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-rw-r--r--python/collateral/__main__.py81
-rw-r--r--python/collateral/baml_fcm.py2
-rw-r--r--python/collateral/bnp.py7
-rw-r--r--python/collateral/common.py14
-rw-r--r--sql/dawn.sql2
5 files changed, 67 insertions, 39 deletions
diff --git a/python/collateral/__main__.py b/python/collateral/__main__.py
index 6f82ed9f..5dc74661 100644
--- a/python/collateral/__main__.py
+++ b/python/collateral/__main__.py
@@ -5,7 +5,7 @@ from importlib import import_module
from utils import SerenitasFileHandler
from utils.db import dawn_engine, dbconn
-from .common import get_dawn_trades, send_email
+from .common import get_bilateral_trades, send_email
from pandas.tseries.offsets import BDay
import argparse
@@ -39,44 +39,69 @@ if args.download:
for fund in ("Serenitas", "Brinker", "BowdSt"):
cp_mod.download_files(em, fund=fund)
-dawn_trades = get_dawn_trades(args.workdate, dawn_engine)
-
-df = {}
-mapping = {"baml_fcm": "BAML", "wells": "WF"}
args.workdate -= BDay()
-for cp in counterparties:
+
+cp_dict = {
+ "Serenitas": {
+ "fcms": ("baml_fcm", "wells"),
+ "isda_cps": ("citi", "baml_isda", "ms", "gs", "bnp", "cs"),
+ },
+ "Brinker": {"fcms": (), "isda_cps": ("ms", "gs")},
+ "BowdSt": {"fcms": (), "isda_cps": ("ms", "bnp")},
+}
+
+
+def run_collateral(cp, fund, positions, workdate, engine):
cp_mod = import_module("." + cp, "collateral")
- if cp in ["baml_fcm", "wells"]:
+ lookback = 0
+ while lookback < 2:
+ try:
+ return cp_mod.collateral(
+ workdate - BDay(lookback), positions, engine=engine, fund=fund
+ )
+ except FileNotFoundError as e:
+ logger.info(e)
+ lookback += 1
+ except ValueError as e:
+ logger.error(e)
+ break
+ else:
+ break
+
+
+df = {}
+fcm_mapping = {"baml_fcm": "BAML", "wells": "WF"}
+fund_mapping = {"Serenitas": "SERCGMAST", "Brinker": "BRINKER", "BowdSt": "BOWDST"}
+
+for fund in ("Serenitas", "Brinker", "BowdSt"):
+ bilat_positions = get_bilateral_trades(
+ args.workdate, fund_mapping[fund], dawn_engine
+ )
+ for fcm in cp_dict[fund]["fcms"]:
positions = pd.read_sql_query(
"SELECT security_id, security_desc, maturity, "
"folder, notional, currency "
"FROM list_cds_positions_by_strat_fcm(%s, %s)",
dawn_engine,
- params=(args.workdate.date(), mapping[cp]),
+ params=(args.workdate.date(), fcm_mapping[fcm]),
index_col=["security_id", "maturity"],
)
- else:
- positions = dawn_trades
- for fund in ("Serenitas", "Brinker", "BowdSt"):
- lookback = 0
- while lookback < 2:
- try:
- df[(fund, cp.upper())] = cp_mod.collateral(
- args.workdate - BDay(lookback), positions, engine=dawn_engine,
- fund=fund
- )
- except FileNotFoundError as e:
- logger.info(e)
- lookback += 1
- except ValueError as e:
- logger.error(e)
- break
- else:
- break
+ df[(fund, fcm.upper())] = run_collateral(
+ fcm, fund, positions, args.workdate, dawn_engine
+ )
+ for cp in cp_dict[fund]["isda_cps"]:
+ df[(fund, cp.upper())] = run_collateral(
+ cp, fund, bilat_positions, args.workdate, dawn_engine
+ )
+
df = pd.concat(df, names=["fund", "broker", "strategy"]).reset_index()
df.strategy = df.strategy.str.replace("^(M_|SER_)?", "", 1)
-df = df[["date", "broker", "strategy", "Amount", "Currency"]]
+df["fund"] = df.fund.map(
+ {"Serenitas": "SERCGMAST", "Brinker": "BRINKER", "BowdSt": "BOWDST"}
+)
+
+df = df[["date", "broker", "strategy", "Amount", "Currency", "fund"]]
conn = dbconn("dawndb")
sql_str = (
"INSERT INTO strategy_im VALUES(%s, %s, %s, %s, %s, %s) "
@@ -90,4 +115,4 @@ conn.commit()
conn.close()
if args.send_email:
- send_email(args.workdate, df)
+ send_email(args.workdate, df[df.fund == "Serenitas"].drop("fund", axis=1))
diff --git a/python/collateral/baml_fcm.py b/python/collateral/baml_fcm.py
index 1f6150b2..ff80f480 100644
--- a/python/collateral/baml_fcm.py
+++ b/python/collateral/baml_fcm.py
@@ -9,7 +9,7 @@ def download_files(*args, **kwargs):
sftp.download_files("outgoing", DAILY_DIR / "BAML_reports")
-def collateral(d, positions, *, engine):
+def collateral(d, positions, *, engine, **kwargs):
df = pd.read_csv(
DAILY_DIR
/ "BAML_reports"
diff --git a/python/collateral/bnp.py b/python/collateral/bnp.py
index a89dc19c..39f7e72a 100644
--- a/python/collateral/bnp.py
+++ b/python/collateral/bnp.py
@@ -23,9 +23,12 @@ def download_files(em, count: int = 20, *, fund="Serenitas", **kwargs):
def load_file(d: datetime.date, report_type: str, fund: str):
+ fund_mapping = {
+ "Serenitas": "SERENITAS CREDIT GAMMA MASTER FUND, LP",
+ "BowdSt": "BOSTON PATRIOT BOWDOIN ST LLC",
+ }
fname = (
- f"{report_type} - BNP PARIBAS - SERENITAS CREDIT GAMMA "
- f"MASTER FUND, LP - COB {d:%Y%m%d}.XLS"
+ f"{report_type} - BNP PARIBAS - {fund_mapping[fund]} " f"- COB {d:%Y%m%d}.XLS"
)
return pd.read_excel(DAILY_DIR / fund / "BNP_reports" / fname, skiprows=7)
diff --git a/python/collateral/common.py b/python/collateral/common.py
index 3d07796b..6a7afdfe 100644
--- a/python/collateral/common.py
+++ b/python/collateral/common.py
@@ -52,29 +52,29 @@ def compare_notionals(df: pd.DataFrame, positions: pd.DataFrame, fcm: str) -> No
)
-def get_dawn_trades(d: datetime.date, engine: Engine) -> pd.DataFrame:
+def get_bilateral_trades(d: datetime.date, fund: str, engine: Engine) -> pd.DataFrame:
df_cds = pd.read_sql_query(
"SELECT cpty_id, folder, initial_margin_percentage * abs(notional) / 100 as IA "
- "FROM list_cds(%s::date) "
+ "FROM list_cds(%s::date, %s) "
"WHERE cpty_id IS NOT NULL",
engine,
- params=(d,),
+ params=(d, fund),
)
df_swaptions = pd.read_sql_query(
"SELECT cpty_id, folder, initial_margin_percentage * notional / 100 AS IA "
"FROM swaptions "
"WHERE cpty_id IS NOT NULL "
- "AND trade_date <= %s",
+ "AND trade_date <= %s AND fund=%s",
engine,
- params=(d,),
+ params=(d, fund),
)
df_caps = pd.read_sql_query(
"SELECT cpty_id, folder, initial_margin_percentage * amount / 100 AS IA "
"FROM capfloors "
"WHERE cpty_id IS NOT NULL "
- "AND trade_date <= %s",
+ "AND trade_date <= %s AND fund=%s",
engine,
- params=(d,),
+ params=(d, fund),
)
df = pd.concat([df_cds, df_swaptions, df_caps])
df = df.replace({"folder": STRATEGY_CASH_MAPPING})
diff --git a/sql/dawn.sql b/sql/dawn.sql
index 40e75e36..c6f45400 100644
--- a/sql/dawn.sql
+++ b/sql/dawn.sql
@@ -1627,7 +1627,7 @@ CREATE TYPE strategy AS ENUM(
-- OPTIONS portfolio
'IGOPTDEL', 'IGPAYER', 'IGREC', 'HYOPTDEL', 'HYPAYER', 'HYREC', 'IGCDSCSH', 'HYCDSCSH', 'COCSH'
-- IR portfolio
-'IR', 'IRDEVCSH', 'STEEP', 'FLAT', 'DELTAONE',
+'IR', 'IRDEVCSH', 'STEEP', 'FLAT', 'DELTAONE', 'DV01',
-- STRUCTURED portfolio
'STR_MAV', 'STR_MEZZ', 'HEDGE_CSO', 'CSO_TRANCH', 'CSOCDSCSH',
-- MORTGAGES portfolio
generated by cgit v1.2.3-70-g09d2 (git 2.52.0) at 2025-12-22 11:40:28 +0000