diff options
Diffstat (limited to 'python/risk')
| -rw-r--r-- | python/risk/__main__.py | 3 | ||||
| -rw-r--r-- | python/risk/indices.py | 8 |
2 files changed, 7 insertions, 4 deletions
diff --git a/python/risk/__main__.py b/python/risk/__main__.py index d47a511c..475e5d9f 100644 --- a/python/risk/__main__.py +++ b/python/risk/__main__.py @@ -1,3 +1,4 @@ +import analytics import argparse import pandas as pd from . import dbconn, dbengine @@ -20,7 +21,7 @@ else: init_ontr(workdate) - +analytics._local = False mysql_engine = dbengine("rmbs_model") mysqlcrt_engine = dbengine("crt") diff --git a/python/risk/indices.py b/python/risk/indices.py index 183414ba..81b39f18 100644 --- a/python/risk/indices.py +++ b/python/risk/indices.py @@ -11,7 +11,7 @@ from typing import Tuple, Union def get_index_portfolio( d: datetime.date, conn: connection, - strategies: Tuple[str] = None, + strategies: Union[Tuple[str], None] = None, exclude_redcode=[], **kwargs ): @@ -90,7 +90,9 @@ def VaR(portf: Portfolio, quantile=0.05, years: int = 5, period="monthly"): raise ValueError("period needs to be either 'daily' or 'monthly'") -def insert_curve_risk(d: datetime.date, conn: connection, strategies=("SER_IGCURVE",)): +def insert_curve_risk( + d: datetime.date, conn: connection, strategies: Tuple[str] = ("SER_IGCURVE",) +): sql_str = ( "INSERT INTO curve_risk VALUES(%s, %s, %s, %s) " "ON CONFLICT (date, strategy) DO UPDATE SET " @@ -102,6 +104,6 @@ def insert_curve_risk(d: datetime.date, conn: connection, strategies=("SER_IGCUR for strat in strategies: portf = get_index_portfolio(d, conn, strat, exclude_redcode=["2I65BYDU6"]) var = VaR(portf, period="daily") - strat_name = "*" if len(strat) > 1 else strat + strat_name = "*" if isinstance(strat, tuple) else strat c.execute(sql_str, (d, strat_name, var, "USD")) conn.commit() |