diff options
Diffstat (limited to 'python/risk')
| -rw-r--r-- | python/risk/bonds.py | 18 |
1 files changed, 8 insertions, 10 deletions
diff --git a/python/risk/bonds.py b/python/risk/bonds.py index c671ed8b..2a8b28c5 100644 --- a/python/risk/bonds.py +++ b/python/risk/bonds.py @@ -244,20 +244,18 @@ def crt_risk(date, dawn_conn, crt_engine, fund="SERCGMAST"): if scen_type is None and date < d: scen_type = s sql_string = ( - "SELECT distinct timestamp FROM priced_at_market " - "where model_des = %s " - "AND timestamp BETWEEN %s AND date_add(%s, INTERVAL 1 DAY) order by timestamp desc" + "SELECT a.* FROM crt.priced_at_market a " + "JOIN (SELECT cusip, MAX(timestamp) timestamp " + "FROM crt.priced_at_market where timestamp between %s " + "AND date_add(%s, INTERVAL 1 DAY) " + "and model_des = %s GROUP BY cusip) b " + "ON a.cusip= b.cusip AND a.timestamp = b.timestamp;" ) - with crt_engine.connect() as c: - r = c.execute(sql_string, (scen_type, date - datetime.timedelta(days=15), date)) - model_date = r.fetchone() - if model_date: - model_date = model_date[0] df_model = pd.read_sql_query( - "SELECT * from priced_at_market WHERE timestamp = %s", + sql_string, crt_engine, "cusip", - params=(model_date,), + params=(date - datetime.timedelta(days=15), date, scen_type), ) if any(~df_model["delta.ir"].isna()): df_model = df_model[~df_model["delta.ir"].isna()] |