diff options
Diffstat (limited to 'python')
| -rw-r--r-- | python/pnl_explain.py | 9 |
1 files changed, 8 insertions, 1 deletions
diff --git a/python/pnl_explain.py b/python/pnl_explain.py index 5c0c31ab..cb10516d 100644 --- a/python/pnl_explain.py +++ b/python/pnl_explain.py @@ -207,9 +207,13 @@ def get_tranche_pv2( ): start_date = prev_business_day(start_date) df = pd.read_sql_query( - "SELECT date, tranche_id AS id, clean_nav, accrued, folder " + "SELECT date, tranche_id AS id, " + "clean_nav * (CASE WHEN currency='USD' THEN 1. ELSE eurusd END) AS clean_nav, " + "accrued * (CASE WHEN currency='USD' THEN 1. ELSE eurusd END) AS accrued, " + "folder " "FROM tranche_risk " "JOIN cds ON tranche_id=id " + "LEFT JOIN fx USING (date) " "WHERE date BETWEEN %s and %s AND fund=%s", conn, params=(start_date, end_date, fund), @@ -265,7 +269,10 @@ def get_tranche_pv2( parse_dates=["date"], index_col=["date", "id"], ) + # force to float in case of empty dataframe (otherwise it's object) + df_cashflows = df_cashflows.astype("float") df_cashflows = principal.to_frame().add(df_cashflows, fill_value=0.0) + df_cashflows = df_cashflows.fillna(0.0) df_cashflows = df_cashflows.rename(columns={"accrued": "realized_accrued"}) return pd.concat([df, df_cashflows], axis=1).join(strategies).sort_index() |