diff options
Diffstat (limited to 'python/position.py')
| -rw-r--r-- | python/position.py | 81 |
1 files changed, 45 insertions, 36 deletions
diff --git a/python/position.py b/python/position.py index e3bced7a..cd66952d 100644 --- a/python/position.py +++ b/python/position.py @@ -138,29 +138,6 @@ def update_fx(conn, session, currencies): conn.commit() -def init_swap_rates( - conn, - session, - tenors=[1, 2, 3, 4, 5, 6, 7, 8, 9, 10, 15, 20, 30], - start_date=datetime.date(1998, 10, 7), -): - securities = [f"USISDA{t:02} Index" for t in tenors] - data = retrieve_data( - session, securities, ["PX_LAST"], start_date=datetime.date(1998, 10, 7) - ) - for t in tenors: - ticker = f"USISDA{t:02} Index" - sql_str = ( - f'INSERT INTO USD_swap_fixings(fixing_date, "{t}y") ' - + "VALUES(%s, %s) ON CONFLICT (fixing_date)" - + f' DO UPDATE SET "{t}y" = excluded."{t}y"' - ) - - with conn.cursor() as c: - c.executemany(sql_str, [(d, r) for d, r in data[ticker]["PX_LAST"].items()]) - conn.commit() - - def init_swaption_vol( session, tenors=["A", "C", "F", "I"] + list(range(1, 11)) + [15, 20, 25, 30], @@ -267,19 +244,35 @@ def update_swaption_vol( def update_swap_rates( - conn, session, tenors=[1, 2, 3, 4, 5, 6, 7, 8, 9, 10, 15, 20, 30] + conn, + session, + tenors=[1, 2, 3, 4, 5, 6, 7, 8, 9, 10, 15, 20, 30], + start_date: datetime.date = None, ): - securities = [f"USISDA{t:02} Index" for t in tenors] - data = retrieve_data(session, securities, ["PX_LAST", "LAST_UPDATE_DT"]) - for t in tenors: - ticker = f"USISDA{t:02} Index" - sql_str = ( - f'INSERT INTO USD_swap_fixings(fixing_date, "{t}y") ' - + "VALUES(%(LAST_UPDATE_DT)s, %(PX_LAST)s) ON CONFLICT (fixing_date)" - + f' DO UPDATE SET "{t}y" = %(PX_LAST)s' + securities = {t: f"USISDA{t:02} Index" for t in tenors} + if start_date is None: + data = retrieve_data( + session, list(securities.values()), ["PX_LAST", "LAST_UPDATE_DT"] ) - with conn.cursor() as c: - c.execute(sql_str, data[ticker]) + else: + data = retrieve_data( + session, list(securities.values()), ["PX_LAST"], start_date=start_date + ) + + with conn.cursor() as c: + for t, ticker in securities.items(): + sql_str = ( + f'INSERT INTO USD_swap_fixings(fixing_date, "{t}y") ' + + "VALUES(%s, %s) ON CONFLICT (fixing_date)" + + f' DO UPDATE SET "{t}y" = %s' + ) + d = data[ticker] + if start_date is None: + c.execute(sql_str, (d["LAST_UPDATE_DT"], d["PX_LAST"], d["PX_LAST"])) + else: + c.executemany( + sql_str, [(date, val, val) for date, val in d["PX_LAST"].items()] + ) conn.commit() @@ -393,6 +386,21 @@ def populate_cashflow_history(conn, session, workdate=None, funds=("SERCGMAST",) conn.commit() +def update_hyg_vol(conn, session, start_date: datetime.date = None): + d = retrieve_data( + session, + ["HYG US Equity"], + fields=["PX_LAST", "CALL_IMP_VOL_30D", "3MO_CALL_IMP_VOL"], + start_date=start_date, + ) + df = d["HYG US Equity"] + with conn.cursor() as c: + c.executemany( + "INSERT INTO hyg_vol_data VALUES (%s, %s, %s, %s)", + df.itertuples(index=True), + ) + + if __name__ == "__main__": from serenitas.utils.pool import serenitas_pool, dawn_pool import argparse @@ -421,8 +429,9 @@ if __name__ == "__main__": ), ) update_fx(dawn_conn, session, ["EURUSD", "CADUSD"]) - update_swap_rates(serenitas_conn, session) - update_cash_rates(serenitas_conn, session) + update_swap_rates(serenitas_conn, session, start_date=workdate) + update_cash_rates(serenitas_conn, session, workdate) + update_hyg_vol(serenitas_conn, session, workdate) for vol_type in ["N", "V", "N_OIS"]: update_swaption_vol( serenitas_conn, session, start_from=workdate, vol_type=vol_type |