diff options
Diffstat (limited to 'python')
| -rw-r--r-- | python/risk/bonds.py | 12 | ||||
| -rw-r--r-- | python/risk/portfolio.py | 6 |
2 files changed, 9 insertions, 9 deletions
diff --git a/python/risk/bonds.py b/python/risk/bonds.py index ecb720b5..3804638b 100644 --- a/python/risk/bonds.py +++ b/python/risk/bonds.py @@ -82,7 +82,7 @@ def get_df(date, engine, *, zero_factor=False): return df_prices.join(df_percentiles, how="left") -def subprime_risk(pos_date, conn, engine, model_date=None): +def subprime_risk(pos_date, conn, engine, model_date=None, fund="SERCGMAST"): if model_date is None: sql_string = ( "SELECT distinct timestamp::date FROM priced " @@ -95,7 +95,7 @@ def subprime_risk(pos_date, conn, engine, model_date=None): df = get_df(model_date, engine, zero_factor=False) df_zero = get_df(model_date, engine, zero_factor=True) df.loc[df_zero.index] = df_zero - df_pos = get_portfolio(pos_date, conn, AssetClass.Subprime) + df_pos = get_portfolio(pos_date, conn, AssetClass.Subprime, fund) df_pv = df.xs("pv", axis=1, level=0) df_pv.columns = ["pv1", "pv2", "pv3"] df_pv_perct = df.xs("PV", axis=1, level=0) @@ -228,8 +228,8 @@ def get_portfolio(date, conn, asset_class: AssetClass, fund="SERCGMAST"): return df.set_index("cusip") -def crt_risk(date, dawn_conn, engine, model_version="hpi5_ir3_btm"): - df = get_portfolio(date, dawn_conn, AssetClass.CRT) +def crt_risk(date, dawn_conn, engine, model_version="hpi5_ir3_btm", fund="SERCGMAST"): + df = get_portfolio(date, dawn_conn, AssetClass.CRT, fund) df_model = pd.read_sql_query( "SELECT * from priced_at_market WHERE " "timestamp BETWEEN %s AND date_add(%s, INTERVAL 1 DAY) " @@ -251,8 +251,8 @@ def crt_risk(date, dawn_conn, engine, model_version="hpi5_ir3_btm"): return df -def clo_risk(date, dawn_conn, et_conn): - df = get_portfolio(date, dawn_conn, AssetClass.CLO) +def clo_risk(date, dawn_conn, et_conn, fund="SERCGMAST"): + df = get_portfolio(date, dawn_conn, AssetClass.CLO, fund) if df.empty: return None placeholders = ",".join(["%s"] * df.shape[0]) diff --git a/python/risk/portfolio.py b/python/risk/portfolio.py index fb863e85..2f4fb538 100644 --- a/python/risk/portfolio.py +++ b/python/risk/portfolio.py @@ -49,9 +49,9 @@ def build_portfolio(position_date, value_date=None, fund="SERCGMAST"): syn_portf += curve_portf + nocurve_portf # get bond risks: - rmbs_pos = subprime_risk(position_date, conn, dbengine("rmbs_model"),) + rmbs_pos = subprime_risk(position_date, conn, dbengine("rmbs_model"), fund=fund) crt_pos = crt_risk( - position_date, conn, dbengine("crt"), model_version="hpi5_ir3_btm" + position_date, conn, dbengine("crt"), fund=fund, model_version="hpi5_ir3_btm" ) # CRT model version changes with time, need to check rmbs_notional = ( @@ -62,7 +62,7 @@ def build_portfolio(position_date, value_date=None, fund="SERCGMAST"): hy_equiv_trade(value_date, -rmbs_notional), ("rmbs_bonds", "rmbs_bonds") ) with dbconn("etdb") as etconn: - clo_pos = clo_risk(position_date, conn, etconn) + clo_pos = clo_risk(position_date, conn, etconn, fund=fund) if clo_pos is not None: portf.add_trade( |