diff options
Diffstat (limited to 'python')
| -rw-r--r-- | python/risk/forwards.py | 15 | ||||
| -rw-r--r-- | python/risk/trs.py | 15 |
2 files changed, 0 insertions, 30 deletions
diff --git a/python/risk/forwards.py b/python/risk/forwards.py deleted file mode 100644 index 9630127e..00000000 --- a/python/risk/forwards.py +++ /dev/null @@ -1,15 +0,0 @@ -from serenitas.analytics.api import Portfolio, FxForward -import logging - -logger = logging.getLogger(__name__) - - -def get_forward_portfolio(date, conn, fund="SERCGMAST", **kwargs): - sql_str = "SELECT dealid FROM forwards WHERE settle_date > %s AND trade_date <= %s AND fund = %s" - with conn.cursor() as c: - c.execute(sql_str, (date, date, fund)) - trade_ids = [tid for (tid,) in c] - - portf = Portfolio([FxForward.from_tradeid(tid) for tid in trade_ids], trade_ids) - portf.value_date = date - return portf diff --git a/python/risk/trs.py b/python/risk/trs.py deleted file mode 100644 index 59b9ee35..00000000 --- a/python/risk/trs.py +++ /dev/null @@ -1,15 +0,0 @@ -from serenitas.analytics.api import Portfolio, TRS -import logging - -logger = logging.getLogger(__name__) - - -def get_trs_portfolio(date, conn, fund="SERCGMAST", **kwargs): - sql_str = "SELECT dealid FROM trs WHERE trade_date <= %s AND maturity_date > %s AND fund = %s" - with conn.cursor() as c: - c.execute(sql_str, (date, fund)) - trade_ids = [tid for (tid,) in c] - - portf = Portfolio([TRS.from_tradeid(tid) for tid in trade_ids], trade_ids) - portf.value_date = date - return portf |