diff options
Diffstat (limited to 'python/intex/intex_scenarios.py')
| -rw-r--r-- | python/intex/intex_scenarios.py | 239 |
1 files changed, 239 insertions, 0 deletions
diff --git a/python/intex/intex_scenarios.py b/python/intex/intex_scenarios.py new file mode 100644 index 00000000..2650b25a --- /dev/null +++ b/python/intex/intex_scenarios.py @@ -0,0 +1,239 @@ +import os
+import os.path
+import datetime
+import csv
+from csv import reader
+import json
+import re
+import psycopg2
+from common import root
+from db import query_db, with_connection
+import sys
+import yaml
+
+pattern1 = re.compile("REINVEST\[\w+::REINV_TBA(\d)\]\[DEAL,(\d+)\]=.*$")
+# reinv end date
+pattern2 = re.compile("(STANDARD_VAR\[)\w+(::#REINV_END,\d+\]=)(\d.*$)")
+# reinvprices 1
+pattern3 = re.compile("STANDARD_VAR\[\w+::#PRICE100_TBA(\d),(\d+)\]=")
+pattern5 = re.compile("STANDARD_VAR\[\w+::#REINVPCT_TBA(\d),(\d+)\]=")
+pattern7 = re.compile("KINGS3")
+pattern8 = re.compile("(#COLLATREINV_REINV_PCT_EXT\[)\w+(::\*\]\[DEAL,\d+\])=100")
+pattern9 = re.compile("(?P<a>SEVERITY\[\w+,\d+\]=)mkt\(70\)")
+
+# we use 84 so that it's both dividable by 2 and 3
+global_reinvfloatpercentage = 84
+global_reinvfixedpercentage = 16
+
+@with_connection
+def dealname_from_cusip(conn, cusips):
+ with conn.cursor() as c:
+ c.callproc("dealname_from_cusip", params = cusip)
+ dealnames = [d[0] for d in c.fetchall()]
+ return dealnames
+
+def get_reinv_assets(dealname, workdate):
+ sqlstr = 'select * from et_historicaldealinfo(%s, %s) where ReinvFlag IS TRUE'
+ reinvassets = query_db(sqlstr, params = (dealname, workdate), one = False)
+ d = {}
+ for line in reinvassets:
+ d[line[3]] = line[22]
+ return d
+
+def get_recovery(dealname, workdate, defaultrecovery = 50):
+ """ compute average price of defaulted assets
+ """
+ sqlstr = "select sum(coalesce(price, %s) * currentbalance)/sum(currentbalance) " + \
+ "from et_aggdealinfo_historical(%s, %s) where defaultedflag is True"
+ recovery = query_db(sqlstr, params = (defaultrecovery, dealname, workdate))
+
+ try:
+ recovery = recovery[0]
+ except TypeError:
+ recovery = defaultrecovery
+
+ if not recovery:
+ recovery = defaultrecovery
+ return float(recovery)
+
+def get_reinvenddate(dealname):
+ sqlstr = 'SELECT reinv_end_date from deal_indicative where dealname=%s'
+ reinvenddate = query_db(sqlstr, params = (dealname,))[0]
+ if reinvenddate:
+ reinvenddate = reinvenddate.strftime("%Y%m%d")
+ return reinvenddate
+ else:
+ raise Exception("missing reinvestment end date")
+
+def generate_scenarios(workdate, dealname):
+ prometheus = os.path.join(root, "Scenarios", "prometheus.sss")
+ n_scenarios = 100
+ basedir = os.path.join(root, "Scenarios", "Intex curves_" + workdate)
+ defaultedprice = get_recovery(dealname, workdate)
+ replace = "\g<a>{0:.3f}".format(defaultedprice)
+ try:
+ with open(os.path.join(basedir, "csv", dealname + ".config")) as fh:
+ config = yaml.load(fh)
+ except IOError:
+ print("{0}: config file doesn't exist".format(dealname))
+ return
+ reinvflag = config['reinvflag']
+ if reinvflag:
+ reinvenddate = get_reinvenddate(dealname)
+ reinv_assets = get_reinv_assets(dealname, workdate)
+ n_float_assets = len([v for v in reinv_assets.values() if v == 'FLOAT'])
+ n_fixed_assets = len([v for v in reinv_assets.values() if v == 'FIXED'])
+ rollingmat = config['rollingmat']
+ if n_fixed_assets == 0:
+ reinvfixedpercentage = 0
+ else:
+ reinvfixedpercentage = global_reinvfixedpercentage / n_fixed_assets
+ if n_float_assets > 0:
+ reinvfloatpercentage = (100 - n_fixed_assets * reinvfixedpercentage)/n_float_assets
+
+ try:
+ with open(os.path.join(basedir, "csv", dealname + "-reinvprices.csv"), "r") as fh:
+ dr = csv.DictReader(fh)
+ reinvprices = {f: [] for f in dr.fieldnames}
+ for line in dr:
+ for f in dr.fieldnames:
+ reinvprices[f].append("{0:.3f}".format(float(line[f])))
+ except IOError:
+ reinvflag = False
+
+ sssfile = os.path.join(basedir, "sss", dealname + ".sss")
+ if not os.path.exists(os.path.join(basedir, "sss")):
+ os.makedirs(os.path.join(basedir, "sss"))
+ cdrscenarios = os.path.join(basedir, "csv", dealname + "-cdr.csv")
+ recoveryscenarios = os.path.join(basedir, "csv", dealname + "-recovery.csv")
+ fhsss = open(sssfile, "w")
+ fhcdr = open(cdrscenarios, "r")
+ fhrecovery = open(recoveryscenarios, "r")
+ csvcdr = reader(fhcdr)
+ csvrecovery = reader(fhrecovery)
+ cdrline = next(csvcdr)
+ cdrline = "\t".join(["{0:.3f}".format(float(cdr)) for cdr in cdrline])
+ recoveryline = next(csvrecovery)
+ recoveryline = "\t".join(["{0:.3f}".format(float(recovery)) for recovery in recoveryline])
+
+ i=1
+ with open(prometheus) as fh:
+ for line in fh:
+ line = line.rstrip()
+
+ if "DEAL_NAME" in line:
+ newline = "DEAL_NAME=" + dealname.upper() + "\r\n"
+ fhsss.write(newline)
+ continue
+ if not reinvflag and pattern8.match(line):
+ line = re.sub(pattern8, r"\1{0}\2=0".format(dealname.upper()), line)
+ fhsss.write(line + "\r\n")
+ continue
+ if not reinvflag and "DO_REINV" in line:
+ fhsss.write("DO_REINV=0" + "\r\n")
+ continue
+ m = pattern1.match(line)
+ if reinvflag and m:
+ reinv_number, scen_number = m.groups()
+ key = "REINV_TBA" + reinv_number
+ if key in reinv_assets:
+ if reinv_assets[key] == "FLOAT":
+ coupon = 4
+ elif reinv_assets[key] == "FIXED":
+ coupon = 7
+ line = "REINVEST[{0}::REINV_TBA{1}][DEAL,{2}]=".format(dealname.upper(),
+ reinv_number,
+ scen_number)
+ line += "COUP_SPR={0}|AMORT=Bullet|USE_REINVEST_PIP=1|MAT_DATE={1}|".format(coupon,
+ rollingmat)
+ fhsss.write(line + "\r\n")
+ continue
+ if reinvflag and pattern2.match(line):
+ line = re.sub(pattern2, r"\1{0}\2{1}", line).format(dealname.upper(), reinvenddate)
+ fhsss.write(line + "\r\n")
+ continue
+ m = pattern3.match(line)
+ if reinvflag and m:
+ reinv_number, scen_number = m.groups()
+ if dealname=="litpt3" and reinv_number=="1":
+ line = "STANDARD_VAR[LITPT3::#REINVLOANP100,{0}]".format(scen_number) + \
+ "={0}".format(" ".join(reinvprices["REINV_TBA1"]))
+ fhsss.write(line + "\r\n")
+ continue
+ reinv_name = "REINV_TBA" + reinv_number
+ if reinv_name in reinvprices:
+ line = \
+ "STANDARD_VAR[{0}::#PRICE100_TBA{1},{2}]={3}".format(dealname.upper(),
+ reinv_number,
+ scen_number,
+ " ".join(reinvprices[reinv_name]))
+ fhsss.write(line + "\r\n")
+ continue
+ m = pattern5.match(line)
+ if reinvflag and m:
+ reinv_number, scen_number = m.groups()
+ reinv_name = "REINV_TBA" + reinv_number
+ if reinv_number=="1":
+ if dealname=="litpt3":
+ line = "STANDARD_VAR[LITPT3::#LOANREINVPCT,{0}]=100".format(scen_number)
+ fhsss.write(line + "\r\n")
+ continue
+ if dealname=="flags4":
+ line = "STANDARD_VAR[FLAGS4::#PCT100_TBA1,{0}]=100".format(scen_number)
+ fhsss.write(line + "\r\n")
+ continue
+ if reinv_name in reinv_assets:
+ if reinv_assets[reinv_name] == 'FIXED':
+ line = "STANDARD_VAR[{0}::#REINVPCT_TBA{1},{2}]={3}".format(dealname.upper(),
+ reinv_number,
+ scen_number,
+ reinvfixedpercentage)
+ elif reinv_assets[reinv_name] == 'FLOAT':
+ line = "STANDARD_VAR[{0}::#REINVPCT_TBA{1},{2}]={3}".format(dealname.upper(),
+ reinv_number,
+ scen_number,
+ reinvfloatpercentage)
+
+ fhsss.write(line + "\r\n")
+ continue
+ if pattern7.search(line):
+ line = re.sub(pattern7, dealname.upper(), line)
+ fhsss.write(line + "\r\n")
+ continue
+ if "LOSS_RATE[DEAL,{0}]".format(i) in line:
+ newcdrline = "LOSS_RATE[DEAL,{0}]=".format(i) + cdrline
+ fhsss.write(newcdrline + "\r\n")
+ continue
+ if "LOSS_SEVERITY[DEAL,{0}]".format(i) in line:
+ newrecoveryline = "LOSS_SEVERITY[DEAL,{0}]=".format(i) + recoveryline
+ fhsss.write(newrecoveryline + "\r\n")
+ i = i + 1
+ if i <= n_scenarios:
+ cdrline = next(csvcdr)
+ cdrline = "\t".join(["{0:.3f}".format(float(cdr)) for cdr in cdrline]) + "\r\n"
+ recoveryline = next(csvrecovery)
+ recoveryline = "\t".join(["{0:.3f}".format(float(recovery)) \
+ for recovery in recoveryline]) + "\r\n"
+ continue
+ if "LOSS_NONPERF_SEVERITY" in line:
+ line = re.sub(pattern9, replace, line)
+ fhsss.write(line + "\r\n")
+ fhsss.close()
+ fhrecovery.close()
+ fhcdr.close()
+ print("generated scenarios for: {0}".format(dealname))
+
+if __name__ == "__main__":
+ if len(sys.argv) > 1:
+ workdate = sys.argv[1]
+ else:
+ workdate = str(datetime.date.today())
+ if len(sys.argv) > 2:
+ dealnames = sys.argv[2:]
+ else:
+ dealnames = [d.split(".")[0] for d in
+ os.listdir(os.path.join(root, "Scenarios",
+ "Intex curves_" + workdate, "csv"))
+ if "RData" in d]
+ for dealname in dealnames:
+ generate_scenarios(workdate, dealname)
|