diff options
Diffstat (limited to 'python')
| -rw-r--r-- | python/cds_rebook.py | 11 |
1 files changed, 6 insertions, 5 deletions
diff --git a/python/cds_rebook.py b/python/cds_rebook.py index 6a50c90d..ed984c5f 100644 --- a/python/cds_rebook.py +++ b/python/cds_rebook.py @@ -24,9 +24,10 @@ def get_outstanding_positions(conn, trade_date, fcm, fund="SERCGMAST"): yield from c -def indices_to_remark(conn, auction_date: datetime.date, fee, accrual_days): - adj_recovery = 100 * (1 - fee + accrual_days * 0.05/360 - - cds_accrued(auction_date, 0.05)) +def new_version_quotes(conn, auction_date: datetime.date, fee, accrual_days): + adj_recovery = 100 * ( + 1 - fee + accrual_days * 0.05 / 360 - cds_accrued(auction_date, 0.05) + ) with conn.cursor() as c1, conn.cursor() as c2: c1.execute( "SELECT index, series, old.version, old.indexfactor AS oldfactor, " @@ -186,6 +187,6 @@ if __name__ == "__main__": # rebook(conn, datetime.date(2020, 5, 29), 101056, "Senior", "GS", "BOWDST") # JCP # rebook(conn, datetime.date(2020, 6, 9), 101154, "Senior", "BAML") - rebook(conn, datetime.date(2020, 6, 9), 101154, "Senior", "WF") - rebook(conn, datetime.date(2020, 6, 9), 101154, "Senior", "GS", "BOWDST") + # rebook(conn, datetime.date(2020, 6, 9), 101154, "Senior", "WF") + # rebook(conn, datetime.date(2020, 6, 9), 101154, "Senior", "GS", "BOWDST") serenitas_pool.putconn(conn) |