diff options
| -rw-r--r-- | python/calibrate_tranches_BC.py | 107 |
1 files changed, 83 insertions, 24 deletions
diff --git a/python/calibrate_tranches_BC.py b/python/calibrate_tranches_BC.py index 7b55ae38..bab84901 100644 --- a/python/calibrate_tranches_BC.py +++ b/python/calibrate_tranches_BC.py @@ -1,46 +1,104 @@ from db import dbconn, dbengine from analytics import TrancheBasket +from pandas.tseries.offsets import BDay import datetime +import logging +import os import pandas as pd +from pathlib import Path from yaml import load +from pickle import load as pload +import argparse -start_dates = {'ig19': datetime.date(2013, 5, 1), - 'ig21': datetime.date(2013, 9, 26), - 'ig23': datetime.date(2014, 10, 14), - 'ig25': datetime.date(2015, 9, 22), - 'ig27': datetime.date(2016, 9, 27), - 'ig29': datetime.date(2017, 9, 26), - 'ig31': datetime.date(2018, 9, 25)} +def get_lastdate(conn, index, series, tenor): + sql_str = ("SELECT max(date)::date + 1 AS date FROM risk_numbers_new " + "WHERE index=%s and series = %s and tenor = %s") + with conn.cursor() as c: + c.execute(sql_str, (index, series, tenor)) + date, = c.fetchone() + conn.commit() + return date -serenitas_engine = dbengine('serenitasdb') +if __name__ == "__main__": + logging.basicConfig(level=logging.INFO, + format='%(asctime)s - %(name)s - %(levelname)s - %(message)s') + logger = logging.getLogger('tranche_calib') + logger.setLevel(logging.INFO) + parser = argparse.ArgumentParser() + parser.add_argument("-u", "--update", action="store_true", default=False, + help="Update from the last run date [default %default]") + parser.add_argument("-c", "--config", metavar="config_file", + help="Runs the list of indices provided in CONFIG_FILE") + parser.add_argument("-i", "--index", help="Index name we want to run") + parser.add_argument("--tenor", default="5yr", help="Tenor we want to run [default '5yr']") + parser.add_argument("--until", default=pd.Timestamp.now()-BDay(), + type=lambda s: pd.Timestamp(s)) + args = parser.parse_args() + CODE_DIR = Path(os.environ['CODE_DIR']) -with open("/home/guillaume/projects/code/etc/runs.yml") as fh: - runs = load(fh)['runs'] - for index, tenor in runs: - print(index, tenor) - if index not in start_dates: - continue - else: - begin_date = start_dates[index] + start_dates = {'ig19': datetime.date(2013, 5, 1), + 'ig21': datetime.date(2013, 9, 26), + 'ig23': datetime.date(2014, 10, 14), + 'ig25': datetime.date(2015, 9, 22), + 'ig27': datetime.date(2016, 9, 27), + 'ig29': datetime.date(2017, 9, 26), + 'ig31': datetime.date(2018, 9, 25)} + + serenitas_engine = dbengine('serenitasdb') + serenitas_conn = serenitas_engine.raw_connection() + if args.config is None: + if args.index is None: + raise ValueError("Please provide an index to run") + config = {'runs': [args.index, args.tenor]} + else: + with (CODE_DIR / "etc" / args.config).open("r") as fh: + config = load(fh) + + for index, tenor in config['runs']: index, series = index[:2].upper(), int(index[2:]) - tranche_index = TrancheBasket(index, series, tenor) - dr = pd.bdate_range(begin_date, "2018-10-10") + if args.update: + begin_date = get_lastdate(serenitas_conn, index, series, tenor) + if not args.update or begin_date is None: + try: + begin_date = start_dates[f"{index.lower()}{series}"] + except KeyError: + print(index, series) + continue + + dr = pd.bdate_range(begin_date, args.until) + if dr.empty: + continue + logger.info(f"calibrating {index}, {series}, {tenor}") + tranche_index = None + + data = {} for d in dr: - print(d) try: - tranche_index.value_date = d + if tranche_index is None: + tranche_index = TrancheBasket(index, series, tenor, value_date=d.date()) + else: + tranche_index.value_date = d.date() except ValueError as e: - print(e) + logger.warning(e) continue + + logger.debug(d.date()) + tranche_index.tweak() - tranche_index.build_skew() + try: + tranche_index.build_skew() + except ValueError as e: + logger.error(e) + continue + df = pd.concat([tranche_index.tranche_deltas(), tranche_index.tranche_thetas(), tranche_index.tranche_fwd_deltas(), tranche_index.tranche_durations(), tranche_index.tranche_EL(), tranche_index.tranche_spreads()], axis=1) - df['index_duration'], df['index_expected_loss'], df['index_price'] = tranche_index.index_pv() + df['index_duration'], df['index_expected_loss'], df['index_price'] = \ + tranche_index.index_pv() df['index_expected_loss'] *= -1 df['index_duration'] -= tranche_index.accrued() df['index_basis'] = tranche_index.tweaks[0] @@ -49,4 +107,5 @@ with open("/home/guillaume/projects/code/etc/runs.yml") as fh: df['corr_at_detach'] = tranche_index.rho[1:] df['corr01'] = tranche_index.tranche_corr01() del df['fwd_gamma'] - df.to_sql("tranche_risk", serenitas_engine, if_exists='append', index=False) + data[d] = df + pd.concat(data).to_sql("tranche_risk", serenitas_engine, if_exists='append', index=False) |