diff options
| -rw-r--r-- | python/analytics/utils.py | 36 |
1 files changed, 35 insertions, 1 deletions
diff --git a/python/analytics/utils.py b/python/analytics/utils.py index 8905000c..09145b41 100644 --- a/python/analytics/utils.py +++ b/python/analytics/utils.py @@ -1,12 +1,13 @@ import datetime import numpy as np import pandas as pd +from .exceptions import MissingDataError from scipy.special import h_roots from dateutil.relativedelta import relativedelta, WE from functools import partial, wraps from pyisda.date import pydate_to_TDate from pandas.api.types import CategoricalDtype -from pandas.tseries.offsets import CustomBusinessDay, Day, QuarterBegin +from pandas.tseries.offsets import CustomBusinessDay from pandas.tseries.holiday import get_calendar, HolidayCalendarFactory, GoodFriday fed_cal = get_calendar("USFederalHolidayCalendar") @@ -153,3 +154,36 @@ def memoize(f=None, *, hasher=lambda args: (hash(args),)): return v return cached_f + + +def to_TDate(arr: np.ndarray): + """ convert an array of numpy datetime to TDate""" + return arr.view("int") + 134774 + + +def get_external_nav(engine, trade_id, value_date=None, trade_type="swaption"): + query = ( + "SELECT date, " + "nav, " + "(case when date < settle_date " + "then price * notional/100 * (2 * buysell::integer - 1) " + "else 0." + "end) as upfront FROM external_marks_deriv " + f"LEFT JOIN {trade_type} " + "ON cpty_id = identifier WHERE id=%s " + ) + if value_date: + query += "AND date=%s" + r = engine.execute(query, (trade_id, value_date)) + try: + date, nav, upfront = next(r) + except StopIteration: + raise MissingDataError( + f"No quote available for {trade_type} {trade_id} on {value_date}" + ) + return nav + upfront + else: + query += "ORDER BY DATE" + return pd.read_sql_query( + query, engine, params=(trade_id,), parse_dates=["date"], index_col=["date"] + ) |