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diff --git a/python/Load Intex Data.ipynb b/python/Load Intex Data.ipynb deleted file mode 100644 index 0aa32a72..00000000 --- a/python/Load Intex Data.ipynb +++ /dev/null @@ -1,207 +0,0 @@ -{ - "metadata": { - "name": "Load Intex Data" - }, - "nbformat": 3, - "nbformat_minor": 0, - "worksheets": [ - { - "cells": [ - { - "cell_type": "heading", - "level": 2, - "metadata": {}, - "source": [ - "Preamble" - ] - }, - { - "cell_type": "markdown", - "metadata": {}, - "source": [ - "In everything that follows the paths are relative from\n", - "our directory ``//WDSENTINEL/share/CorpCDOs`` on Windows and\n", - "``/home/share/CorpCDOs`` on Linux." - ] - }, - { - "cell_type": "heading", - "level": 2, - "metadata": {}, - "source": [ - "Load data from intex and populate the database" - ] - }, - { - "cell_type": "markdown", - "metadata": {}, - "source": [ - "we need to fill up three tables:\n", - "\n", - "* clo_universe\n", - "* cusip_universe\n", - "* et_collateral\n", - "\n", - "We first create a directory called ``data/Indicative_%Y-%m-%d``.\n", - "From the spreadsheet, this is driven by the two shortcuts\n", - "``CTRL+Shift+Y`` and ``CTRL+Shift+G``.\n", - "\n", - "* First select the cusips of interest, do ``CTRL+Shift+Y`` and paste them\n", - " into a new portfolio tab in intex. On the portfolio tab itself,\n", - " right click, then Export to text, and save into ``data/Indicative_%Y-%m-%d``.\n", - " The intex filename should be called ``Portfolio.txt`` or ``Portfolio(i).txt``\n", - " for some ``i``.\n", - "* Then in the Collat Detail tab, make sure Asset Detail is\n", - " toggled. Right click, then Export to text, All bonds and extract the\n", - " resulting zip file into a folder named ``data/Collaterals_%Y-%m-%d``\n", - "* Last step, select the cusips again, do ``CTRL+SHIFT+G``, paste into a\n", - " new portfolio tab. Click on All Tranches, Right Click, Export to\n", - " text, and save the file into a folder named ``data/Indicative_%Y-%m-%d``.\n", - " The file name should be called ``Portfolio_TrInfo.txt`` or\n", - " ``Portfolio_TrInfo(i).txt`` for some ``i``.\n", - "\n", - "We're done exporting the data from intex, now we need to load it into\n", - "the database. We need to run 2 scripts. To do so, after connecting to\n", - "the remote server, at the prompt do:\n", - "\n", - "$$c = \\sqrt{a^2 + b^2}$$\n" - ] - }, - { - "cell_type": "code", - "collapsed": false, - "input": [ - "%run load_indicative.py" - ], - "language": "python", - "metadata": {}, - "outputs": [ - { - "ename": "InterfaceError", - "evalue": "connection already closed", - "output_type": "pyerr", - "traceback": [ - "\u001b[0;31m---------------------------------------------------------------------------\u001b[0m\n\u001b[0;31mInterfaceError\u001b[0m Traceback (most recent call last)", - "\u001b[0;32m/usr/lib/python3/dist-packages/IPython/utils/py3compat.py\u001b[0m in \u001b[0;36mexecfile\u001b[0;34m(fname, glob, loc)\u001b[0m\n\u001b[1;32m 74\u001b[0m \u001b[0;32mdef\u001b[0m \u001b[0mexecfile\u001b[0m\u001b[0;34m(\u001b[0m\u001b[0mfname\u001b[0m\u001b[0;34m,\u001b[0m \u001b[0mglob\u001b[0m\u001b[0;34m,\u001b[0m \u001b[0mloc\u001b[0m\u001b[0;34m=\u001b[0m\u001b[0;32mNone\u001b[0m\u001b[0;34m)\u001b[0m\u001b[0;34m:\u001b[0m\u001b[0;34m\u001b[0m\u001b[0m\n\u001b[1;32m 75\u001b[0m \u001b[0mloc\u001b[0m \u001b[0;34m=\u001b[0m \u001b[0mloc\u001b[0m \u001b[0;32mif\u001b[0m \u001b[0;34m(\u001b[0m\u001b[0mloc\u001b[0m \u001b[0;32mis\u001b[0m \u001b[0;32mnot\u001b[0m \u001b[0;32mNone\u001b[0m\u001b[0;34m)\u001b[0m \u001b[0;32melse\u001b[0m \u001b[0mglob\u001b[0m\u001b[0;34m\u001b[0m\u001b[0m\n\u001b[0;32m---> 76\u001b[0;31m \u001b[0mexec\u001b[0m\u001b[0;34m(\u001b[0m\u001b[0mcompile\u001b[0m\u001b[0;34m(\u001b[0m\u001b[0mopen\u001b[0m\u001b[0;34m(\u001b[0m\u001b[0mfname\u001b[0m\u001b[0;34m,\u001b[0m \u001b[0;34m'rb'\u001b[0m\u001b[0;34m)\u001b[0m\u001b[0;34m.\u001b[0m\u001b[0mread\u001b[0m\u001b[0;34m(\u001b[0m\u001b[0;34m)\u001b[0m\u001b[0;34m,\u001b[0m \u001b[0mfname\u001b[0m\u001b[0;34m,\u001b[0m \u001b[0;34m'exec'\u001b[0m\u001b[0;34m)\u001b[0m\u001b[0;34m,\u001b[0m \u001b[0mglob\u001b[0m\u001b[0;34m,\u001b[0m \u001b[0mloc\u001b[0m\u001b[0;34m)\u001b[0m\u001b[0;34m\u001b[0m\u001b[0m\n\u001b[0m\u001b[1;32m 77\u001b[0m \u001b[0;34m\u001b[0m\u001b[0m\n\u001b[1;32m 78\u001b[0m \u001b[0;31m# Refactor print statements in doctests.\u001b[0m\u001b[0;34m\u001b[0m\u001b[0;34m\u001b[0m\u001b[0m\n", - "\u001b[0;32m/home/share/CorpCDOs/code/python/load_indicative.py\u001b[0m in \u001b[0;36m<module>\u001b[0;34m()\u001b[0m\n\u001b[1;32m 164\u001b[0m \u001b[0;31m#first load deal data\u001b[0m\u001b[0;34m\u001b[0m\u001b[0;34m\u001b[0m\u001b[0m\n\u001b[1;32m 165\u001b[0m \u001b[0;32mfor\u001b[0m \u001b[0mdeal\u001b[0m \u001b[0;32min\u001b[0m \u001b[0mdeal_files\u001b[0m\u001b[0;34m:\u001b[0m\u001b[0;34m\u001b[0m\u001b[0m\n\u001b[0;32m--> 166\u001b[0;31m \u001b[0mupload_deal_data\u001b[0m\u001b[0;34m(\u001b[0m\u001b[0mdeal\u001b[0m\u001b[0;34m)\u001b[0m\u001b[0;34m\u001b[0m\u001b[0m\n\u001b[0m\u001b[1;32m 167\u001b[0m \u001b[0;31m#then load tranche data\u001b[0m\u001b[0;34m\u001b[0m\u001b[0;34m\u001b[0m\u001b[0m\n\u001b[1;32m 168\u001b[0m \u001b[0;32mfor\u001b[0m \u001b[0mcusip\u001b[0m \u001b[0;32min\u001b[0m \u001b[0mcusip_files\u001b[0m\u001b[0;34m:\u001b[0m\u001b[0;34m\u001b[0m\u001b[0m\n", - "\u001b[0;32m/home/share/CorpCDOs/code/python/db.py\u001b[0m in \u001b[0;36mwith_connection_\u001b[0;34m(*args, **kwargs)\u001b[0m\n\u001b[1;32m 12\u001b[0m \u001b[0;32mexcept\u001b[0m \u001b[0mException\u001b[0m \u001b[0;32mas\u001b[0m \u001b[0me\u001b[0m\u001b[0;34m:\u001b[0m\u001b[0;34m\u001b[0m\u001b[0m\n\u001b[1;32m 13\u001b[0m \u001b[0mprint\u001b[0m\u001b[0;34m(\u001b[0m\u001b[0me\u001b[0m\u001b[0;34m)\u001b[0m\u001b[0;34m\u001b[0m\u001b[0m\n\u001b[0;32m---> 14\u001b[0;31m \u001b[0mconn\u001b[0m\u001b[0;34m.\u001b[0m\u001b[0mrollback\u001b[0m\u001b[0;34m(\u001b[0m\u001b[0;34m)\u001b[0m\u001b[0;34m\u001b[0m\u001b[0m\n\u001b[0m\u001b[1;32m 15\u001b[0m \u001b[0;32melse\u001b[0m\u001b[0;34m:\u001b[0m\u001b[0;34m\u001b[0m\u001b[0m\n\u001b[1;32m 16\u001b[0m \u001b[0;32mreturn\u001b[0m \u001b[0mrv\u001b[0m\u001b[0;34m\u001b[0m\u001b[0m\n", - "\u001b[0;31mInterfaceError\u001b[0m: connection already closed" - ] - }, - { - "output_type": "stream", - "stream": "stdout", - "text": [ - "connection already closed\n", - "connection already closed\n" - ] - } - ], - "prompt_number": 12 - }, - { - "cell_type": "code", - "collapsed": false, - "input": [ - "%run load_intex_collateral.py" - ], - "language": "python", - "metadata": {}, - "outputs": [ - { - "output_type": "stream", - "stream": "stdout", - "text": [ - "done\n" - ] - } - ], - "prompt_number": 11 - }, - { - "cell_type": "heading", - "level": 2, - "metadata": {}, - "source": [ - "Steps to build the model" - ] - }, - { - "cell_type": "markdown", - "metadata": {}, - "source": [ - "* We need to have a monitor running that will trigger the scenarios\n", - " generations for us.\n", - "\n", - " cd /home/share/CorpCDOs/scripts\n", - " bash monitor.sh\n", - "\n", - " **Note** need to set it up as a daemon so that it get automatically\n", - " started at boot.\n", - "* After that, scenarios generation can be triggered by selecting the\n", - " cusips in the excel spreadsheet and using the ``CTRL+Shift+H``\n", - " shortcut.\n", - "* To disable Reinvestment put \"Y\" under \"DisableReinv\" column before\n", - " using ``CTRL+Shift+H``.\n", - "* htop to monitor server activities.\n", - "* This will trigger three scripts: first it will build the survival\n", - " curves: these are saved into ``Scenarios/Portfolios_%Y_%m_%d``,\n", - " second it will generate the loss and prepay distributions and save\n", - " them into ``Scenarios/Intex curves_%Y-%m%d/csv``, and finally\n", - " generate the sss files that we can load into intex in\n", - " ``Scenarios/Intex curves_%Y-%m%d/sss``.\n", - "* You can look at the logs file in ``scripts/logs``\n", - " to monitor the process." - ] - }, - { - "cell_type": "heading", - "level": 2, - "metadata": {}, - "source": [ - "Running the scenarios in Intex" - ] - }, - { - "cell_type": "markdown", - "metadata": {}, - "source": [ - "* First make sure that Intex look for the sss files in the right\n", - " directory. Go into Tools, Options, Data Access and change it\n", - " appropriately. (e.g. Z:\\CorpCDOs\\Scenarios\\Intex\n", - " curves_2013-07-22\\sss)\n", - "* In Intex Options, under Miscellaneous, Change the export settings to\n", - " \"Tab delimited\"\n", - "* Select the cusips of interest on the spreadsheet (make sure the\n", - " corresponding sss files exist), do ``CTRL+Shift+I`` and paste them\n", - " into a new portfolio tab in Intex... twice so that Intex actually\n", - " paste the data.\n", - "* Then go onto the Scenarios Tab, and click the cross next to Rate\n", - " Update to make sure it reloads the Interest Rates (otherwise intex\n", - " will run it with libor set at 0... not good)\n", - "* Then go onto the Cashflows tab and wait... Once it's done, export\n", - " the cashflows into ``Scenarios/Prices_%Y-%m%-%d``.\n", - "* Finally, on the server do:\n", - "\n", - " cd /home/share/CorpCDOs/code/R\n", - " Rscript load_cf.R\n", - "\n", - " This will load the cashflows and compute the deltas, and save it in\n", - " the database.\n", - "* Enjoy your work by typing ``CTRL+T`` on the spreadsheet and see how\n", - " all the columns get filled. Yay!" - ] - }, - { - "cell_type": "code", - "collapsed": false, - "input": [], - "language": "python", - "metadata": {}, - "outputs": [] - } - ], - "metadata": {} - } - ] -}
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