1 files changed, 46 insertions, 0 deletions
diff --git a/python/position.py b/python/position.py
index 2f3d4473..50f23df1 100644
--- a/python/position.py
+++ b/python/position.py
@@ -1,3 +1,4 @@
+from quantlib.time.date import Friday, nth_weekday, pydate_from_qldate
 from serenitas.analytics.bbg_helpers import bbg_retry, retrieve_data
 from serenitas.analytics.dates import prev_business_day
 from serenitas.utils.db2 import InfDateLoaderPandas
@@ -409,6 +410,51 @@ def update_hyg_vol(conn, session, start_date: datetime.date = None):
     conn.commit()
 
 
+def update_hyg_vol_surface(conn, session, start_date: datetime.date = None):
+    # year = 2023
+    # months = [3, 4, 5]
+    # expiries = [nth_weekday(3, Wednesday, m, year) for m in months]
+
+    # def bbg_ticker(exp, mon):
+    #     exp = f"{exp:%b%y}".upper()
+    #     return f"HYG US {exp} {mon} VOL Equity"
+
+    # moneyness = [80, 90, 95, 100, 102.5, 105, 110]
+    # securities = [bbg_ticker(exp, mon) for exp, mon in product(expiries, moneyness)]
+    expiries = [pydate_from_qldate(e) for e in [nth_weekday(3, Friday, 5, 2023)]]
+    strikes = [69, 70, 70.5, 71, 71.5, 72, 72.5, 73, 73.5, 74, 75, 76, 77, 78, 79, 80]
+
+    def bbg_ticker(expiry, option_type, strike):
+        return f"HYG US {expiry:%m/%d/%y} {option_type}{strike} Equity"
+
+    securities = [
+        bbg_ticker(exp, t, s) for exp, s, t in product(expiries, strikes, ("P", "C"))
+    ]
+    d = retrieve_data(
+        session,
+        securities,
+        fields=[
+            "PX_LAST",
+        ],
+        start_date=start_date,
+    )
+    for exp, s, t in product(expiries, strikes, ("P", "C")):
+        data = d[bbg_ticker(exp, t, s)]
+        if "PX_LAST" in data:
+            df = data["PX_LAST"]
+        else:
+            continue
+
+        with conn.cursor() as c:
+            c.executemany(
+                "INSERT INTO hyg_option_quotes(date, expiry, strike, option_type, price) "
+                "VALUES (%s, %s, %s, %s, %s) "
+                "ON CONFLICT DO NOTHING",
+                [(d, exp, s, t, val) for d, val in df.items()],
+            )
+    conn.commit()
+
+
 if __name__ == "__main__":
     from serenitas.utils.pool import serenitas_pool, dawn_pool
     import argparse