diff options
Diffstat (limited to 'python/calibrate_tranches_BC.py')
| -rw-r--r-- | python/calibrate_tranches_BC.py | 173 |
1 files changed, 100 insertions, 73 deletions
diff --git a/python/calibrate_tranches_BC.py b/python/calibrate_tranches_BC.py index b6d7a37f..8fde82e9 100644 --- a/python/calibrate_tranches_BC.py +++ b/python/calibrate_tranches_BC.py @@ -11,9 +11,11 @@ import argparse def get_lastdate(conn, index, series, tenor): - sql_str = ("SELECT (max(date) AT TIME ZONE 'America/New_York')::date + 1 " - "AS date FROM risk_numbers " - "WHERE index=%s and series = %s and tenor = %s") + sql_str = ( + "SELECT (max(date) AT TIME ZONE 'America/New_York')::date + 1 " + "AS date FROM risk_numbers " + "WHERE index=%s and series = %s and tenor = %s" + ) with conn.cursor() as c: c.execute(sql_str, (index, series, tenor)) date, = c.fetchone() @@ -22,31 +24,47 @@ def get_lastdate(conn, index, series, tenor): def build_sql_str(df): - cols = ','.join(df.columns) - cols_ex_tranche_id = ','.join([c for c in df.columns if c != 'tranche_id']) - cols_excluded = ','.join([f"excluded.{c}" for c in df.columns if c != 'tranche_id']) + cols = ",".join(df.columns) + cols_ex_tranche_id = ",".join([c for c in df.columns if c != "tranche_id"]) + cols_excluded = ",".join([f"excluded.{c}" for c in df.columns if c != "tranche_id"]) place_holders = ",".join([f"%({c})s" for c in df.columns]) - sql_str = (f"INSERT INTO tranche_risk({cols}) " - f"VALUES({place_holders}) ON CONFLICT (tranche_id) DO " - f"UPDATE SET ({cols_ex_tranche_id}) = ({cols_excluded})") + sql_str = ( + f"INSERT INTO tranche_risk({cols}) " + f"VALUES({place_holders}) ON CONFLICT (tranche_id) DO " + f"UPDATE SET ({cols_ex_tranche_id}) = ({cols_excluded})" + ) return sql_str if __name__ == "__main__": from utils import SerenitasFileHandler - logger = logging.getLogger('tranche_calib') + + logger = logging.getLogger("tranche_calib") 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( + "-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)) - parser.add_argument("--start_from", default=None, - type=lambda s: pd.Timestamp(s)) - parser.add_argument("-d", "--debug", action="store_true", help="more verbose logging") + 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) + ) + parser.add_argument("--start_from", default=None, type=lambda s: pd.Timestamp(s)) + parser.add_argument( + "-d", "--debug", action="store_true", help="more verbose logging" + ) args = parser.parse_args() logger.setLevel(logging.DEBUG if args.debug else logging.INFO) CODE_DIR = Path(os.environ["CODE_DIR"]) @@ -57,48 +75,49 @@ if __name__ == "__main__": handler.setFormatter(SerenitasFileHandler._formatter) logger.addHandler(handler) - start_dates = {# 'hy10': datetime.date(2014, 8, 11), - # 'hy15': datetime.date(2014, 6, 10), - # 'hy17': datetime.date(2013, 1, 1), - 'hy19': datetime.date(2013, 2, 1), - 'hy21': datetime.date(2013, 10, 4), - 'hy23': datetime.date(2014, 10, 16), - 'hy25': datetime.date(2015, 10, 1), - 'hy27': datetime.date(2016, 10, 4), - 'hy29': datetime.date(2017, 10, 3), - 'hy31': datetime.date(2018, 10, 2), - 'ig9': datetime.date(2013, 1, 1), - '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), - 'xo22': datetime.date(2014, 10, 20), - 'xo24': datetime.date(2015, 9, 28), - 'xo26': datetime.date(2016, 9, 27), - 'xo28': datetime.date(2017, 9, 28), - 'eu9': datetime.date(2014, 9, 15), - 'eu19': datetime.date(2013, 4, 3), - 'eu21': datetime.date(2014, 3, 27), - 'eu22': datetime.date(2014, 10, 22), - 'eu24': datetime.date(2015, 9, 23), - 'eu26': datetime.date(2016, 9, 27), - 'eu28': datetime.date(2017, 9, 28), - 'eu30': datetime.date(2018, 9, 25), - 'xo30': datetime.date(2018, 9, 25)} + start_dates = { # 'hy10': datetime.date(2014, 8, 11), + # 'hy15': datetime.date(2014, 6, 10), + # 'hy17': datetime.date(2013, 1, 1), + "hy19": datetime.date(2013, 2, 1), + "hy21": datetime.date(2013, 10, 4), + "hy23": datetime.date(2014, 10, 16), + "hy25": datetime.date(2015, 10, 1), + "hy27": datetime.date(2016, 10, 4), + "hy29": datetime.date(2017, 10, 3), + "hy31": datetime.date(2018, 10, 2), + "ig9": datetime.date(2013, 1, 1), + "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), + "xo22": datetime.date(2014, 10, 20), + "xo24": datetime.date(2015, 9, 28), + "xo26": datetime.date(2016, 9, 27), + "xo28": datetime.date(2017, 9, 28), + "eu9": datetime.date(2014, 9, 15), + "eu19": datetime.date(2013, 4, 3), + "eu21": datetime.date(2014, 3, 27), + "eu22": datetime.date(2014, 10, 22), + "eu24": datetime.date(2015, 9, 23), + "eu26": datetime.date(2016, 9, 27), + "eu28": datetime.date(2017, 9, 28), + "eu30": datetime.date(2018, 9, 25), + "xo30": datetime.date(2018, 9, 25), + } - serenitas_conn = dbconn('serenitasdb') + serenitas_conn = dbconn("serenitasdb") if args.config is None: if args.index is None: raise ValueError("Please provide an index to run") - config = {'runs': [(args.index, args.tenor)]} + 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']: + for index, tenor in config["runs"]: begin_date = None index, series = index[:2].upper(), int(index[2:]) if args.start_from is not None: @@ -123,7 +142,9 @@ if __name__ == "__main__": logger.debug(f"calibrating for {d.date()}") try: if tranche_index is None: - tranche_index = TrancheBasket(index, series, tenor, value_date=d.date()) + tranche_index = TrancheBasket( + index, series, tenor, value_date=d.date() + ) else: tranche_index.value_date = d.date() except (RuntimeError, ValueError) as e: @@ -141,31 +162,37 @@ if __name__ == "__main__": logger.error(e) continue - df = pd.concat([tranche_index.tranche_deltas(), - tranche_index.tranche_fwd_deltas(), - tranche_index.tranche_durations(), - tranche_index.tranche_EL(), - tranche_index.tranche_spreads()], axis=1) + df = pd.concat( + [ + tranche_index.tranche_deltas(), + tranche_index.tranche_fwd_deltas(), + tranche_index.tranche_durations(), + tranche_index.tranche_EL(), + tranche_index.tranche_spreads(), + ], + axis=1, + ) try: - df['theta'] = tranche_index.tranche_thetas(method="TLP") + df["theta"] = tranche_index.tranche_thetas(method="TLP") except ValueError: - df['theta'] = None + df["theta"] = None - 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] - df['index_theta'] = tranche_index.theta()[tenor] - df['tranche_id'] = tranche_index.tranche_quotes.id.values - df['corr_at_detach'] = tranche_index.rho[1:] - df['corr01'] = tranche_index.tranche_corr01() - del df['fwd_gamma'] + 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] + df["index_theta"] = tranche_index.theta()[tenor] + df["tranche_id"] = tranche_index.tranche_quotes.id.values + df["corr_at_detach"] = tranche_index.rho[1:] + df["corr01"] = tranche_index.tranche_corr01() + del df["fwd_gamma"] data[d] = df if data: data = pd.concat(data) sql_str = build_sql_str(data) with serenitas_conn.cursor() as c: - c.executemany(sql_str, data.to_dict(orient='record')) + c.executemany(sql_str, data.to_dict(orient="record")) serenitas_conn.commit() |