diff options
Diffstat (limited to 'python/exploration/test_cms.py')
| -rw-r--r-- | python/exploration/test_cms.py | 110 |
1 files changed, 94 insertions, 16 deletions
diff --git a/python/exploration/test_cms.py b/python/exploration/test_cms.py index 31c96029..617ef53e 100644 --- a/python/exploration/test_cms.py +++ b/python/exploration/test_cms.py @@ -1,30 +1,108 @@ -from analytics.cms_spread import CmsSpread +from analytics.cms_spread import CmsSpread, _dawndb +from db import dbconn +import datetime from pathlib import Path +from quantlib.time.api import Date, Days, UnitedStates +from scipy.optimize import brentq import os import pandas as pd +import re DAILY_DIR = Path(os.environ["DAILY_DIR"]) -r = [] -today = pd.Timestamp.today() -trade = CmsSpread.from_tradeid(1) -dr = pd.bdate_range("2018-01-19", today, closed="left", normalize=True) -for d in dr: - trade.value_date = d - r.append(trade.pv) -def gs_navs(trade_id='LTAAB4ZN3333L6TTSH7.0.0.0'): +def lmcg_navs(trade_id): + r = [] + today = pd.Timestamp.today() + trade = CmsSpread.from_tradeid(trade_id) + trade.corr = 0.72 + dr = pd.bdate_range(trade.value_date, today, closed="left", normalize=True) + for d in dr: + trade.value_date = d + r.append(trade.pv) + return pd.Series(r, dr) + + +def gs_navs(trade_id, orig_nav): # load gs navs for a given trade dates = [] r = [] + cal = UnitedStates() for fname in (DAILY_DIR / "GS_reports").glob("Trade_Detail*.xls"): - m = re.match("[^\d]*(\d{2}_.{3}_\d{4})", fname.name) - if m: - date_string, = m.groups() - dates.append(datetime.datetime.strptime(date_string, "%d_%b_%Y")) df = pd.read_excel(fname, skiprows=9, skipfooter=77) - r.append(df.set_index('Trade Id').loc[trade_id, 'NPV (USD)']) + df = df.set_index('Trade Id') + try: + npv = df.loc[trade_id, 'NPV (USD)'] + trade_date = Date.from_datetime(pd.Timestamp(df.loc[trade_id, 'Trade Date'])) + except KeyError: + continue + else: + m = re.match(r"[^\d]*(\d{2}_.{3}_\d{4})", fname.name) + if m: + date_string, = m.groups() + date = datetime.datetime.strptime(date_string, "%d_%b_%Y") + current_date = Date.from_datetime(date) + if cal.advance(trade_date, 2, Days) > current_date: + npv -= orig_nav + dates.append(date) + r.append(npv) + s = pd.Series(r, dates) s = s.sort_index() - #remove the IA until it settled - s[:2] -= 68750.00 return -s + + +def ms_navs(trade_id="JWY3N"): + dates = [] + r = [] + for fname in (DAILY_DIR / "MS_reports").glob("Trade_Detail*.xls"): + df = pd.read_excel(fname) + try: + r.append(df.set_index('trade_id').loc[trade_id, 'exposure_in_rpt_ccy']) + except KeyError: + continue + else: + m = re.match(r"[^\d]*(\d{8})", fname.name) + if m: + date_string, = m.groups() + dates.append(datetime.datetime.strptime(date_string, "%Y%m%d")) + s = pd.Series(r, dates) + s = s.sort_index() + s[:2] += 105_000 + return s + + +if __name__ == "__main__": + with _dawndb.cursor() as c: + c.execute("SELECT id, cpty_id, amount * premium_percent / 100 AS orig_nav " + "FROM capfloors WHERE cp_code='GOLDNY'") + gs_mapping = {r['id']: (r['cpty_id'], r['orig_nav']) for r in c} + # s1 = lmcg_navs(3) + # s2 = gs_navs(d[3]) + # df = pd.concat([s1, s2], axis=1) + # s2 = lmcg_navs(4) + # s3 = ms_navs() + # df = pd.concat([s2, s3], axis=1) + # s = gs_navs() + # s2 = lmcg_navs(1) + # df = pd.concat([s, s2], axis=1) + # for gs_id in gs_mapping.values(): + # s = gs_navs(gs_id) + # with dbconn('dawndb') as conn: + # with conn.cursor() as c: + # for d, val in s.items(): + # c.execute("INSERT INTO external_marks_deriv " + # "VALUES(%s, %s, %s)", + # (d, gs_id, val)) + + # compute implied correlation from external mark + s = gs_navs(*gs_mapping[1]) + trade = CmsSpread.from_tradeid(1) + def myfun(corr, args): + trade.corr = corr + return trade.pv - args + rho = [] + for d in s.index: + trade.value_date = d + x0 = brentq(myfun, 0.5, 0.99, (s[d],)) + rho.append(x0) + pd.Series(rho, s.index).plot() |