diff options
Diffstat (limited to 'python/cds_rebook.py')
| -rw-r--r-- | python/cds_rebook.py | 47 |
1 files changed, 45 insertions, 2 deletions
diff --git a/python/cds_rebook.py b/python/cds_rebook.py index c720fc42..623946ad 100644 --- a/python/cds_rebook.py +++ b/python/cds_rebook.py @@ -1,3 +1,5 @@ +from exchange import ExchangeMessage, FileAttachment +from io import BytesIO from utils.db import serenitas_pool, dbconn import datetime import pandas as pd @@ -24,9 +26,9 @@ def get_outstanding_positions(conn, trade_date, fcm, fund="SERCGMAST"): yield from c -def new_version_quotes(conn, auction_date: datetime.date, recovery, accrual_days): +def new_version_quotes(conn, auction_date: datetime.date, recovery, accrual_days, coupon=0.05): adj_recovery = 100 * ( - recovery + accrual_days * 0.05 / 360 - cds_accrued(auction_date, 0.05) + recovery + accrual_days * coupon / 360 - cds_accrued(auction_date, coupon) ) with conn.cursor() as c1, conn.cursor() as c2: c1.execute( @@ -155,8 +157,49 @@ def insert_newids(dawndb, d: datetime.date, df: pd.DataFrame): dawndb.commit() +def send_csv(dawndb, d: datetime.date, ticker): + columns = ["dealid", "folder", "cp_code", "trade_date", "effective_date", "maturity", + "currency", "payment_rolldate", "notional", "fixed_rate", "day_count", + "frequency", "protection", "security_id", "security_desc", "upfront", + "upfront_settle_date", "swap_type", "account_code", "portfolio", "fund", + "indexfactor", "version"] + buf = BytesIO() + with dawndb.cursor() as c: + sql_str = (f"COPY (SELECT {','.join(columns)} " + "FROM cds " + "JOIN index_version " + "ON security_id=redindexcode " + f"WHERE fund='BOWDST' AND cp_code='CONTRA' AND trade_date='{d}')" + " TO STDOUT WITH (FORMAT CSV, HEADER)") + c.copy_expert(sql_str, buf) + dawndb.commit() + buf = buf.getvalue() + em = ExchangeMessage() + body = f"""Hello, + +This are the the rebookings due to {ticker} credit event on {d:%m/%d}. Let me know if you have any questions. + +Thanks, +Guillaume""" + em.send_email(f"{ticker} credit event", + body, + to_recipients=( + "caagtradecapture@bnymellon.com", + "hm-operations@bnymellon.com", + "julie.picariello@bnymellon.com", + ), + cc_recipients=( + "sa1futures.optionsprocessing@bnymellon.com", + "bowdoin-ops@lmcg.com", + "Viraphong.Douangmany@BNYMellon.com" + ), + attach=(FileAttachment(name=f"{ticker}_rebooking.csv", content=buf),) + ) + + if __name__ == "__main__": conn = serenitas_pool.getconn() + dawndb = dbconn("dawndb") # PKD # rebook(datetime.date(2019, 1, 24), 101148) # WINDSSE |