diff options
Diffstat (limited to 'python')
| -rw-r--r-- | python/analytics/tranche_basket.py | 21 |
1 files changed, 13 insertions, 8 deletions
diff --git a/python/analytics/tranche_basket.py b/python/analytics/tranche_basket.py index b5e5f1af..38114670 100644 --- a/python/analytics/tranche_basket.py +++ b/python/analytics/tranche_basket.py @@ -23,7 +23,7 @@ from .utils import ( run_local, ) from collections import namedtuple -from . import dawn_engine, serenitas_engine, serenitas_pool +from . import dawn_engine, serenitas_pool from copy import deepcopy from dateutil.relativedelta import relativedelta from lru import LRU @@ -150,12 +150,14 @@ class DualCorrTranche: ): if all((redcode, maturity)): - r = serenitas_engine.execute( - "SELECT index, series, tenor FROM index_desc " - "WHERE redindexcode=%s AND maturity = %s", - (redcode, maturity), - ) - index_type, series, tenor = next(r) + conn = serenitas_pool.getconn() + with conn.cursor() as c: + c.execute( + "SELECT index, series, tenor FROM index_desc " + "WHERE redindexcode=%s AND maturity = %s", + (redcode, maturity), + ) + index_type, series, tenor = c.fetchone() self._index = BasketIndex(index_type, series, [tenor], value_date=value_date) self.index_type = index_type @@ -577,7 +579,7 @@ class DualCorrTranche: "WHERE date=%s and index=%s and series=%s and " "tenor=%s and source=%s" ) - conn = serenitas_engine.raw_connection() + conn = serenitas_pool.getconn() with conn.cursor() as c: c.execute( sql_query, @@ -595,6 +597,7 @@ class DualCorrTranche: raise MissingDataError( f"{type(self).__name__}: No market quote for date {self.value_date}" ) + serenitas_pool.putconn(conn) try: self._index.tweak([ref]) except NameError: @@ -619,6 +622,8 @@ class DualCorrTranche: break moneyness_eq = self.K / self.expected_loss() self.rho = self._skew(moneyness_eq) + if self.detach == 100: + self.rho[1] = np.nan def jump_to_default(self, skew): curves = self._index.curves |