1 files changed, 42 insertions, 19 deletions
diff --git a/python/recon_bowdst.py b/python/recon_bowdst.py
index a8326224..a37d74ac 100644
--- a/python/recon_bowdst.py
+++ b/python/recon_bowdst.py
@@ -3,9 +3,6 @@ from serenitas.utils.db import dbconn
 
 dawndb = dbconn("dawndb")
 
-
-# Bonds
-
 df = pd.read_excel("/home/serenitas/flint/rec.xlsx")
 
 security_balance = df[df["Asset Type"] == "FIXED INCOME SECURITIES"][
@@ -14,22 +11,48 @@ security_balance = df[df["Asset Type"] == "FIXED INCOME SECURITIES"][
 print(f"The current security balance is {security_balance}")
 
 bowd_bond_trades = df[df["CUSIP"].notnull()]
-db_bond_trades = pd.read_sql_query(
-    "select * from risk_positions('2021-02-25', null, 'BOWDST')", dawndb
-)
 
-bowd_bond_trades.merge(
-    db_bond_trades, left_on="Mellon Security ID", right_on="identifier", how="outer"
-)[
-    [
-        "description",
-        "identifier",
-        "notional",
-        "factor",
-        "Shares/Par",
-        "Base Market Value",
-        "usd_market_value",
+asset_classes = ["Subprime", "CRT", "CLO"]
+
+for asset in asset_classes:
+    db_bond_trades = pd.read_sql_query(
+        f"select * from risk_positions('2021-02-26', %s, 'BOWDST')",
+        dawndb,
+        params=(asset,),
+    )
+
+    new_df = bowd_bond_trades.merge(
+        db_bond_trades, left_on="Mellon Security ID", right_on="identifier", how="right"
+    )[
+        [
+            "description",
+            "identifier",
+            "notional",
+            "factor",
+            "Shares/Par",
+            "Base Market Value",
+            "usd_market_value",
+        ]
     ]
-]
+    new_df["db_notional"] = new_df["Shares/Par"] * new_df["factor"]
+#     print(new_df)
+
+date = "2021-02-28"
 
-# market value differences
+tranche_trades = pd.read_sql_query(
+    f"select security_desc, maturity, orig_attach, orig_detach, sum(notional * tranche_factor) as db_notional, sum(admin_notional) as admin_notional, sum(serenitas_clean_nav) as db_mv, sum(admin_clean_nav) as bowd_mv from tranche_risk_bowdst where date=%s group by security_desc, maturity, orig_attach, orig_detach ;",
+    dawndb,
+    params=(date,),
+)
+
+cdx_trades = pd.read_sql_query(
+    f"select security_id, security_desc, index, series, version, maturity, globeop_notional as admin_notional, notional * factor as db_notional, clean_nav as db_nav, globeop_nav as admin_nav from list_cds_marks(%s, null, 'BOWDST')",
+    dawndb,
+    params=(date,),
+)
+
+cdx_swaption_trades = pd.read_sql_query(
+    f"select security_id, option_type, strike, expiration_date, sum(serenitas_nav) as db_mv, sum(globeop_nav) as admin_mv from list_swaption_positions_and_risks(%s, 'BOWDST') group by security_id, option_type, strike, expiration_date;",
+    dawndb,
+    params=(date,),
+)