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import logging
from psycopg import sql
logger = logging.getLogger(__name__)
def insert_ir_swap_portfolio(portf, conn):
cols = [
"date",
"swp_id",
"notional",
"pv",
"DV01",
"IRGamma1bp",
]
sql_str = sql.SQL(
"INSERT INTO ir_swap_risk({columns}) "
"VALUES({placeholders}) "
" ON CONFLICT (date, swp_id) DO UPDATE "
"SET {update_str}"
).format(
columns=sql.SQL(",").join([sql.Identifier(c) for c in cols]),
placeholders=sql.SQL(",").join([sql.Placeholder()] * len(cols)),
update_str=sql.SQL(",").join(
[
sql.SQL("{c} = EXCLUDED.{c}").format(c=sql.Identifier(c))
for c in cols[2:]
]
),
)
with conn.cursor() as c:
for trade_id, trade in portf.items():
logger.info(f"marking IR swap {trade_id}")
c.execute(
sql_str,
(
trade.value_date,
trade_id.split("_")[1],
trade.notional,
trade.pv,
trade.DV01,
trade.gamma,
),
)
conn.commit()
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