diff options
Diffstat (limited to 'python')
| -rw-r--r-- | python/risk/portfolio.py | 9 |
1 files changed, 4 insertions, 5 deletions
diff --git a/python/risk/portfolio.py b/python/risk/portfolio.py index 589aff3b..c1564395 100644 --- a/python/risk/portfolio.py +++ b/python/risk/portfolio.py @@ -55,21 +55,20 @@ def build_portfolio(position_date, value_date, fund="SERCGMAST"): """ Output two portfolios: 1) All synthetic + curve with just delta-proxy + dummy index as cash bonds proxy (portf) - 2) Tranches + Index without Swaption Delta for JTD + 2) Tranches +Swaption + Index for JTD """ Trade.init_ontr(value_date) with dawn_pool.connection() as conn: portf = get_tranche_portfolio(position_date, conn, False, [fund]) - syn_portf = deepcopy(portf) - syn_portf += get_index_portfolio( - position_date, conn, fund, exclude_strategies="%OPTDEL" - ) swaption_portf = get_swaption_portfolio(position_date, conn, fund=fund) swaption_portf.trade_ids = [tid[:-1] for tid in swaption_portf.trade_ids] portf += swaption_portf + syn_portf = deepcopy(portf) + syn_portf += get_index_portfolio(position_date, conn, fund) + curve_portf = get_index_portfolio( position_date, conn, fund, include_strategies="%CURVE" ) |