def lookup_driver_asset(driver):
session = Session()
asset = session.query(Asset).filter(Asset.id == driver.asset_id).first()
if hasattr(asset, 'expiry'):
# pre-load asset expiry for Derivative type assets
asset.expiry
session.close()
return asset
def get_forward_rate_assets(discount_curve):
asset_class_id = discount_curve.asset_class_id
max_expiration_date = max((ei.expiry.expiration_date for ei in discount_curve.expiry_impls)) + timedelta(days=180)
session = Session()
assets = session.query(Future)\
.join(Expiry)\
.filter(Future.asset_class_id == asset_class_id)\
.filter(Expiry.expiration_date <= max_expiration_date)\
.filter(Expiry.expiration_date >= datetime.today())\
.options(subqueryload(Future.expiry))\
.order_by(Expiry.expiration_date)\
.all()
session.close()
return assets