diff options
Diffstat (limited to 'python')
| -rw-r--r-- | python/citco_ce_tranche.py | 12 |
1 files changed, 1 insertions, 11 deletions
diff --git a/python/citco_ce_tranche.py b/python/citco_ce_tranche.py index f8bdfff1..be6ca373 100644 --- a/python/citco_ce_tranche.py +++ b/python/citco_ce_tranche.py @@ -4,17 +4,7 @@ from serenitas.utils.db import dbconn from serenitas.ops.trade_dataclasses import CDSDeal from serenitas.ops.funds import Service - -def calculate_attach_detach(redcode, orig_attach, orig_detach, conn): - with conn.cursor() as c: - c.execute( - "SELECT indexfactor, cumulativeloss FROM index_factors WHERE redindexcode=%s", - (redcode,), - ) - (factor, cumulativeloss) = c.fetchone() - detach = factor * min(max((orig_detach - cumulativeloss) / factor, 0), 1) - attach = factor * min(max((orig_attach - cumulativeloss) / factor, 0.0), 1.0) - return attach, detach +from globeop_ce_tranche import calculate_attach_detach def upload_citco_products(index, affected_series, fund, event_date, conn, event_name): |