diff options
Diffstat (limited to 'python')
| -rw-r--r-- | python/process_queue.py | 15 |
1 files changed, 15 insertions, 0 deletions
diff --git a/python/process_queue.py b/python/process_queue.py index 503af5bb..e8ddd606 100644 --- a/python/process_queue.py +++ b/python/process_queue.py @@ -760,6 +760,21 @@ def cds_trade_process(conn, session, trade): trade["curr_notional"] = trade["notional"] * tranche_factor else: trade["curr_notional"] = trade["notional"] * factor + if not is_tranche_trade(trade): + index = CreditIndex( + redcode=trade["security_id"], + maturity=trade["maturity"], + notional=trade["notional"], + value_date=trade["trade_date"], + ) + index.ref = trade["ref"] + trade["upfront"] = -index.pv + with conn.cursor() as c: + c.execute( + "UPDATE cds SET upfront=%s WHERE dealid=%s", + (trade["upfront"], trade["dealid"]), + ) + conn.commit() return trade |