diff options
Diffstat (limited to 'python/risk')
| -rw-r--r-- | python/risk/bonds.py | 6 |
1 files changed, 3 insertions, 3 deletions
diff --git a/python/risk/bonds.py b/python/risk/bonds.py index d9824798..7cb14c34 100644 --- a/python/risk/bonds.py +++ b/python/risk/bonds.py @@ -135,7 +135,7 @@ def subprime_risk(date, conn, engine, model_date=None, fund="SERCGMAST"): ) df_calc = df_pos.join(df_risk) - yc = YC(evaluation_date=date) + yc = YC(evaluation_date=date, curve_type="OIS") df_calc = df_calc.assign( swap_rate=df_calc.modDur.apply( @@ -227,7 +227,7 @@ def get_portfolio(date, conn, asset_class: AssetClass, fund="SERCGMAST"): def crt_risk(date, dawn_conn, crt_engine, fund="SERCGMAST"): Trade.init_ontr(date) - yc = YC(evaluation_date=date) + yc = YC(evaluation_date=date, curve_type="OIS") df = get_portfolio(date, dawn_conn, AssetClass.CRT, fund) scen = { datetime.date(2019, 5, 31): "base", @@ -282,7 +282,7 @@ def crt_risk(date, dawn_conn, crt_engine, fund="SERCGMAST"): def clo_risk(date, dawn_conn, et_conn, fund="SERCGMAST"): - yc = YC(evaluation_date=date) + yc = YC(evaluation_date=date, curve_type="OIS") df = get_portfolio(date, dawn_conn, AssetClass.CLO, fund) if df.empty: return None |