diff options
Diffstat (limited to 'python')
| -rw-r--r-- | python/calibrate_tranches_BC.py | 3 | ||||
| -rw-r--r-- | python/cds_curve.py | 3 | ||||
| -rw-r--r-- | python/notebooks/swaption_risk.ipynb | 2 | ||||
| -rw-r--r-- | python/risk/__main__.py | 3 | ||||
| -rw-r--r-- | python/trade_dataclasses.py | 10 |
5 files changed, 7 insertions, 14 deletions
diff --git a/python/calibrate_tranches_BC.py b/python/calibrate_tranches_BC.py index 7788e5ae..14902bf8 100644 --- a/python/calibrate_tranches_BC.py +++ b/python/calibrate_tranches_BC.py @@ -36,7 +36,8 @@ def build_sql_str(df, use_markit=False): if __name__ == "__main__": from serenitas.utils import SerenitasFileHandler - from serenitas.utils.db2 import serenitas_pool, NaNtoNone + from serenitas.utils.db2 import NaNtoNone + from serenitas.utils.pool import serenitas_pool from serenitas.utils.env import CONFIG_DIR logger = logging.getLogger("tranche_calib") diff --git a/python/cds_curve.py b/python/cds_curve.py index 7c5b79f3..8c18082e 100644 --- a/python/cds_curve.py +++ b/python/cds_curve.py @@ -7,7 +7,8 @@ import logging import pandas as pd from serenitas.utils import SerenitasFileHandler -from serenitas.utils.db2 import serenitas_pool, NaNtoNone +from serenitas.utils.db2 import NaNtoNone +from serenitas.utils.pool import dawn_pool logger = logging.getLogger(__name__) diff --git a/python/notebooks/swaption_risk.ipynb b/python/notebooks/swaption_risk.ipynb index 399e8cc8..9e4cc89c 100644 --- a/python/notebooks/swaption_risk.ipynb +++ b/python/notebooks/swaption_risk.ipynb @@ -64,7 +64,7 @@ "from risk.swaptions import get_swaption_portfolio\n", "import datetime\n", "from serenitas.analytics.base import Trade\n", - "from serenitas.utils.db2 import dawn_pool\n", + "from serenitas.utils.pool import dawn_pool\n", "value_date = datetime.date.today()\n", "Trade.init_ontr(value_date)" ] diff --git a/python/risk/__main__.py b/python/risk/__main__.py index 2c690ba7..390f68aa 100644 --- a/python/risk/__main__.py +++ b/python/risk/__main__.py @@ -6,7 +6,8 @@ import serenitas.analytics import argparse import datetime from serenitas.utils.db import dbengine -from serenitas.utils.db2 import dawn_pool, dbconn +from serenitas.utils.db2 import dbconn +from serenitas.utils.pool import dawn_pool from .bonds import subprime_risk, clo_risk, crt_risk, insert_subprime_risk from serenitas.analytics.base import Trade from serenitas.analytics.dates import prev_business_day diff --git a/python/trade_dataclasses.py b/python/trade_dataclasses.py index f80242c6..2396e02e 100644 --- a/python/trade_dataclasses.py +++ b/python/trade_dataclasses.py @@ -8,7 +8,6 @@ from enum import Enum from psycopg.types.numeric import Int2BinaryDumper from psycopg import adapters from serenitas.analytics.dates import next_business_day, previous_twentieth -from serenitas.analytics.index import CreditIndex from serenitas.utils.db2 import dbconn from lru import LRU from psycopg.errors import UniqueViolation @@ -319,15 +318,6 @@ class CDSDeal( def __post_init__(self): self.effective_date = previous_twentieth(self.trade_date) - def credit_index(self): - index = CreditIndex( - redcode=self.security_id, - maturity=self.maturity, - notional=self.notional, - value_date=self.trade_date, - ) - index.direction = self.protection - def to_markit(self): obj = self.serialize("mtm") if obj["Initial Payment"] >= 0: |
