diff options
Diffstat (limited to 'python/cds_rebook.py')
| -rw-r--r-- | python/cds_rebook.py | 77 |
1 files changed, 51 insertions, 26 deletions
diff --git a/python/cds_rebook.py b/python/cds_rebook.py index bf13de33..761b3809 100644 --- a/python/cds_rebook.py +++ b/python/cds_rebook.py @@ -26,7 +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, coupon=0.05): +def new_version_quotes( + conn, auction_date: datetime.date, recovery, accrual_days, coupon=0.05 +): adj_recovery = 100 * ( recovery + accrual_days * coupon / 360 - cds_accrued(auction_date, coupon) ) @@ -159,19 +161,41 @@ def insert_newids(dawndb, d: datetime.date, df: pd.DataFrame): 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"] + 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)") + 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() @@ -182,20 +206,21 @@ This are the the rebookings due to {ticker} credit event on {d:%m/%d}. Let me kn 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),) - ) + 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__": |