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Diffstat (limited to 'python/mark_swaptions.py')
| -rw-r--r-- | python/mark_swaptions.py | 143 |
1 files changed, 0 insertions, 143 deletions
diff --git a/python/mark_swaptions.py b/python/mark_swaptions.py deleted file mode 100644 index 79f42dc4..00000000 --- a/python/mark_swaptions.py +++ /dev/null @@ -1,143 +0,0 @@ -import argparse -import logging -import os -import pandas as pd -from pandas.tseries.offsets import BDay - -from analytics import Portfolio, BlackSwaption -from db import dbconn, DataError - -logging.basicConfig(filename=os.path.join(os.getenv("LOG_DIR"), - 'swaption_marks.log'), - level=logging.INFO, - format='%(asctime)s %(message)s') - - -def get_swaption_portfolio(date, conn, **kwargs): - with conn.cursor() as c: - c.execute("SELECT id, dealid FROM swaptions " - "WHERE (termination_date is NULL or termination_date > %s) " - "AND expiration_date > %s AND trade_date <= %s " - "AND swap_type='CD_INDEX_OPTION'", (date, date, date)) - try: - trade_ids, deal_ids = zip(*c) - except ValueError: - return {} - portf = Portfolio([BlackSwaption.from_tradeid(t) for t in trade_ids], - trade_ids=deal_ids) - portf.value_date = date - for t in portf.trades: - try: - t.mark(interp_method='bivariate_linear', **kwargs) - except Exception as e: - logging.info(e) - t.mark(interp_method='bivariate_linear', **kwargs) - return portf - - -def insert_swaption_portfolio(portf, conn): - sql_str = "INSERT INTO swaption_marks VALUES(%s, %s, %s, %s, %s, %s, %s)" - with conn.cursor() as c: - for id, trade in portf.items(): - to_insert = (id, trade.value_date, trade.pv, trade.delta, - trade.gamma, trade.vega, trade.theta) - try: - c.execute(sql_str, to_insert) - except DataError as e: - logging.error(e) - finally: - logging.info("succesfully marked trade id: %s", id) - conn.commit() - - -# def get_trades(date, engine): -# return pd.read_sql_query( -# "SELECT dealid, buysell, swaption_type, notional, strike, " \ -# "expiration_date, index, series FROM swaptions " \ -# "JOIN index_version ON (swaptions.security_id = index_version.redindexcode) " \ -# "WHERE termination_date is NULL AND expiration_date > %s AND trade_date <= %s", -# engine, 'dealid', params=(date, date), parse_dates=['expiration_date']) - - -# def get_swaptionvol(index, series, strike, expiry, date, engine): -# r = engine.execute( -# "SELECT ref, vol_payer AS payer, vol_receiver AS receiver, " \ -# "vol_payer_black AS payer_black, vol_receiver_black AS receiver_black " \ -# "FROM swaption_calib " \ -# "LEFT JOIN swaption_quotes USING (quote_id) " \ -# "LEFT JOIN swaption_ref_quotes USING (ref_id) "\ -# "WHERE index = %s " \ -# "AND series = %s AND strike=%s AND expiry = %s AND quotedate::date=%s " \ -# "ORDER BY quotedate desc", -# (index, series, strike, expiry, date)) -# try: -# result = r.fetchone() -# if result is None: -# logging.error("No data for {}{} {}K {} expiry on date {}". -# format(index, series, strike, expiry, date)) -# return result -# except exc.DataError as e: -# logging.error(e) -# except e: -# logging.error(e) - -# def mark_trades(date, engine): -# df = get_trades(date, engine) -# result = [] -# for trade in df.itertuples(): -# try: -# r = engine.execute("SELECT closespread, closeprice FROM index_quotes " \ -# "WHERE index=%s AND series=%s AND tenor='5yr' AND date=%s", -# (trade.index, trade.series, date)) -# closespread, closeprice = r.fetchone() -# except exc.DataError as e: -# logging.eror(e) -# except TypeError: -# logging.error("no quote for {}{} {} on date {}".format( -# trade.index, trade.series, '5yr', date)) -# underlying = Index.from_name(trade.index, trade.series, '5yr', date, -# trade.notional) -# quote = get_swaptionvol(trade.index, trade.series, trade.strike, trade.expiration_date.date(), -# date, serenitas_engine) -# if quote is None: -# continue -# underlying.ref = quote.ref -# swaption = Swaption(underlying, trade.expiration_date.date(), -# trade.strike, trade.swaption_type.lower()) -# swaption.sigma = getattr(quote, swaption.option_type) -# if swaption.sigma is None: -# swaption.sigma = quote.receiver if swaption.option_type == "payer" else quote.payer -# direction = 1. if trade.buysell else -1. -# market_value = swaption.pv * trade.notional * direction -# if trade.index in ["HY", "XO"]: -# market_value += (quote.ref - closeprice) / 100 * swaption.delta * trade.notional * direction -# else: -# market_value += swaption.DV01 * (closespread - quote.ref) * trade.notional * direction -# #compute the greeks at index mark -# swaption.index.spread = closespread -# swaption._update() - -# try: -# to_insert = (trade.Index, date, market_value, swaption.delta, swaption.gamma, -# swaption.vega) -# engine.execute("INSERT INTO swaption_marks VALUES(%s, %s, %s, %s, %s, %s)", -# to_insert) -# except exc.DataError as e: -# logging.error(e) -# finally: -# logging.info("succesfully marked trade id: %s", trade.Index) -# return result - - -if __name__ == "__main__": - parser = argparse.ArgumentParser() - parser.add_argument('workdate', nargs='?', - type=lambda s: pd.datetime.strptime(s, "%Y-%m-%d").date()), - args = parser.parse_args() - if args.workdate is None: - workdate = (pd.Timestamp.today()-BDay()).date() - else: - workdate = args.workdate - with dbconn('dawndb') as conn: - portf = get_swaption_portfolio(workdate, conn) - insert_swaption_portfolio(portf, conn) |