diff options
Diffstat (limited to 'python')
| -rw-r--r-- | python/exploration/jtd.py | 22 |
1 files changed, 19 insertions, 3 deletions
diff --git a/python/exploration/jtd.py b/python/exploration/jtd.py index 10fd8422..5a8e3f3b 100644 --- a/python/exploration/jtd.py +++ b/python/exploration/jtd.py @@ -1,11 +1,27 @@ +import sys + +sys.path.append("..") from risk.indices import get_index_portfolio +from risk.tranches import get_tranche_portfolio from serenitas.utils.db import dbconn import datetime +import pandas as pd + month_end = datetime.date(2021, 8, 31) conn = dbconn("dawndb") -portf = get_index_portfolio(month_end, conn, by_strat=False) +## indices +# portf = get_index_portfolio(month_end, conn, by_strat=False) +# d = {} +# for t in portf: +# d[(t.name, t.notional)] = t.jtd_single_names().reset_index(1, drop=True) +# result = pd.concat(d, axis=1, names=["name", "notional"]).sort_index() + +## tranches +portf = get_tranche_portfolio(month_end, conn, by_strat=False) d = {} for t in portf: - d[(t.name, t.notional)] = t.jtd_single_names().reset_index(1, drop=True) -result = pd.concat(d, axis=1, names=["name", "notional"]).sort_index() + d[(f"SCCDS{t.trade_id}", t.product_desc)] = t.jtd_single_names().reset_index( + 1, drop=True + ) +result = pd.concat(d, axis=1, names=["dealid", "product_desc"]).sort_index() |