diff options
Diffstat (limited to 'python/risk')
| -rw-r--r-- | python/risk/bonds.py | 16 |
1 files changed, 8 insertions, 8 deletions
diff --git a/python/risk/bonds.py b/python/risk/bonds.py index 2a4e064f..56687aa9 100644 --- a/python/risk/bonds.py +++ b/python/risk/bonds.py @@ -84,13 +84,13 @@ def get_df(date, engine, *, zero_factor=False): return df_prices.join(df_percentiles, how="left") -def subprime_risk(date, conn, engine, date1=None): - if date1 is None: - date1 = date - df = get_df(date1, engine, zero_factor=False) - df_zero = get_df(date1, engine, zero_factor=True) +def subprime_risk(pos_date, conn, engine, model_date=None): + if model_date is None: + model_date = pos_date + df = get_df(model_date, engine, zero_factor=False) + df_zero = get_df(model_date, engine, zero_factor=True) df.loc[df_zero.index] = df_zero - df_pos = get_portfolio(date, conn, AssetClass.Subprime) + df_pos = get_portfolio(pos_date, conn, AssetClass.Subprime) df_pv = df.xs("pv", axis=1, level=0) df_pv.columns = ["pv1", "pv2", "pv3"] df_pv_perct = df.xs("PV", axis=1, level=0) @@ -129,7 +129,7 @@ def subprime_risk(date, conn, engine, date1=None): ) df_calc = df_pos.join(df_risk) - yc = YC(evaluation_date=date) + yc = YC(evaluation_date=pos_date) df_calc = df_calc.assign( bond_yield=df_calc.modDur.apply( lambda x: x if np.isnan(x) else float(yc.zero_rate(x)) @@ -146,7 +146,7 @@ def subprime_risk(date, conn, engine, date1=None): * df_calc.local_market_value / df_calc.pv3 ), - date=date, + date=pos_date, ) df_calc.date = pd.to_datetime(df_calc.date) df_calc.bond_yield += ( |