diff options
Diffstat (limited to 'python')
| -rw-r--r-- | python/cds_rebook.py | 8 |
1 files changed, 6 insertions, 2 deletions
diff --git a/python/cds_rebook.py b/python/cds_rebook.py index ed984c5f..c65ff7bf 100644 --- a/python/cds_rebook.py +++ b/python/cds_rebook.py @@ -24,9 +24,9 @@ def get_outstanding_positions(conn, trade_date, fcm, fund="SERCGMAST"): yield from c -def new_version_quotes(conn, auction_date: datetime.date, fee, accrual_days): +def new_version_quotes(conn, auction_date: datetime.date, recovery, accrual_days): adj_recovery = 100 * ( - 1 - fee + accrual_days * 0.05 / 360 - cds_accrued(auction_date, 0.05) + recovery + accrual_days * 0.05 / 360 - cds_accrued(auction_date, 0.05) ) with conn.cursor() as c1, conn.cursor() as c2: c1.execute( @@ -189,4 +189,8 @@ if __name__ == "__main__": # rebook(conn, datetime.date(2020, 6, 9), 101154, "Senior", "BAML") # rebook(conn, datetime.date(2020, 6, 9), 101154, "Senior", "WF") # rebook(conn, datetime.date(2020, 6, 9), 101154, "Senior", "GS", "BOWDST") + # HTZ + rebook(conn, datetime.date(2020, 6, 24), 9833831, "Senior", "BAML") + rebook(conn, datetime.date(2020, 6, 24), 9833831, "Senior", "WF") + # rebook(conn, datetime.date(2020, 6, 9), 101154, "Senior", "GS", "BOWDST") serenitas_pool.putconn(conn) |