diff options
| -rw-r--r-- | python/notebooks/swaption_risk.ipynb | 3 | ||||
| -rw-r--r-- | python/risk/swaptions.py | 116 |
2 files changed, 6 insertions, 113 deletions
diff --git a/python/notebooks/swaption_risk.ipynb b/python/notebooks/swaption_risk.ipynb index 89c9be39..05c447b8 100644 --- a/python/notebooks/swaption_risk.ipynb +++ b/python/notebooks/swaption_risk.ipynb @@ -6,7 +6,7 @@ "metadata": {}, "outputs": [], "source": [ - "from mark_swaptions import get_swaption_portfolio\n", + "from risk.swaptions import get_swaption_portfolio\n", "import datetime\n", "from db import dbconn\n", "from analytics import init_ontr\n", @@ -21,7 +21,6 @@ "outputs": [], "source": [ "portf = get_swaption_portfolio(datetime.date.today(), conn)\n", - "portf.mark(interp_method=\"bivariate_linear\")\n", "portf" ] }, diff --git a/python/risk/swaptions.py b/python/risk/swaptions.py index 79f42dc4..99e4ebc6 100644 --- a/python/risk/swaptions.py +++ b/python/risk/swaptions.py @@ -1,17 +1,9 @@ -import argparse import logging -import os -import pandas as pd -from pandas.tseries.offsets import BDay from analytics import Portfolio, BlackSwaption -from db import dbconn, DataError - -logging.basicConfig(filename=os.path.join(os.getenv("LOG_DIR"), - 'swaption_marks.log'), - level=logging.INFO, - format='%(asctime)s %(message)s') +from db import DataError +logger = logging.getLogger(__name__) def get_swaption_portfolio(date, conn, **kwargs): with conn.cursor() as c: @@ -26,12 +18,7 @@ def get_swaption_portfolio(date, conn, **kwargs): portf = Portfolio([BlackSwaption.from_tradeid(t) for t in trade_ids], trade_ids=deal_ids) portf.value_date = date - for t in portf.trades: - try: - t.mark(interp_method='bivariate_linear', **kwargs) - except Exception as e: - logging.info(e) - t.mark(interp_method='bivariate_linear', **kwargs) + portf.mark(interp_method='bivariate_linear', **kwargs) return portf @@ -44,100 +31,7 @@ def insert_swaption_portfolio(portf, conn): try: c.execute(sql_str, to_insert) except DataError as e: - logging.error(e) + logger.error(e) finally: - logging.info("succesfully marked trade id: %s", id) + logger.info("succesfully marked trade id: %s", id) conn.commit() - - -# def get_trades(date, engine): -# return pd.read_sql_query( -# "SELECT dealid, buysell, swaption_type, notional, strike, " \ -# "expiration_date, index, series FROM swaptions " \ -# "JOIN index_version ON (swaptions.security_id = index_version.redindexcode) " \ -# "WHERE termination_date is NULL AND expiration_date > %s AND trade_date <= %s", -# engine, 'dealid', params=(date, date), parse_dates=['expiration_date']) - - -# def get_swaptionvol(index, series, strike, expiry, date, engine): -# r = engine.execute( -# "SELECT ref, vol_payer AS payer, vol_receiver AS receiver, " \ -# "vol_payer_black AS payer_black, vol_receiver_black AS receiver_black " \ -# "FROM swaption_calib " \ -# "LEFT JOIN swaption_quotes USING (quote_id) " \ -# "LEFT JOIN swaption_ref_quotes USING (ref_id) "\ -# "WHERE index = %s " \ -# "AND series = %s AND strike=%s AND expiry = %s AND quotedate::date=%s " \ -# "ORDER BY quotedate desc", -# (index, series, strike, expiry, date)) -# try: -# result = r.fetchone() -# if result is None: -# logging.error("No data for {}{} {}K {} expiry on date {}". -# format(index, series, strike, expiry, date)) -# return result -# except exc.DataError as e: -# logging.error(e) -# except e: -# logging.error(e) - -# def mark_trades(date, engine): -# df = get_trades(date, engine) -# result = [] -# for trade in df.itertuples(): -# try: -# r = engine.execute("SELECT closespread, closeprice FROM index_quotes " \ -# "WHERE index=%s AND series=%s AND tenor='5yr' AND date=%s", -# (trade.index, trade.series, date)) -# closespread, closeprice = r.fetchone() -# except exc.DataError as e: -# logging.eror(e) -# except TypeError: -# logging.error("no quote for {}{} {} on date {}".format( -# trade.index, trade.series, '5yr', date)) -# underlying = Index.from_name(trade.index, trade.series, '5yr', date, -# trade.notional) -# quote = get_swaptionvol(trade.index, trade.series, trade.strike, trade.expiration_date.date(), -# date, serenitas_engine) -# if quote is None: -# continue -# underlying.ref = quote.ref -# swaption = Swaption(underlying, trade.expiration_date.date(), -# trade.strike, trade.swaption_type.lower()) -# swaption.sigma = getattr(quote, swaption.option_type) -# if swaption.sigma is None: -# swaption.sigma = quote.receiver if swaption.option_type == "payer" else quote.payer -# direction = 1. if trade.buysell else -1. -# market_value = swaption.pv * trade.notional * direction -# if trade.index in ["HY", "XO"]: -# market_value += (quote.ref - closeprice) / 100 * swaption.delta * trade.notional * direction -# else: -# market_value += swaption.DV01 * (closespread - quote.ref) * trade.notional * direction -# #compute the greeks at index mark -# swaption.index.spread = closespread -# swaption._update() - -# try: -# to_insert = (trade.Index, date, market_value, swaption.delta, swaption.gamma, -# swaption.vega) -# engine.execute("INSERT INTO swaption_marks VALUES(%s, %s, %s, %s, %s, %s)", -# to_insert) -# except exc.DataError as e: -# logging.error(e) -# finally: -# logging.info("succesfully marked trade id: %s", trade.Index) -# return result - - -if __name__ == "__main__": - parser = argparse.ArgumentParser() - parser.add_argument('workdate', nargs='?', - type=lambda s: pd.datetime.strptime(s, "%Y-%m-%d").date()), - args = parser.parse_args() - if args.workdate is None: - workdate = (pd.Timestamp.today()-BDay()).date() - else: - workdate = args.workdate - with dbconn('dawndb') as conn: - portf = get_swaption_portfolio(workdate, conn) - insert_swaption_portfolio(portf, conn) |