diff options
Diffstat (limited to 'python')
| -rw-r--r-- | python/pnl_explain.py | 10 | ||||
| -rw-r--r-- | python/reto.py | 10 |
2 files changed, 9 insertions, 11 deletions
diff --git a/python/pnl_explain.py b/python/pnl_explain.py index f5013514..6dec160c 100644 --- a/python/pnl_explain.py +++ b/python/pnl_explain.py @@ -1,7 +1,7 @@ import datetime import pandas as pd -from serenitas.analytics.config import Config +from serenitas.analytics.config import C from serenitas.analytics.dates import bus_day, prev_business_day, next_business_day from serenitas.analytics.utils import get_fx from serenitas.analytics.api import FxForward @@ -37,7 +37,7 @@ def get_index_pv( accrued = 0.0 for t in portf.trades: _, amount = t._fee_leg.cashflows[0] - if not Config.local: + if not C.local: amount *= get_fx(prev_day, t.currency) accrued -= amount * t.notional * t.factor * t.fixed_rate * 1e-4 else: @@ -55,7 +55,7 @@ def get_index_pv( conn.reset() raise e for (fee, curr) in c: - if not Config.local: + if not C.local: fee *= get_fx(prev_day, curr) nav += fee upfronts.append(nav) @@ -441,8 +441,8 @@ if __name__ == "__main__": from serenitas.utils.db import dbconn from itertools import chain - Config.local = False - Config.include_todays_cashflows = True + C.local = False + C.include_todays_cashflows = True dawndb = dbconn("dawndb") parser = argparse.ArgumentParser() diff --git a/python/reto.py b/python/reto.py index 537f1693..2839a4fd 100644 --- a/python/reto.py +++ b/python/reto.py @@ -1,10 +1,5 @@ import pandas as pd import numpy as np -from serenitas.analytics.config import Config - -# need to set this before we import DualCorrTranche -Config.dual_corr_tranche_cache_size = 16384 - from risk.portfolio import build_portfolio, generate_vol_surface @@ -132,6 +127,7 @@ if __name__ == "__main__": import warnings from serenitas.analytics.dates import prev_business_day from serenitas.utils.db2 import dbconn + from serenitas.analytics.config import C parser = argparse.ArgumentParser( description="Shock data/ calculate JTD and insert into DB" @@ -145,7 +141,9 @@ if __name__ == "__main__": parser.add_argument("-n", "--no-upload", action="store_true", help="do not upload") args = parser.parse_args() - Config.local = False + C.local = False + C.dual_corr_tranche_cache_size = 16384 + survival_curves = get_survival_curves(Trade._conn, args.date) conn = dbconn("dawndb") for fund in ( |