diff options
Diffstat (limited to 'python/intex')
| -rw-r--r-- | python/intex/intex_scenarios.py | 8 | ||||
| -rw-r--r-- | python/intex/load_indicative.py | 33 | ||||
| -rw-r--r-- | python/intex/load_intex_collateral.py | 5 |
3 files changed, 25 insertions, 21 deletions
diff --git a/python/intex/intex_scenarios.py b/python/intex/intex_scenarios.py index 0613a1e2..576e275e 100644 --- a/python/intex/intex_scenarios.py +++ b/python/intex/intex_scenarios.py @@ -55,10 +55,10 @@ def get_recovery(conn, dealname, workdate, defaultrecovery = 50): conn.commit() return float(recovery) -def get_reinvenddate(conn, dealname): - sqlstr = 'SELECT reinv_end_date from deal_indicative where dealname=%s' +def get_reinvenddate(conn, dealname, workdate): + sqlstr = 'SELECT reinv_end_date FROM historical_clo_universe(%s, %s)' with conn.cursor() as c: - c.execute(sqlstr, (dealname,)) + c.execute(sqlstr, (dealname, workdate)) reinvenddate, = c.fetchone() conn.commit() if reinvenddate: @@ -80,7 +80,7 @@ def generate_scenarios(workdate, dealname, conn): return reinvflag = config['reinvflag'] if reinvflag: - reinvenddate = get_reinvenddate(conn, dealname) + reinvenddate = get_reinvenddate(conn, dealname, workdate) reinv_assets = get_reinv_assets(conn, 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']) diff --git a/python/intex/load_indicative.py b/python/intex/load_indicative.py index 89e87e1e..3686aa85 100644 --- a/python/intex/load_indicative.py +++ b/python/intex/load_indicative.py @@ -98,11 +98,11 @@ def upload_cusip_data(conn, filename): conn.commit() def upload_deal_data(conn, filename): - sqlstr = "select dealname, array_agg(\"Latest Update\") from clo_universe group by dealname" + sqlstr = 'SELECT dealname, array_agg("Latest Update") FROM clo_universe GROUP BY dealname' with conn.cursor() as c: c.execute(sqlstr) deallist1 = dict(c) - sqlstr = "select dealname from deal_indicative" + sqlstr = "SELECT dealname FROM deal_indicative" with conn.cursor() as c: c.execute(sqlstr) deallist2 = [d[0] for d in c] @@ -125,7 +125,8 @@ def upload_deal_data(conn, filename): line["Paid Down"] = re.sub("Paid Down: ","", line["Latest Update"]) line["Latest Update"] = line["Paid Down"] for field in ["Deal Closing Date", "Deal Termination Date", "Reinv End Date", \ - "Latest Update", "Pay Day", "Deal First Pay Date", "Paid Down"]: + "Latest Update", "Pay Day", "Deal First Pay Date", "Paid Down", + "Deal's Last Refi Date"]: if line[field]: try: line[field] = datetime.datetime.strptime(line[field], '%b %d, %Y').date() @@ -135,24 +136,22 @@ def upload_deal_data(conn, filename): if line["Pay Day"]: line["Pay Day"] = line["Pay Day"].day for key in ["Principal Collection Account", "Interest Collection Account", - "Curr Deal Bal", "Tranche Curr Bal", "CDOpercent", "defaultedbal"]: + "Curr Deal Bal", "Tranche Curr Bal", "CDOpercent", "defaultedbal", + "Orig Deal Bal", "Tranche Orig Bal"]: if line[key]: line[key] = sanitize_float(line[key]) line['Deal/Tranche ID'] = line['Deal/Tranche ID'].lower() dealname = line['Deal/Tranche ID'] if dealname not in deallist2: - for key in ["Orig Deal Bal", "Tranche Orig Bal"]: - if line[key]: - line[key] = sanitize_float(line[key]) - - sqlstr = "INSERT INTO deal_indicative VALUES( %(Deal/Tranche ID)s, %(Deal Name)s, " \ - "%(Collateral Manager)s, %(Deal Closing Date)s, %(Deal Termination Date)s, " \ - "%(Pay Day)s, %(Reinv End Date)s, %(Deal First Pay Date)s, %(Orig Deal Bal)s, " \ - "%(Tranche Orig Bal)s, %(Deal CUSIP List)s, %(Paid Down)s)" + sqlstr = "INSERT INTO deal_indicative VALUES( %(Deal/Tranche ID)s, " \ + "%(Deal Name)s, %(Collateral Manager)s, " \ + "%(Deal Closing Date)s, %(Pay Day)s, " \ + "%(Deal First Pay Date)s, %(Paid Down)s)" else: - #we always update Deal Cusip List and paid_down - sqlstr = 'UPDATE deal_indicative SET "Deal Cusip List"=%(Deal CUSIP List)s, ' \ - 'paid_down=%(Paid Down)s WHERE dealname=%(Deal/Tranche ID)s' + #we always update paid_down + sqlstr = 'UPDATE deal_indicative SET paid_down=%(Paid Down)s ' \ + 'WHERE dealname=%(Deal/Tranche ID)s' + if line['Deal CUSIP List']: line['Deal CUSIP List'] = line['Deal CUSIP List'].split(",") try: @@ -167,7 +166,9 @@ def upload_deal_data(conn, filename): "VALUES (%(Deal/Tranche ID)s, %(Curr Deal Bal)s, %(Tranche Curr Bal)s, " \ "%(Tranche Factor)s, %(Principal Collection Account)s, " \ "%(Interest Collection Account)s, %(CDOpercent)s, %(defaultedbal)s, " \ - "%(Coupon)s, %(Latest Update)s)" + "%(Coupon)s, %(Latest Update)s, %(Deal's Last Refi Date)s, " \ + "%(Deal CUSIP List)s, %(Deal Termination Date)s, %(Reinv End Date)s, " \ + "%(Orig Deal Bal)s, %(Tranche Orig Bal)s)" try: with conn.cursor() as c: c.execute(sqlstring, line) diff --git a/python/intex/load_intex_collateral.py b/python/intex/load_intex_collateral.py index cb736240..e6963ed3 100644 --- a/python/intex/load_intex_collateral.py +++ b/python/intex/load_intex_collateral.py @@ -89,7 +89,10 @@ def upload_data(conn, workdate): temp = line["Amortization Schedule"].split("; ") temp = [e.split(" @ ") for e in temp] amounts, dates = zip(*temp) - amounts = [float(e.replace(",", "")) for e in amounts] + if '%' in amounts[0]: #for reinvestment assets amort is in percentage. + amounts = [float(e.replace("%", "")) / 100 for e in amounts] + else: + amounts = [float(e.replace(",", "")) for e in amounts] dates = [datetime.datetime.strptime(e, "%b %d, %Y").date() for e in dates] r[-1] = dates r.append(amounts) |