diff options
Diffstat (limited to 'python')
| -rw-r--r-- | python/risk/bonds.py | 6 |
1 files changed, 3 insertions, 3 deletions
diff --git a/python/risk/bonds.py b/python/risk/bonds.py index da86cfa6..95dc63fe 100644 --- a/python/risk/bonds.py +++ b/python/risk/bonds.py @@ -169,7 +169,7 @@ def subprime_risk(pos_date, conn, engine, model_date=None, fund="SERCGMAST"): def insert_subprime_risk(df, conn): cols = [ - "cusip", + "figi", "pv1", "pv2", "pv3", @@ -204,7 +204,7 @@ def insert_subprime_risk(df, conn): sql_str = ( f"INSERT INTO subprime_risk ({col_names}) " f"VALUES ({','.join(['%s'] * len(cols))}) " - "ON CONFLICT (date, cusip) DO UPDATE " + "ON CONFLICT (date, figi) DO UPDATE " f"SET {update_str}" ) @@ -222,7 +222,7 @@ def get_portfolio(date, conn, asset_class: AssetClass, fund="SERCGMAST"): params=(date, asset_class.name, fund), ) with conn.cursor() as c: - c.execute("SELECT identifier, figi FROM securities WHERE asset_class = 'CLO'") + c.execute("SELECT identifier, figi FROM securities") figi_map = {identifier: figi for identifier, figi in c.fetchall()} df["figi"] = df["identifier"].replace(figi_map) return df.set_index("figi") |