diff options
Diffstat (limited to 'python/swaption_pnl.py')
| -rw-r--r-- | python/swaption_pnl.py | 5 |
1 files changed, 3 insertions, 2 deletions
diff --git a/python/swaption_pnl.py b/python/swaption_pnl.py index 836cffdb..1f8b994f 100644 --- a/python/swaption_pnl.py +++ b/python/swaption_pnl.py @@ -115,7 +115,8 @@ def get_tranche_pv( with conn.cursor() as c: c.execute( "SELECT upfront " - "FROM cds WHERE trade_date=%s AND swap_type = 'CD_INDEX_TRANCHE'", + "FROM cds WHERE trade_date=%s AND swap_type='CD_INDEX_TRANCHE' " + "AND fund='SERCGMAST'", (prev_day,), ) for (fee,) in c: @@ -169,7 +170,7 @@ if __name__ == "__main__": df_instrument = get_swaption_pv(conn=dawndb, **vars(args)) pnl_index = df_index.pv.diff() + df_index.daily - pnl_instrument = df_instrument.diff() + df_instrument.daily + pnl_instrument = df_instrument.pv.diff() + df_instrument.daily pnl = pd.concat([pnl_index, pnl_instrument], keys=["index", pnl_type], axis=1) print( pd.concat( |