from serenitas.analytics import Portfolio, IRSwaption import logging logger = logging.getLogger(__name__) def get_ir_portfolio(date, conn, fund="SERCGMAST", **kwargs): sql_str = "SELECT * FROM list_ir_swaption_positions(%s, %s)" with conn.cursor() as c: c.execute(sql_str, (date, fund)) trades = list(c) portf = Portfolio([IRSwaption.from_tradeid(t.deal_id, conn) for t in trades]) return portf