diff options
Diffstat (limited to 'python/build_termination.py')
| -rwxr-xr-x | python/build_termination.py | 213 |
1 files changed, 0 insertions, 213 deletions
diff --git a/python/build_termination.py b/python/build_termination.py deleted file mode 100755 index ba36ac41..00000000 --- a/python/build_termination.py +++ /dev/null @@ -1,213 +0,0 @@ -#! /usr/bin/python -import argparse -import csv -import datetime -from process_queue import build_termination, upload_file -from env import DAILY_DIR -from utils.db import dbconn -from io import StringIO - - -def build_termination( - base_dir, - dawndb, - dealid, - fee, - *, - termination_date=datetime.date.today(), - termination_amount=None, - termination_cp=None, - deal_type="CreditDefaultSwapDeal", -): - """ if termination_amount is None, assume full termination - if termination_cp is None assume termination, otherwise assignment - """ - if deal_type == "CreditDefaultSwapDeal": - table = "cds" - elif deal_type == "SwaptionDeal": - table = "swaptions" - else: - raise ValueError("Unkown deal_type: {deal_type}") - - with dawndb.cursor() as c: - c.execute( - "SELECT dealid, cp_code, notional, termination_amount, " - "globeop_id, currency " - f"FROM {table} where id=%s", - (dealid,), - ) - dealid, cp_code, notional, partial_amounts, globeopid, ccy = c.fetchone() - if partial_amounts is not None: - remaining_notional = notional - sum(partial_amounts) - else: - remaining_notional = notional - termination_amount = termination_amount or remaining_notional - if deal_type == "CreditDefaultSwapDeal": - c.execute( - f"UPDATE {table} " - "SET termination_amount=termination_amount||%s::float8, " - "termination_cp=termination_cp||%s::text, " - "termination_fee=termination_fee||%s::float8, " - "termination_date=termination_date||%s::date " - "WHERE dealid=%s", - ( - termination_amount, - termination_cp or cp_code, - fee, - termination_date, - dealid, - ), - ) - else: - c.execute( - f"UPDATE {table} " - "SET termination_amount=%s::float8, " - "termination_cp=%s::text, " - "termination_fee=%s::float8, " - "termination_date=%s::date " - "WHERE dealid=%s", - ( - termination_amount, - termination_cp or cp_code, - fee, - termination_date, - dealid, - ), - ) - dawndb.commit() - headers = [ - "DealType", - "DealId", - "Action", - "Client", - "SubAction", - "PartialTermination", - "TerminationAmount", - "TerminationDate", - "FeesPaid", - "FeesReceived", - "DealFunction", - "Reserved", - "ClientReference", - ] - if deal_type == "CreditDefaultSwapDeal": - headers += ["TradeDate", "EffectiveDate", "FirstCouponDate"] - else: - headers += ["Reserved"] * 3 - headers += ["FeePaymentDate", "SpecialInstructions"] - - if termination_cp is not None: - headers += ["AssignedCounterparty"] - else: - headers += ["Reserved"] - if deal_type == "CreditDefaultSwapDeal" and termination_cp is not None: - headers += [ - "AssignmentFee", - "AssignedFeeTradeDate", - "AssignedFeeValueDate", - "AssignedCustodian", - "AssignedCashAccount", - "Reserved", - "FeeCurrency", - ] - else: - headers += ["Reserved"] * 7 - headers += ["GoTradeId"] - if deal_type == "CreditDefaultSwapDeal": - headers += ["FeeComments", "ZeroOutInterestCashFlows"] - else: - headers += ["Reserved"] * 2 - headers += ["Reserved"] * 4 - if deal_type == "SwaptionDeal": - headers += ["Reserved"] * 2 + ["InMoney", "FeeCurrency"] - elif deal_type == "CreditDefaultSwapDeal": - if termination_cp is None: - headers += ["Reserved"] * 3 - else: - headers += ["AssignedDealFunction"] + ["Reserved"] * 2 - headers += ["InitialMargin", "InitialMarginCurrency"] - if termination_cp is None: - headers += ["Reserved"] * 4 + ["CreditEventOccured"] - d = { - "DealType": deal_type, - "GoTradeId": int(globeopid[3:9]), - "Action": "Update", - "Client": "Serenitas", - "SubAction": "Termination", - "PartialTermination": "Y" - if remaining_notional - termination_amount > 0 - else "N", - "TerminationAmount": termination_amount, - "TerminationDate": termination_date, - "FeesPaid": -fee if fee < 0 else None, - "FeesReceived": fee if fee > 0 else None, - "FeePaymentDate": (termination_date + 3 * bus_day).date(), - } - if "FeeCurrency" in headers: - d["FeeCurrency"] = ccy - if termination_cp is not None: - d["AssignedCounterparty"] = termination_cp - buf = StringIO() - csvwriter = csv.DictWriter(buf, headers) - csvwriter.writeheader() - csvwriter.writerow(d) - timestamp = datetime.datetime.now() - trade_type = f"{deal_type}A" if termination_cp is not None else f"{deal_type}T" - file_path = ( - base_dir - / str(timestamp.date()) - / f"Serenitas.ALL.{timestamp:%Y%m%d.%H%M%S}.{trade_type}.csv" - ) - file_path.write_bytes(buf.getvalue().encode()) - return file_path - - -if __name__ == "__main__": - parser = argparse.ArgumentParser( - description="helper script to terminate or assign a trade" - ) - parser.add_argument("dealid", help="Serenitas id", type=int) - parser.add_argument( - "fee", help="termination fee ( >0 we receive money)", type=float - ) - parser.add_argument( - "--date", - "-d", - help="termination date, default to today's date", - type=datetime.date.fromisoformat, - default=datetime.date.today(), - ) - parser.add_argument( - "--amount", - "-a", - help="termination amount, if missing full termination", - default=None, - required=False, - ) - parser.add_argument( - "--counterparty", - "-c", - help="termination counterparty, if missing, original counterparty is used (termination)", - default=None, - required=False, - ) - args = parser.parse_args() - dawndb = dbconn("dawndb") - if "tranche" in __file__: - deal_type = "CreditDefaultSwapDeal" - elif "swaption" in __file__: - deal_type = "SwaptionDeal" - else: - raise RuntimeError("Incorrect deal type") - - p = build_termination( - DAILY_DIR, - dawndb, - args.dealid, - args.fee, - termination_date=args.date, - termination_cp=args.counterparty, - termination_amount=args.amount, - deal_type=deal_type, - ) - upload_file(p) |