diff options
Diffstat (limited to 'python/notebooks')
| -rw-r--r-- | python/notebooks/Reto Report.ipynb | 100 |
1 files changed, 90 insertions, 10 deletions
diff --git a/python/notebooks/Reto Report.ipynb b/python/notebooks/Reto Report.ipynb index a03c2e0f..542d324c 100644 --- a/python/notebooks/Reto Report.ipynb +++ b/python/notebooks/Reto Report.ipynb @@ -84,6 +84,15 @@ "metadata": {}, "outputs": [], "source": [ + "results.to_clipboard()" + ] + }, + { + "cell_type": "code", + "execution_count": null, + "metadata": {}, + "outputs": [], + "source": [ "################################### Find the strategies that are not defined: undefined needs to be mapped in strat_map\n", "strats = pd.read_csv('/home/serenitas/edwin/Python/strat_map.csv')\n", "nav = go.get_net_navs()\n", @@ -113,7 +122,7 @@ "#Actually: Rolling 12 months sum of (total bond sales proceeds + paydown)/monthly NAV\n", "nav = go.get_net_navs()\n", "fund='SERCGMAST'\n", - "sql_string = \"SELECT * FROM bonds WHERE NOT buysell and fund = %s\"\n", + "sql_string = \"SELECT * FROM bond_trades WHERE NOT buysell and fund = %s\"\n", "df = pd.read_sql_query(sql_string, dawn_engine,\n", " parse_dates={'lastupdate':{'utc':True}, 'trade_date': {}, 'settle_date':{}},\n", " params=[fund,],\n", @@ -289,12 +298,32 @@ " lambda df: df.loc[df.index[-1]]\n", " )\n", "df = df[~df['invid'].isin(['USDLOAN', 'EURLOAN'])]\n", - "pvs = df['endbooknav'].groupby(['periodenddate', df['endbooknav'] >0]).sum().unstack().rename(\n", + "df = df[~df['port'].isin(['SER_TEST__SER_TEST', 'GFS_HELPER_BUSINESS_UNIT'])]\n", + "pvs = df.groupby(['periodenddate', df['endbooknav'] >0])['endbooknav'].sum().unstack().rename(\n", " columns={True:'endbooknav_pos', False:'endbooknav_neg'})\n", "nav = nav.merge(pvs, left_index=True, right_index=True)\n", "nav['long_leverage'] = nav['endbooknav_pos']/nav.endbooknav\n", "nav['gross_leverage'] = (nav['endbooknav_pos']-nav['endbooknav_neg'])/nav.endbooknav\n", - "print (\"positive pv/nav: \" + str(nav['long_leverage'].mean()), \"gross pv/nav: \" + str(nav['gross_leverage'].mean()))" + "print (\"positive pv/nav: \" + str(nav['long_leverage'].mean()), \"gross pv/nav: \" + str(nav['gross_leverage'].mean()))\n", + "################################### Broken out by stratey too\n", + "pvs = df.groupby(['periodenddate', 'port', df['endbooknav'] >0])['endbooknav'].sum().unstack().rename(\n", + " columns={True:'endbooknav_pos', False:'endbooknav_neg'}).unstack(level=1)\n", + "data={}\n", + "for name in ['endbooknav_pos', 'endbooknav_neg']:\n", + " pv_gross = pvs.xs(name, level = 'endbooknav', axis=1)\n", + " pv_gross.loc[:, 'TRANCHE'] = pv_gross[['IG', 'HY', 'LQD_TRANCH','TRANCHE']].fillna(0).sum(axis=1)\n", + " pv_gross.rename({'CURVE': 'CREDIT CURVES',\n", + " 'HEDGE_MAC': 'MACRO HEDGE',\n", + " 'IR': 'INTEREST RATE DERIVATIVES',\n", + " 'MORTGAGES': 'MORTGAGE BONDS',\n", + " 'OPTIONS': 'CREDIT OPTIONS',\n", + " 'STRUCTURED': 'CSO BONDS',\n", + " 'TRANCHE': 'CREDIT TRANCHES'}, axis=1, inplace=True)\n", + " pv_gross.drop(['LQD_TRANCH', 'IG', 'HY'], inplace=True, axis=1)\n", + " pv_gross = pv_gross.merge(nav['endbooknav'], left_index=True, right_index=True)\n", + " data[name] = pv_gross.iloc[:,:-1].div(pv_gross['endbooknav'], axis=0)\n", + "data['endbooknav_pos'].to_clipboard()\n", + "data['endbooknav_neg'].to_clipboard()" ] }, { @@ -345,19 +374,70 @@ "metadata": {}, "outputs": [], "source": [ + "################################## historical cash balances: NAV - bondNAV - IA - IM\n", + "nav = go.get_net_navs()\n", + "portf = go.get_portfolio()\n", + "strats = pd.read_csv('/home/serenitas/edwin/Python/strat_map.csv')\n", + "nav['bdate_end'] = pd.bdate_range(start=nav.index.min(), end=nav.index.max(), freq=\"BM\")\n", + "\n", + "df = portf.groupby(pd.Grouper(freq=\"M\"), group_keys=False).apply(\n", + " lambda df: df.loc[df.index[-1]]\n", + " )\n", + "df = df[~df['invid'].isin(['USDLOAN', 'EURLOAN'])]\n", + "df = df[~df['port'].isin(['SER_TEST__SER_TEST', 'GFS_HELPER_BUSINESS_UNIT'])]\n", + "df = df.reset_index().merge(strats, on=['strat', 'custacctname'], how='left')\n", + "bondNAV = df[df['capital'].str.contains('Bonds')].groupby(['periodenddate'])['endbooknav'].sum()\n", + "bondNAV.name = 'bondNAV'\n", + "\n", + "#now get IM - note need to deal with EUR, it is not correct\n", + "fx = pd.read_sql_query(\"select date, eurusd from fx\", dawn_engine, parse_dates='date', index_col = 'date')\n", + "sql_string = \"select date, currency, current_im from fcm_moneyline where currency <> 'ZZZZZ'\"\n", + "im = pd.read_sql_query(sql_string, dawn_engine, parse_dates='date', index_col = 'date').join(fx)\n", + "im['im'] = im.apply(lambda x: x.eurusd * x.current_im if x.currency == 'EUR' else x.current_im, axis =1)\n", + "im = im['im'].groupby('date').sum()\n", + "\n", + "#now get IA - from tranches, swaptions and interest rate derivatives\n", + "ia = pd.DataFrame()\n", + "sqlt = \"SELECT initial_margin FROM tranche_risk_agg(%s)\"\n", + "sqls = \"SELECT initial_margin from list_swaption_positions_and_risks(%s)\"\n", + "for d in nav['bdate_end']:\n", + " for s in [sqlt, sqls]:\n", + " temp = pd.read_sql_query(s, dawn_engine, params=[d.date(),])\n", + " temp['date'] = d.date()\n", + " ia = ia.append(temp)\n", + "ia = ia.groupby('date').sum()\n", + "ia.index = pd.to_datetime(ia.index)\n", + "\n", + "#now get it all together\n", + "nav = nav.join(bondNAV, how='left')\n", + "nav = nav.merge(im, left_on='bdate_end', right_index=True)\n", + "nav = nav.merge(ia, left_on='bdate_end', right_index=True)\n", + "nav['fcash'] = nav['endbooknav'] - nav[['im', 'initial_margin', 'bondNAV']].sum(axis=1)\n", + "nav['fcashPercent'] = nav['fcash']/nav['endbooknav']" + ] + }, + { + "cell_type": "code", + "execution_count": null, + "metadata": {}, + "outputs": [], + "source": [ "################################## Historical Notioinals and HY Equiv\n", - "dates = pd.date_range(datetime.date(2013, 1, 30), datetime.datetime.today() - MonthEnd(1), freq=\"BM\")\n", + "dates = pd.date_range(datetime.date(2019, 12, 30), datetime.datetime.today() - MonthEnd(1), freq=\"BM\")\n", "#look for a day with HY quotes... we need that to construct HY Equiv\n", "sql_string = 'select distinct(date) from index_quotes where index = %s order by date asc'\n", "hy_dates = pd.read_sql_query(sql_string, serenitas_engine, parse_dates = 'date', params=['HY',])\n", "def nearest(items, pivot):\n", " return min(items, key=lambda x: abs(x - pivot))\n", - "hy_dates.apply(lambda x: nearest(dates, x))\n", - "pd.merge_asof(pd.DataFrame(dates), hy_dates, left_index=True, right_index=True)\n", + "#hy_dates.apply(lambda x: nearest(dates, x))\n", + "#pd.merge_asof(pd.DataFrame(dates), hy_dates, left_on='0', right_on='date')\n", + "dates = pd.merge_asof(pd.DataFrame(dates, columns=['date']), hy_dates, left_on='date', right_on='date')\n", "portfs = {}\n", - "for d in dates:\n", + "hye = {}\n", + "for d in dates.date:\n", " d = d.date()\n", - " portfs[d] = build_portf(d)" + " portfs[d], _ = build_portfolio(d, d)\n", + " hye[d] = portfs[d].hy_equiv" ] }, { @@ -401,9 +481,9 @@ ], "metadata": { "kernelspec": { - "display_name": "Python 3.8.1 64-bit", + "display_name": "Python 3.9.1 64-bit", "language": "python", - "name": "python38164bitc40c8740e5d542d7959acb14be96f4f3" + "name": "python39164bit6ddd573894c04d6a858a9a58880cc9d4" }, "language_info": { "codemirror_mode": { |