diff options
Diffstat (limited to 'python/risk')
| -rw-r--r-- | python/risk/tranches.py | 44 |
1 files changed, 21 insertions, 23 deletions
diff --git a/python/risk/tranches.py b/python/risk/tranches.py index 93c433f4..ecd4672a 100644 --- a/python/risk/tranches.py +++ b/python/risk/tranches.py @@ -9,38 +9,34 @@ def get_tranche_portfolio(date, conn, by_strat=False, fund="SERCGMAST", **kwargs sql_string = "SELECT * from list_tranche_positions_by_strat(%s, %s)" params = (date, fund) else: - sql_string = ( - "SELECT folder, id from list_cds(%s, %s) " - "WHERE orig_attach IS NOT NULL ORDER BY trade_date" - ) + sql_string = "SELECT * FROM list_cds(%s, %s) WHERE orig_attach IS NOT NULL " params = (date, fund) with conn.cursor() as c: c.execute(sql_string, params) - trade_ids = [tuple(e) for e in c] + trade_ids = list(c) + + portf = Portfolio( + [ + DualCorrTranche( + redcode=t.security_id, + maturity=t.maturity, + notional=t.notional, + tranche_running=t.fixed_rate * 100, + attach=t.orig_attach, + detach=t.orig_detach, + corr_attach=None, + corr_detach=None, + ) + for t in trade_ids + ] + ) if by_strat: - portf = Portfolio( - [ - DualCorrTranche( - redcode=t.security_id, - maturity=t.maturity, - notional=t.notional, - tranche_running=t.fixed_rate * 100, - attach=t.orig_attach, - detach=t.orig_detach, - corr_attach=None, - corr_detach=None, - ) - for t in trade_ids - ] - ) portf.trade_ids = [ (tid.folder, f"{t.index_type} {t.series} {t.tenor} {t.attach}-{t.detach}") for tid, t in zip(trade_ids, portf.trades) ] else: - portf = Portfolio( - [DualCorrTranche.from_tradeid(dealid) for _, dealid in trade_ids], trade_ids - ) + portf.trade_ids = [(t.folder, t.id) for t in trade_ids] portf.value_date = date portf.mark(**kwargs) return portf @@ -50,6 +46,7 @@ def insert_tranche_portfolio(portf, conn): cols = [ "date", "tranche_id", + "notional", "clean_nav", "accrued", "duration", @@ -90,6 +87,7 @@ def insert_tranche_portfolio(portf, conn): ( trade.value_date, trade_id, + trade.notional, trade.clean_pv, trade.accrued, trade.duration, |