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from analytics import Portfolio, DualCorrTranche
import logging
logger = logging.getLogger(__name__)
def get_tranche_portfolio(date, conn, by_strat=False):
if by_strat:
sql_string = "SELECT * from list_tranche_positions_by_strat(%s)"
else:
sql_string = "SELECT dealid from list_tranche_positions(%s)"
with conn.cursor() as c:
c.execute(sql_string, (date,))
if by_strat:
trade_ids = list(c)
else:
trade_ids = [dealid for dealid, in c]
if by_strat:
portf = Portfolio([DualCorrTranche(redcode=d['security_id'],
maturity=d['maturity'],
notional=d['notional'],
tranche_running=d['fixed_rate']*100,
attach=d['orig_attach'],
detach=d['orig_detach'],
corr_attach=None, corr_detach=None) for d in trade_ids])
portf.trade_ids = [(d["folder"],
f"{t.index_type} {t.series} {t.tenor} {t.attach}-{t.detach}")
for d, t in zip(trade_ids, portf.trades)]
else:
portf = Portfolio([DualCorrTranche.from_tradeid(dealid) for dealid in trade_ids],
trade_ids)
portf.value_date = date
portf.mark()
return portf
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