diff options
Diffstat (limited to 'python/cds_curve.py')
| -rw-r--r-- | python/cds_curve.py | 81 |
1 files changed, 50 insertions, 31 deletions
diff --git a/python/cds_curve.py b/python/cds_curve.py index 2e0cf73f..5f8ff1cf 100644 --- a/python/cds_curve.py +++ b/python/cds_curve.py @@ -7,41 +7,52 @@ import pandas as pd from utils.db import dbconn -def all_curves_pv(curves, today_date, jp_yc, start_date, step_in_date, value_date, maturities): +def all_curves_pv( + curves, today_date, jp_yc, start_date, step_in_date, value_date, maturities +): r = {} for d in maturities: tenor = {} - coupon_leg = FeeLeg(start_date, d, True, 1., 1.) + coupon_leg = FeeLeg(start_date, d, True, 1.0, 1.0) default_leg = ContingentLeg(start_date, d, True) accrued = coupon_leg.accrued(step_in_date) tickers = [] data = [] for sc in curves: - coupon_leg_pv = coupon_leg.pv(today_date, step_in_date, value_date, jp_yc, sc, False) - default_leg_pv = default_leg.pv(today_date, step_in_date, value_date, - jp_yc, sc, 0.4) + coupon_leg_pv = coupon_leg.pv( + today_date, step_in_date, value_date, jp_yc, sc, False + ) + default_leg_pv = default_leg.pv( + today_date, step_in_date, value_date, jp_yc, sc, 0.4 + ) tickers.append(sc.ticker) - data.append((coupon_leg_pv-accrued, default_leg_pv)) - r[pd.Timestamp(d)] = pd.DataFrame.from_records(data, - index=tickers, - columns=['duration', 'protection_pv']) + data.append((coupon_leg_pv - accrued, default_leg_pv)) + r[pd.Timestamp(d)] = pd.DataFrame.from_records( + data, index=tickers, columns=["duration", "protection_pv"] + ) return pd.concat(r, axis=1).swaplevel(axis=1).sort_index(axis=1, level=0) -def calibrate_portfolio(index_type, series, tenors=['3yr', '5yr', '7yr', '10yr'], - start_date=None): +def calibrate_portfolio( + index_type, series, tenors=["3yr", "5yr", "7yr", "10yr"], start_date=None +): try: index = MarkitBasketIndex(index_type, series, tenors) except ValueError: return if start_date: index.index_quotes = index.index_quotes[start_date:] - for value_date, v in index.index_quotes.groupby('date')['id']: + for value_date, v in index.index_quotes.groupby("date")["id"]: index.value_date = value_date index.tweak() - df = pd.concat([index.theta(), - index.duration(), - pd.Series(index.tweaks, index=tenors, name='tweak')], axis=1) + df = pd.concat( + [ + index.theta(), + index.duration(), + pd.Series(index.tweaks, index=tenors, name="tweak"), + ], + axis=1, + ) for (_, t), id in v.items(): yield (id, df.loc[t]) @@ -51,26 +62,33 @@ if __name__ == "__main__": import argparse import logging import os + parser = argparse.ArgumentParser() - parser.add_argument('index', help="index type (IG, HY, EU or XO)") - parser.add_argument('series', help="series", type=int) - parser.add_argument('--latest', required=False, action="store_true") + parser.add_argument("index", help="index type (IG, HY, EU or XO)") + parser.add_argument("series", help="series", type=int) + parser.add_argument("--latest", required=False, action="store_true") args = parser.parse_args() index, series = args.index, args.series - conn = dbconn('serenitasdb') + conn = dbconn("serenitasdb") if args.latest: with conn.cursor() as c: - c.execute("SELECT max(date) FROM index_quotes_pre " - "RIGHT JOIN index_risk2 USING (id) " - "WHERE index=%s AND series=%s " - "AND tenor in ('3yr', '5yr', '7yr', '10yr')", - (index, series)) + c.execute( + "SELECT max(date) FROM index_quotes_pre " + "RIGHT JOIN index_risk2 USING (id) " + "WHERE index=%s AND series=%s " + "AND tenor in ('3yr', '5yr', '7yr', '10yr')", + (index, series), + ) start_date, = c.fetchone() else: start_date = None - fh = logging.FileHandler(filename=os.path.join(os.getenv("LOG_DIR"), "index_curves.log")) - formatter = logging.Formatter("%(asctime)s - %(name)s - %(levelname)s - %(message)s") + fh = logging.FileHandler( + filename=os.path.join(os.getenv("LOG_DIR"), "index_curves.log") + ) + formatter = logging.Formatter( + "%(asctime)s - %(name)s - %(levelname)s - %(message)s" + ) fh.setFormatter(formatter) loggers = [logging.getLogger("analytics"), logging.getLogger("index_curves")] for logger in loggers: @@ -78,12 +96,13 @@ if __name__ == "__main__": logger.addHandler(fh) loggers[1].info(f"filling {index} {series}") - g = calibrate_portfolio(index, series, ['3yr', '5yr', '7yr', '10yr'], - start_date) + g = calibrate_portfolio(index, series, ["3yr", "5yr", "7yr", "10yr"], start_date) with conn.cursor() as c: for id, t in g: - c.execute("INSERT INTO index_risk2 VALUES(%s, %s, %s, %s) ON CONFLICT (id) " - "DO UPDATE SET theta=%s, duration=%s, tweak=%s", - (id,) + tuple(t) + tuple(t)) + c.execute( + "INSERT INTO index_risk2 VALUES(%s, %s, %s, %s) ON CONFLICT (id) " + "DO UPDATE SET theta=%s, duration=%s, tweak=%s", + (id,) + tuple(t) + tuple(t), + ) conn.commit() conn.close() |