1 files changed, 68 insertions, 0 deletions
diff --git a/python/citco_monitor.py b/python/citco_monitor.py
index 82bdb3e0..c08a9854 100644
--- a/python/citco_monitor.py
+++ b/python/citco_monitor.py
@@ -3,6 +3,7 @@ from exchangelib import HTMLBody
 
 from serenitas.analytics.dates import prev_business_day
 from serenitas.utils.db import dbconn
+from serenitas.ops.dataclass_mapping import _citco_cp_isda
 
 from report_ops.utils import check_cleared_cds, Monitor
 from report_ops.misc import _recon_recipients, _cc_recipients
@@ -45,6 +46,47 @@ class BondFactorMonitor(
         )
 
 
+class SwaptionExerciseNotification(
+    Monitor,
+    headers=(
+        "swaption_fix_id",
+        "security_desc",
+        "fund",
+        "expiration_date",
+        "strike",
+        "clearing_agent",
+        "putcall",
+        "notional",
+        "swaption_expiration_status",
+        "exercised_fix_id",
+    ),
+    num_format=[("{0:,.4f}", 4), ("{0:,.2f}", 7)],
+):
+    @classmethod
+    def email(cls, fund, expiration_date):
+        if not cls._staging_queue:
+            return
+        cls._em.send_email(
+            f"Citco Exercise Notification: {fund} Expiration: {expiration_date}",
+            HTMLBody(
+                f"""
+<html>
+  <head>
+    <style>
+      table, th, td {{ border: 1px solid black;  border-collapse: collapse;}}
+      th, td {{ padding: 5px; }}
+    </style>
+  </head>
+  <body>
+  Hello,<br><br>We would like to notify you of the exercised/expired swaptions:<br><br>{cls.to_tabulate()}
+  </body>
+</html>"""
+            ),
+            to_recipients=_recon_recipients[fund],
+            cc_recipients=_cc_recipients[fund],
+        )
+
+
 def check_bond_factors(date, fund, conn):
     with conn.cursor() as c:
         c.execute(
@@ -57,6 +99,31 @@ def check_bond_factors(date, fund, conn):
         BondFactorMonitor.email(fund)
 
 
+def notify_swaption_exercise(expiration_date, fund, conn):
+    with conn.cursor() as c:
+        c.execute(
+            "SELECT * FROM get_exercised_swaptions(%s, %s)",
+            (
+                expiration_date,
+                fund,
+            ),
+        )
+        for row in c:
+            d = row._asdict()
+            if d["security_desc"].startswith("CDX IG"):
+                d["strike"] /= 1000
+            d["putcall"] = "PUT" if d["option_type"] == "PAYER" else "CALL"
+            d["notional"] = d["notional"] * (1 if d["buysell"] else -1)
+            d["swaption_fix_id"] = d["dealid"]
+            d["exercised_fix_id"] = d["new_trade"]
+            d["clearing_agent"] = _citco_cp_isda[d["cp_code"]]
+            d["swaption_expiration_status"] = (
+                "EXERCISED" if d["new_trade"] else "EXPIRED"
+            )
+            SwaptionExerciseNotification.stage(d)
+        SwaptionExerciseNotification.email(fund, expiration_date)
+
+
 if __name__ == "__main__":
     import argparse
 
@@ -73,3 +140,4 @@ if __name__ == "__main__":
     for fund in ("ISOSEL",):
         check_cleared_cds(args.cob, fund, conn)
         check_bond_factors(args.cob, fund, conn)
+        notify_swaption_exercise(args.cob, fund, conn)