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Diffstat (limited to 'python/load_intex_collateral.py')
| -rw-r--r-- | python/load_intex_collateral.py | 149 |
1 files changed, 0 insertions, 149 deletions
diff --git a/python/load_intex_collateral.py b/python/load_intex_collateral.py deleted file mode 100644 index 1b0a7c45..00000000 --- a/python/load_intex_collateral.py +++ /dev/null @@ -1,149 +0,0 @@ -import psycopg2 -import os, csv, datetime -import pdb -from common import root, sanitize_float -from db import conn -import sys -import uuid -from load_indicative import upload_cusip_data, upload_deal_data -import logging - -fields = ['Asset Name', 'Issuer', 'Contributed Balance', 'Asset Maturity Date', - 'Asset Subtype', 'Asset Type', 'Gross Coupon', 'Spread', \ - 'Frequency', 'Next Paydate', 'Second Lien', 'LoanX ID', 'CUSIP', - 'Market Price', 'Market Price Source', 'Market Price Date', 'Fixed or Float', \ - 'Defaulted Flag', 'Security Sub-Category', 'Structured Finance Security', \ - 'Life Floor', 'Reinvest Collat', 'Native Currency', "Moody's Industry Name", - "Country"] - -def convertToNone(s): - return None if s=='' else s - -def windows1252_encoder(fh): - for line in fh: - yield line.decode('windows-1252').encode('utf-8') - -def upload_data(conn, dealnames, workdate): - for dealname in dealnames: - basedir = os.path.join(root, "data", "Collaterals_" + workdate) - if sys.version_info[0]==2: - fh = open(os.path.join(basedir, dealname.upper() + "_AD.txt")) - fh = windows1252_encoder(fh) - else: - fh = open(os.path.join(basedir, dealname.upper() + "_AD.txt"), encoding="windows-1252") - - dr = csv.DictReader(fh, dialect = 'excel-tab') - missingfields = set(fields).union({'Gross Margin'}) - set(dr.fieldnames) - if "LoanX ID" in missingfields: - msg = "{0}: LoanX ID column is missing. Probably an error in exporting from intex" - logging.warning(msg.format(dealname)) - data = {} - for line in dr: - for f in missingfields: - line[f] = None - for key in ['LoanX ID', 'CUSIP', 'Fixed or Float']: - if line[key]: - line[key] = line[key].upper() - if line['Asset Subtype']: - line['Asset Subtype'] = line['Asset Subtype'].replace("Reinvest ", "").replace("Reinv ","") - for key, l in [('LoanX ID', 8), ('CUSIP', 9), ('Asset Subtype', 10)]: - if line[key]: - if len(line[key]) > l: - logging.warning("dubious {0} found: {1}".format(key, line[key])) - line[key] = line[key][:l] - - if 'Reinvest Collat' in line and line['Reinvest Collat'].upper() == 'Y': - # assume it's a reinvestment asset - line['Reinvest Collat'] = True - line['Issuer'] = line['ID Number'] - if not line['Spread']: - line['Spread'] = line['Gross Margin'] - - for field in ['Spread', 'Gross Coupon', 'Market Price', 'Contributed Balance']: - line[field] = sanitize_float(line[field]) - if line['Market Price'] == 0: - line['Market Price'] = None - #we store the Libor Floor in the database, so Life Floor is really Libor Floor - if line['Life Floor'] == "No limit": - line['Life Floor'] = 0 - elif line['Life Floor']: - try: - line['Life Floor'] = float(line['Life Floor']) - float(line['Spread']) - except ValueError: - line['Life Floor'] = float('Nan') - - # we take care of reinvestment asset lines - if not line['Asset Name']: - line['Asset Name'] = 'Reinv' - r = [convertToNone(line[field]) for field in fields] - #sometimes the Asset Name is not unique (we add random tag in this case) - if r[0] in data: - r[0] = r[0] + str(uuid.uuid4())[:3] - data[r[0]] = r[1:] - fh.close() - sqlstr1 = "select distinct(updatedate) from et_collateral where dealname= %s" - sqlstr2 = "select max(\"Latest Update\") from clo_universe where dealname= %s and \"Latest Update\"<=%s" - with conn.cursor() as c: - c.execute(sqlstr1, (dealname,)) - old_update_dates = [date[0] for date in c] - c.execute(sqlstr2, (dealname, workdate)) - updatedate = c.fetchone()[0] - conn.commit() - # sanity check if we already have the data - reinsert = False - if updatedate in old_update_dates: - sqlstr = "SELECT count(*) FROM et_collateral where dealname = %s and updatedate= %s" - with conn.cursor() as c: - c.execute(sqlstr, (dealname, updatedate)) - currlen = c.fetchone()[0] - conn.commit() - if currlen != len(data): #then we delete and just reupload - logging.warning("{0} has {1} rows in the database " \ - "and current collateral file has {2}".format(dealname, currlen, len(data))) - with conn.cursor() as c: - sqlstr = "DELETE FROM et_collateral where dealname = %s and updatedate = %s" - c.execute(sqlstr, (dealname, updatedate)) - conn.commit() - reinsert = True - - if reinsert or not old_update_dates or updatedate not in old_update_dates: - sql_fields = ["dealname", "updatedate", "name", "IssuerName", "CurrentBalance", - "Maturity", "AssetSubtype", "AssetType", "GrossCoupon", - "Spread", "Frequency", "NextPaydate", "SecondLien", "LoanXID", - "Cusip", "IntexPrice", "IntexPriceSource", "IntexPriceDate", - "FixedOrFloat", "DefaultedFlag", "CovLite", "isCDO", - "Liborfloor", "ReinvFlag", "Currency", "Industry", "Country"] - sqlstr = "INSERT INTO ET_COLLATERAL({0}) VALUES({1})".format(",".join(sql_fields), - ",".join(["%s"] * len(sql_fields))) - with conn.cursor() as c: - try: - c.executemany(sqlstr, [(dealname, updatedate, k) + tuple(v) for k, v in data.items()]) - except (psycopg2.DataError, psycopg2.IntegrityError, TypeError) as detail: - logging.error(detail) - pdb.set_trace() - conn.commit() - -def intex_data(conn, workdate): - dealnames = [d.replace("_AD.txt", "").lower() for d in - os.listdir(os.path.join(root, "data", "Collaterals_" + workdate))] - basedir = os.path.join(root, "data", "Indicative_" + workdate) - files = [os.path.join(basedir, f) for f in os.listdir(basedir)] - cusip_files = [f for f in files if "TrInfo" in f] - deal_files = [f for f in files if "TrInfo" not in f] - #first load deal data - for deal_file in deal_files: - upload_deal_data(conn, deal_file) - #then load tranche data - for cusip_file in cusip_files: - upload_cusip_data(conn, cusip_file) - - upload_data(conn, dealnames, workdate) - -if __name__ == "__main__": - if len(sys.argv) > 1: - workdate = sys.argv[1] - else: - workdate = str(datetime.date.today()) - intex_data(conn, workdate) - conn.close() - print("done") |