk/__main__.py b/python/risk/__main__.py
index a486c5f6..d8c956cc 100644
--- a/python/risk/__main__.py
+++ b/python/risk/__main__.py
@@ -10,8 +10,9 @@ from .bonds import subprime_risk, clo_risk, crt_risk, insert_subprime_risk
 from serenitas.analytics.base import Trade
 from serenitas.analytics.dates import prev_business_day
 from .indices import insert_curve_risk
-from .ir import insert_ir_portfolio
-from serenitas.analytics.api import IRSwaption
+from .ir_swap import insert_ir_swap_portfolio
+from .ir_swaption import insert_ir_swaption_portfolio
+from serenitas.analytics.api import IRSwaption, SofrSwap
 from .swaptions import get_swaption_portfolio, insert_swaption_portfolio
 from .tranches import get_tranche_portfolio, insert_tranche_portfolio
 
@@ -47,8 +48,10 @@ with dawn_pool.connection() as conn:
             fund,
             ("SER_IGCURVE", "SER_ITRXCURVE", "XCURVE", "SER_HYCURVE"),
         )
-        ir_portf = IRSwaption.get_portfolio(workdate, fund=fund)
-        insert_ir_portfolio(ir_portf, conn)
+        ir_swaption_portf = IRSwaption.get_portfolio(workdate, fund=fund)
+        insert_ir_swaption_portfolio(ir_swaption_portf, conn)
+        ir_swap_portf = SofrSwap.get_portfolio(workdate, fund=fund)
+        insert_ir_swap_portfolio(ir_swap_portf, conn)
 
 
 with dbconn("etdb") as etconn, dawn_pool.connection() as dawnconn:
diff --git a/python/risk/ir_swap.py b/python/risk/ir_swap.py
new file mode 100644
index 00000000..72691fb7
--- /dev/null
+++ b/python/risk/ir_swap.py
@@ -0,0 +1,45 @@
+import logging
+from psycopg import sql
+
+logger = logging.getLogger(__name__)
+
+
+def insert_ir_swap_portfolio(portf, conn):
+    cols = [
+        "date",
+        "swp_id",
+        "notional",
+        "pv",
+        "DV01",
+        "IRGamma1bp",
+    ]
+    sql_str = sql.SQL(
+        "INSERT INTO ir_swap_risk({columns}) "
+        "VALUES({placeholders}) "
+        " ON CONFLICT (date, swp_id) DO UPDATE "
+        "SET {update_str}"
+    ).format(
+        columns=sql.SQL(",").join([sql.Identifier(c) for c in cols]),
+        placeholders=sql.SQL(",").join([sql.Placeholder()] * len(cols)),
+        update_str=sql.SQL(",").join(
+            [
+                sql.SQL("{c} = EXCLUDED.{c}").format(c=sql.Identifier(c))
+                for c in cols[2:]
+            ]
+        ),
+    )
+    with conn.cursor() as c:
+        for trade_id, trade in portf.items():
+            logger.info(f"marking IR swap {trade_id}")
+            c.execute(
+                sql_str,
+                (
+                    trade.value_date,
+                    trade_id.split("_")[1],
+                    trade.notional,
+                    trade.pv,
+                    trade.DV01,
+                    trade.gamma,
+                ),
+            )
+    conn.commit()
diff --git a/python/risk/ir.py b/python/risk/ir_swaption.py
index 0cc68c89..668fd8f6 100644
--- a/python/risk/ir.py
+++ b/python/risk/ir_swaption.py
@@ -4,7 +4,7 @@ from psycopg import sql
 logger = logging.getLogger(__name__)
 
 
-def insert_ir_portfolio(portf, conn):
+def insert_ir_swaption_portfolio(portf, conn):
     cols = [
         "date",
         "swpt_id",