diff options
Diffstat (limited to 'python')
| -rw-r--r-- | python/risk/bonds.py | 9 |
1 files changed, 6 insertions, 3 deletions
diff --git a/python/risk/bonds.py b/python/risk/bonds.py index 697e4d72..56069b6a 100644 --- a/python/risk/bonds.py +++ b/python/risk/bonds.py @@ -98,7 +98,7 @@ def subprime_risk(date, conn, engine, model_date=None, fund="SERCGMAST"): df = get_df(model_date, engine, zero_factor=False) df_zero = get_df(model_date, engine, zero_factor=True) df.loc[df_zero.index] = df_zero - df_pos = get_portfolio(date, conn, AssetClass.Subprime, fund).set_index("cusip") + df_pos = get_portfolio(date, conn, AssetClass.Subprime, fund) df_pv = df.xs("pv", axis=1, level=0) df_pv.columns = ["pv1", "pv2", "pv3"] df_pv_perct = df.xs("PV", axis=1, level=0) @@ -225,14 +225,17 @@ def get_portfolio(date, conn, asset_class: AssetClass, fund="SERCGMAST"): c.execute("SELECT identifier, figi FROM securities") figi_map = {identifier: figi for identifier, figi in c.fetchall()} df["figi"] = df["identifier"].replace(figi_map) - return df.set_index("figi") + if asset_class == AssetClass.CLO: + return df.set_index("figi") + else: + return df.set_index("cusip") def crt_risk(date, dawn_conn, crt_engine, fund="SERCGMAST"): hy_ontr = CreditIndex("HY", on_the_run("HY", date), "5yr", date) hy_ontr.mark() yc = YC(evaluation_date=date) - df = get_portfolio(date, dawn_conn, AssetClass.CRT, fund).set_index("cusip") + df = get_portfolio(date, dawn_conn, AssetClass.CRT, fund) scen = { datetime.date(2019, 5, 31): "base", datetime.date(2020, 1, 29): "hpi3_ir3", |