diff options
| -rw-r--r-- | python/cds_rebook.py | 25 |
1 files changed, 17 insertions, 8 deletions
diff --git a/python/cds_rebook.py b/python/cds_rebook.py index fa826913..165aaccf 100644 --- a/python/cds_rebook.py +++ b/python/cds_rebook.py @@ -6,15 +6,15 @@ from analytics.index import CreditIndex from copy import copy -def get_outstanding_positions(trade_date): +def get_outstanding_positions(trade_date, fcm): r = dawn_engine.execute( "SELECT security_id, notional, folder, nextredindexcode, currency, " "maturity, indexfactor " - "FROM list_cds_positions_by_strat(%s) a " + "FROM list_cds_positions_by_strat_fcm(%s, %s) a " "JOIN index_version_markit " "ON a.security_id=index_version_markit.redindexcode " "WHERE nextredindexcode IS NOT NULL", - (trade_date,), + (trade_date, fcm), ) return r @@ -33,13 +33,18 @@ def default_adjustment(company_id, end_date): return accrual_days, fee -PORTFOLIO = {"HYOPTDEL": "OPTIONS", "HEDGE_MBS": "MORTGAGES"} +PORTFOLIO = { + "HYOPTDEL": "OPTIONS", + "HEDGE_MBS": "MORTGAGES", + "HYINX": "TRANCHE", + "SER_IGCURVE": "CURVE", +} -def rebook(trade_date, company_id): +def rebook(trade_date, company_id, fcm): upfront_settle_date = trade_date + 3 * BDay() effective_date = trade_date + datetime.timedelta(days=1) - for r in get_outstanding_positions(trade_date): + for r in get_outstanding_positions(trade_date, fcm): accrual_days, fee = default_adjustment(company_id, r["maturity"]) index_new = CreditIndex( redcode=r["nextredindexcode"], @@ -58,7 +63,7 @@ def rebook(trade_date, company_id): "action": "NEW", "portfolio": PORTFOLIO[r["folder"]], "folder": r["folder"], - "cp_code": "INTERCO", + "cp_code": "CONTRA", "custodian": "NONE", "trade_date": trade_date, "effective_date": effective_date, @@ -75,6 +80,7 @@ def rebook(trade_date, company_id): "upfront": index_new.pv, "upfront_settle_date": upfront_settle_date, "swap_type": "CD_INDEX", + "account_code": fcm, } trade_prev = copy(trade_new) trade_prev["protection"] = ( @@ -93,4 +99,7 @@ if __name__ == "__main__": # PKD # rebook(datetime.date(2019, 1, 24), 101148) # WINDSSE - rebook(datetime.date(2019, 4, 8), 36806879) + # rebook(datetime.date(2019, 4, 8), 36806879) + # WFT + rebook(datetime.date(2019, 7, 26), 103633, "WF") + rebook(datetime.date(2019, 7, 26), 103633, "BAML") |