diff options
Diffstat (limited to 'python/risk')
| -rw-r--r-- | python/risk/tranches.py | 8 |
1 files changed, 6 insertions, 2 deletions
diff --git a/python/risk/tranches.py b/python/risk/tranches.py index 540a1689..8c41b523 100644 --- a/python/risk/tranches.py +++ b/python/risk/tranches.py @@ -72,20 +72,24 @@ def insert_tranche_portfolio(portf, conn): " ON CONFLICT (date, tranche_id) DO UPDATE " f"SET {update_str}" ) + with conn.cursor() as c: for (strat, trade_id), trade in portf.items(): logger.info(f"marking tranche {trade_id} in {strat}") try: theta = trade.theta(method="TLP") except ValueError: - theta = None + theta = ( + trade.pv / trade.notional / trade.duration + + trade.tranche_running * 1e-4 + ) c.execute( sql_str, ( trade.value_date, trade_id, trade.clean_pv, - -trade._accrued * trade.notional, + -trade._accrued * trade.notional * trade.tranche_factor, trade.duration, trade.delta, trade.gamma, |