diff options
| -rw-r--r-- | python/pnl_explain.py | 38 | ||||
| -rw-r--r-- | python/risk/indices.py | 7 |
2 files changed, 31 insertions, 14 deletions
diff --git a/python/pnl_explain.py b/python/pnl_explain.py index 45704538..b874c82f 100644 --- a/python/pnl_explain.py +++ b/python/pnl_explain.py @@ -14,6 +14,7 @@ from typing import Tuple, Union def get_index_pv( start_date: datetime.date, end_date: datetime.date, + fund: str, conn: connection, strategies: Union[Tuple[str], None] = None, ): @@ -32,14 +33,14 @@ def get_index_pv( accrued -= amount * t.notional * t.factor * t.fixed_rate * 1e-4 else: accrued = 0.0 - portf = get_index_portfolio(prev_day, conn, strategies) + portf = get_index_portfolio(prev_day, conn, fund, strategies) nav = 0.0 with conn.cursor() as c: try: c.execute( "SELECT upfront, currency FROM cds WHERE trade_date=%s " - "AND folder in %s", - (prev_day, strategies), + "AND folder in %s AND fund=%s", + (prev_day, strategies, fund), ) except SyntaxError as e: conn.reset() @@ -92,7 +93,11 @@ def get_swaption_pv( def get_tranche_pv( - start_date: datetime.date, end_date: datetime.date, conn: connection, **kwargs + start_date: datetime.date, + end_date: datetime.date, + fund: str, + conn: connection, + **kwargs ): dr = pd.bdate_range(start_date, end_date, freq=bus_day) pv = [] @@ -102,6 +107,7 @@ def get_tranche_pv( prev_day = (d - bus_day).date() if previous_twentieth(d, roll=True) == d.date(): amount = cds_accrued(prev_day, 1.0, True) + accrued = 0.0 for t in portf.trades: accrued -= ( amount @@ -113,15 +119,15 @@ def get_tranche_pv( ) else: accrued = 0.0 - portf = get_tranche_portfolio(prev_day, conn, **kwargs) + portf = get_tranche_portfolio(prev_day, conn, fund=fund, **kwargs) nav = 0.0 # add terminations with conn.cursor() as c: c.execute( "SELECT termination_fee, currency " "FROM terminations JOIN cds USING (dealid) " - "WHERE termination_date=%s AND dealid LIKE 'SCCDS%%' ", - (prev_day,), + "WHERE termination_date=%s AND dealid LIKE 'SCCDS%%' AND fund=%s", + (prev_day, fund), ) for (fee, currency) in c: nav += fee * get_fx(prev_day, currency) @@ -130,8 +136,8 @@ def get_tranche_pv( c.execute( "SELECT upfront, currency " "FROM cds WHERE trade_date=%s AND swap_type='CD_INDEX_TRANCHE' " - "AND fund='SERCGMAST'", - (prev_day,), + "AND fund=%s", + (prev_day, fund), ) for (fee, currency) in c: nav += fee * get_fx(prev_day, currency) @@ -143,7 +149,7 @@ def get_tranche_pv( def get_pv(**kwargs): - if (pnl_type := kwargs.pop("pnl_type")) == "swaption": + if kwargs.pop("pnl_type") == "swaption": return get_swaption_pv(**kwargs) else: return get_tranche_pv(**kwargs) @@ -181,6 +187,14 @@ if __name__ == "__main__": dest="pnl_type", help="instrument for which we want the pnl (one of 'tranche' or 'swaption')", ) + parser.add_argument( + "-f", + "--fund", + action="store", + default="SERCGMAST", + dest="fund", + help="fund we run the pnl for", + ) args = parser.parse_args() swaption_strats = ("IGOPTDEL", "HYOPTDEL") tranche_strats = ("IGINX", "HYINX", "XOINX") @@ -188,7 +202,9 @@ if __name__ == "__main__": index_strats = tranche_strats else: index_strats = swaption_strats - df_index = get_index_pv(args.start_date, args.end_date, dawndb, index_strats) + df_index = get_index_pv( + args.start_date, args.end_date, args.fund, dawndb, index_strats + ) df_instrument = get_pv(conn=dawndb, **vars(args)) diff --git a/python/risk/indices.py b/python/risk/indices.py index a8181ab7..e1f576d7 100644 --- a/python/risk/indices.py +++ b/python/risk/indices.py @@ -11,15 +11,16 @@ from typing import Tuple, Union def get_index_portfolio( d: datetime.date, conn: connection, + fund: str = "SERCGMAST", strategies: Union[Tuple[str], None] = None, - exclude_redcode=[], + exclude_redcode=(), **kwargs ): sql_str = ( "SELECT security_id AS redcode, sum(notional) AS notional, maturity " - "FROM list_cds_positions_by_strat(%s) " + "FROM list_cds_positions_by_strat(%s, %s) " ) - params = (d,) + params = (d, fund) if strategies is not None: if isinstance(strategies, tuple): sql_str += "WHERE folder in %s" |