diff options
Diffstat (limited to 'python/risk')
| -rw-r--r-- | python/risk/__main__.py | 4 | ||||
| -rw-r--r-- | python/risk/tranches.py | 1 |
2 files changed, 3 insertions, 2 deletions
diff --git a/python/risk/__main__.py b/python/risk/__main__.py index e609221d..dfd61eb7 100644 --- a/python/risk/__main__.py +++ b/python/risk/__main__.py @@ -19,13 +19,13 @@ else: init_ontr(workdate) -# analytics._local = False +analytics._include_todays_cashflows = True mysql_engine = dbengine("rmbs_model") mysqlcrt_engine = dbengine("crt") with dbconn("dawndb") as conn: - portf = get_swaption_portfolio(workdate, conn, source_list=["GS"]) + portf = get_swaption_portfolio(workdate, conn, source_list=["MS"]) insert_swaption_portfolio(portf, conn) for fund in ("SERCGMAST", "BOWDST"): portf = get_tranche_portfolio(workdate, conn, fund=fund) diff --git a/python/risk/tranches.py b/python/risk/tranches.py index 0f4292c4..6c7ea1e4 100644 --- a/python/risk/tranches.py +++ b/python/risk/tranches.py @@ -25,6 +25,7 @@ def get_tranche_portfolio(date, conn, by_strat=False, fund="SERCGMAST", **kwargs detach=t.orig_detach, corr_attach=None, corr_detach=None, + value_date=t.trade_date, ) for t in trade_ids ] |