diff options
Diffstat (limited to 'python/risk')
| -rw-r--r-- | python/risk/swaptions.py | 7 |
1 files changed, 4 insertions, 3 deletions
diff --git a/python/risk/swaptions.py b/python/risk/swaptions.py index e35ab21b..0b3752c3 100644 --- a/python/risk/swaptions.py +++ b/python/risk/swaptions.py @@ -44,8 +44,8 @@ def get_swaption_portfolio(date, conn, fund="SERCGMAST", portfolio=None, **kwarg def insert_swaption_portfolio(portf, conn, overwrite=True): - columns = ["market_value", "delta", "gamma", "vega", "theta"] - place_holders = sql.SQL(", ").join([sql.Placeholder()] * 7) + columns = ["market_value", "delta", "gamma", "vega", "theta", "hy_equiv"] + place_holders = sql.SQL(", ").join([sql.Placeholder()] * 8) if overwrite: update_str = sql.SQL("DO UPDATE SET {}").format( sql.SQL(", ").join( @@ -58,7 +58,7 @@ def insert_swaption_portfolio(portf, conn, overwrite=True): else: update_str = sql.SQL("DO NOTHING") sql_str = sql.SQL( - "INSERT INTO swaption_marks VALUES({}) " "ON CONFLICT (dealid, date) {} " + "INSERT INTO swaption_marks VALUES({}) ON CONFLICT (dealid, date) {} " ).format(place_holders, update_str) with conn.cursor() as c: for id, trade in portf.items(): @@ -70,6 +70,7 @@ def insert_swaption_portfolio(portf, conn, overwrite=True): trade.gamma, trade.vega, trade.theta, + trade.hy_equiv, ) try: c.execute(sql_str, to_insert) |