diff options
Diffstat (limited to 'python')
| -rw-r--r-- | python/risk/indices.py | 18 | ||||
| -rw-r--r-- | python/swaption_pnl.py | 7 |
2 files changed, 14 insertions, 11 deletions
diff --git a/python/risk/indices.py b/python/risk/indices.py index 210d8aae..02aabb5e 100644 --- a/python/risk/indices.py +++ b/python/risk/indices.py @@ -5,15 +5,19 @@ from typing import Tuple def get_index_portfolio( - d: datetime.date, strategies: Tuple[str], conn: connection, **kwargs + d: datetime.date, conn: connection, strategies: Tuple[str] = None, **kwargs ): + sql_str = ( + "SELECT security_id AS redcode, notional, maturity " + "FROM list_cds_positions_by_strat(%s) " + ) + params = (d,) + if strategies is not None: + sql_str += "WHERE folder in %s" + params += (strategies,) + with conn.cursor() as c: - c.execute( - "SELECT security_id AS redcode, notional, maturity " - "FROM list_cds_positions_by_strat(%s) " - "WHERE folder in %s", - (d, strategies), - ) + c.execute(sql_str, params) trades = [ CreditIndex( redcode=rec.redcode, diff --git a/python/swaption_pnl.py b/python/swaption_pnl.py index cf0cc653..1510ee90 100644 --- a/python/swaption_pnl.py +++ b/python/swaption_pnl.py @@ -11,8 +11,8 @@ from typing import Tuple def get_index_pv( start_date: datetime.date, end_date: datetime.date, - strategies: Tuple[str], conn: connection, + strategies: Tuple[str] = None, ): dr = pd.bdate_range(start_date, end_date) pvs = [] @@ -28,7 +28,7 @@ def get_index_pv( accrued -= amount * t.notional * t.factor * t.fixed_rate * 1e-4 else: accrued = 0.0 - portf = get_index_portfolio(prev_day, strategies, conn) + portf = get_index_portfolio(prev_day, conn, strategies) nav = 0.0 with conn.cursor() as c: c.execute( @@ -52,7 +52,6 @@ def get_swaption_pv( daily = [] dates = [] for d in dr: - print(d) prev_day = (d - BDay()).date() portf = get_swaption_portfolio(prev_day, conn, source_list=["GS"]) nav = 0.0 @@ -91,7 +90,7 @@ if __name__ == "__main__": parser.add_argument("end_date", type=datetime.datetime.fromisoformat) args = parser.parse_args() df_index = get_index_pv( - args.start_date, args.end_date, ("IGOPTDEL", "HYOPTDEL"), dawndb + args.start_date, args.end_date, dawndb, ("IGOPTDEL", "HYOPTDEL") ) df_swaption = get_swaption_pv(args.start_date, args.end_date, dawndb) pnl_index = df_index.pv.diff() + df_index.daily |