diff options
Diffstat (limited to 'python')
| -rw-r--r-- | python/risk/portfolio.py | 13 |
1 files changed, 11 insertions, 2 deletions
diff --git a/python/risk/portfolio.py b/python/risk/portfolio.py index 9d87a6a6..1c7eca0d 100644 --- a/python/risk/portfolio.py +++ b/python/risk/portfolio.py @@ -10,7 +10,8 @@ from .swaptions import get_swaption_portfolio from .bonds import subprime_risk, clo_risk, crt_risk from .indices import get_index_portfolio 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 pandas.tseries.offsets import BDay @@ -34,7 +35,6 @@ def build_portfolio(position_date, value_date=None, fund="SERCGMAST"): portf = get_tranche_portfolio(position_date, conn, False, fund) swaption_portf = get_swaption_portfolio(position_date, conn, fund) portf += swaption_portf - syn_portf = deepcopy(portf) curve_portf = get_index_portfolio( position_date, conn, fund, include_strategies="%CURVE" @@ -42,6 +42,15 @@ def build_portfolio(position_date, value_date=None, fund="SERCGMAST"): nocurve_portf = get_index_portfolio( position_date, conn, fund, exclude_strategies="%CURVE" ) + basis_portf = get_index_portfolio( + position_date, conn, fund, include_strategies="%BASIS" + ) + portf.add_trade( + hy_equiv_trade(value_date, -basis_portf.hy_equiv), + ("CASH_BASIS", "negate_basis_trades"), + ) + + syn_portf = deepcopy(portf) portf += nocurve_portf curve_portf.value_date = value_date curve_portf.mark() |