diff options
Diffstat (limited to 'python')
| -rw-r--r-- | python/cds_rebook.py | 8 |
1 files changed, 4 insertions, 4 deletions
diff --git a/python/cds_rebook.py b/python/cds_rebook.py index fa72bf5a..6a50c90d 100644 --- a/python/cds_rebook.py +++ b/python/cds_rebook.py @@ -3,7 +3,7 @@ import datetime import pandas as pd from pandas.tseries.offsets import BDay from psycopg2.extras import execute_values -from pyisda.date import default_accrual, previous_twentieth +from pyisda.date import cds_accrued, default_accrual, previous_twentieth from analytics.index import CreditIndex from copy import copy @@ -25,8 +25,8 @@ def get_outstanding_positions(conn, trade_date, fcm, fund="SERCGMAST"): def indices_to_remark(conn, auction_date: datetime.date, fee, accrual_days): - adj_recovery = 1 - fee + (accrual_days - cds_accrued(auction_date)) * 0.05 / 360 - breakpoint() + 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, " @@ -40,7 +40,7 @@ def indices_to_remark(conn, auction_date: datetime.date, fee, accrual_days): "INSERT into index_quotes_pre(date, index, series, version, " "tenor, close_price, source)" "SELECT date, index, series, version+1, " - "tenor, (%s*close_price - %s)/%s, 'MKIT'" + "tenor, (%s*close_price + %s)/%s, 'MKIT'" "FROM index_quotes_pre " "WHERE index=%s AND series=%s AND version=%s AND date=%s AND source='MKIT'", ( |