diff options
Diffstat (limited to 'python/cds_rebook.py')
| -rw-r--r-- | python/cds_rebook.py | 99 |
1 files changed, 59 insertions, 40 deletions
diff --git a/python/cds_rebook.py b/python/cds_rebook.py index d4c4eb56..fa826913 100644 --- a/python/cds_rebook.py +++ b/python/cds_rebook.py @@ -5,6 +5,7 @@ from pyisda.date import default_accrual, previous_twentieth from analytics.index import CreditIndex from copy import copy + def get_outstanding_positions(trade_date): r = dawn_engine.execute( "SELECT security_id, notional, folder, nextredindexcode, currency, " @@ -13,65 +14,83 @@ def get_outstanding_positions(trade_date): "JOIN index_version_markit " "ON a.security_id=index_version_markit.redindexcode " "WHERE nextredindexcode IS NOT NULL", - (trade_date,)) + (trade_date,), + ) return r + def default_adjustment(company_id, end_date): - r = serenitas_engine.execute("SELECT recovery, event_date, auction_date FROM defaulted " - "WHERE id=%s", (company_id,)) + r = serenitas_engine.execute( + "SELECT recovery, event_date, auction_date FROM defaulted " "WHERE id=%s", + (company_id,), + ) recovery, event_date, auction_date = next(r) fee = 1 - recovery start_date = previous_twentieth(event_date) - accrual_days, _ = default_accrual(auction_date, event_date, - start_date, end_date, 1., 1.) + accrual_days, _ = default_accrual( + auction_date, event_date, start_date, end_date, 1.0, 1.0 + ) return accrual_days, fee -PORTFOLIO = {"HYOPTDEL": "OPTIONS", - "HEDGE_MBS": "MORTGAGES"} + +PORTFOLIO = {"HYOPTDEL": "OPTIONS", "HEDGE_MBS": "MORTGAGES"} + def rebook(trade_date, company_id): upfront_settle_date = trade_date + 3 * BDay() effective_date = trade_date + datetime.timedelta(days=1) for r in get_outstanding_positions(trade_date): - accrual_days, fee = default_adjustment(company_id, r['maturity']) - index_new = CreditIndex(redcode=r['nextredindexcode'], - maturity=r['maturity'], - value_date=trade_date, - notional=r['notional']) + accrual_days, fee = default_adjustment(company_id, r["maturity"]) + index_new = CreditIndex( + redcode=r["nextredindexcode"], + maturity=r["maturity"], + value_date=trade_date, + notional=r["notional"], + ) - adj = (fee - accrual_days * index_new.fixed_rate * 1e-4 /360) * \ - r['notional'] * (r['indexfactor'] - index_new.factor) + adj = ( + (fee - accrual_days * index_new.fixed_rate * 1e-4 / 360) + * r["notional"] + * (r["indexfactor"] - index_new.factor) + ) index_new.mark() - trade_new = {'action': 'NEW', - 'portfolio': PORTFOLIO[r['folder']], - 'folder': r['folder'], - 'cp_code': 'INTERCO', - 'custodian': 'NONE', - 'trade_date': trade_date, - 'effective_date': effective_date, - 'maturity': r['maturity'], - 'currency': r['currency'], - 'payment_rolldate': 'Following', - 'notional': abs(r['notional']), - 'fixed_rate': index_new.fixed_rate / 100, - 'day_count': 'ACT/360', - 'frequency': 4, - 'protection': index_new.direction, - 'security_id': r['nextredindexcode'], - 'security_desc': f"CDX {index_new.index_type} CDSI S{index_new.series} 5Y", - 'upfront': index_new.pv, - 'upfront_settle_date': upfront_settle_date, - 'swap_type': 'CD_INDEX'} + trade_new = { + "action": "NEW", + "portfolio": PORTFOLIO[r["folder"]], + "folder": r["folder"], + "cp_code": "INTERCO", + "custodian": "NONE", + "trade_date": trade_date, + "effective_date": effective_date, + "maturity": r["maturity"], + "currency": r["currency"], + "payment_rolldate": "Following", + "notional": abs(r["notional"]), + "fixed_rate": index_new.fixed_rate / 100, + "day_count": "ACT/360", + "frequency": 4, + "protection": index_new.direction, + "security_id": r["nextredindexcode"], + "security_desc": f"CDX {index_new.index_type} CDSI S{index_new.series} 5Y", + "upfront": index_new.pv, + "upfront_settle_date": upfront_settle_date, + "swap_type": "CD_INDEX", + } trade_prev = copy(trade_new) - trade_prev['protection'] = "Seller" if trade_new['protection'] == "Buyer" else "Buyer" - trade_prev['upfront'] = adj - index_new.pv - trade_prev['security_id'] = r['security_id'] - sql_str = (f"INSERT INTO cds({','.join(trade_new.keys())}) " - f"VALUES({','.join(['%s'] * len(trade_new))})") + trade_prev["protection"] = ( + "Seller" if trade_new["protection"] == "Buyer" else "Buyer" + ) + trade_prev["upfront"] = adj - index_new.pv + trade_prev["security_id"] = r["security_id"] + sql_str = ( + f"INSERT INTO cds({','.join(trade_new.keys())}) " + f"VALUES({','.join(['%s'] * len(trade_new))})" + ) dawn_engine.execute(sql_str, [trade_prev.values(), trade_new.values()]) + if __name__ == "__main__": # PKD - #rebook(datetime.date(2019, 1, 24), 101148) + # rebook(datetime.date(2019, 1, 24), 101148) # WINDSSE rebook(datetime.date(2019, 4, 8), 36806879) |