diff options
Diffstat (limited to 'python')
| -rw-r--r-- | python/risk/portfolio.py | 31 |
1 files changed, 9 insertions, 22 deletions
diff --git a/python/risk/portfolio.py b/python/risk/portfolio.py index c1564395..1f30c15a 100644 --- a/python/risk/portfolio.py +++ b/python/risk/portfolio.py @@ -34,21 +34,7 @@ def gen_bond_proxies(position_date, fund, conn): crt_pos = crt_risk(position_date, conn, fund=fund) with dbconn("etdb") as etconn: clo_pos = clo_risk(position_date, conn, etconn, fund=fund) - - for name, position in zip( - ( - "rmbs_bonds", - "crt_bonds", - "clo_bonds", - ), - ( - rmbs_pos, - crt_pos, - clo_pos, - ), - ): - if isinstance(position, pd.DataFrame): - yield name, -position.get("hy_equiv", np.zeros(1)).sum() + return {"rmbs_bonds": rmbs_pos, "ctd_bonds": crt_pos, "clo_bonds": clo_pos} def build_portfolio(position_date, value_date, fund="SERCGMAST"): @@ -69,12 +55,10 @@ def build_portfolio(position_date, value_date, fund="SERCGMAST"): syn_portf = deepcopy(portf) syn_portf += get_index_portfolio(position_date, conn, fund) - curve_portf = get_index_portfolio( - position_date, conn, fund, include_strategies="%CURVE" - ) nocurve_portf = get_index_portfolio( position_date, conn, fund, exclude_strategies="%CURVE" ) + portf += nocurve_portf basis_portf = get_index_portfolio( position_date, conn, fund, include_strategies="%BASIS" ) @@ -83,17 +67,20 @@ def build_portfolio(position_date, value_date, fund="SERCGMAST"): ("CASH_BASIS", "negate_basis_trades"), ) - portf += nocurve_portf + curve_portf = get_index_portfolio( + position_date, conn, fund, include_strategies="%CURVE" + ) curve_portf.value_date = value_date curve_portf.mark() portf.add_trade( hy_equiv_trade(value_date, curve_portf.hy_equiv), ("curve_trades", "curve_trades"), ) - # Add the bond proxies to the portfolio only - for name, notional in gen_bond_proxies(position_date, fund, conn): - portf.add_trade(hy_equiv_trade(value_date, notional), (name, name)) + for name, pos in gen_bond_proxies(position_date, fund, conn).items(): + portf.add_trade( + hy_equiv_trade(value_date, pos.hy_equiv.sum()), (name, name) + ) for p in [portf, syn_portf]: p.value_date = value_date |