diff options
Diffstat (limited to 'python/risk/portfolio.py')
| -rw-r--r-- | python/risk/portfolio.py | 57 |
1 files changed, 31 insertions, 26 deletions
diff --git a/python/risk/portfolio.py b/python/risk/portfolio.py index afc71852..41b8ea2e 100644 --- a/python/risk/portfolio.py +++ b/python/risk/portfolio.py @@ -28,16 +28,43 @@ def hy_equiv_trade(value_date, notional): ) +def gen_bond_proxies(position_date, fund, conn): + rmbs_pos = subprime_risk(position_date, conn, dbengine("rmbs_model"), fund=fund) + crt_pos = crt_risk(position_date, conn, fund=fund) + with dbconn("etdb") as etconn: + clo_pos = clo_risk(position_date, conn, etconn, fund=fund) + + for name, position in zip( + ( + "rmbs_bonds", + "crt_bonds", + "clo_bonds", + ), + ( + rmbs_pos, + crt_pos, + clo_pos, + ), + ): + if not position.empty: + yield name, -position.get("hy_equiv", np.zeros(1)).sum() + + def build_portfolio(position_date, value_date, fund="SERCGMAST"): """ Output two portfolios: 1) All synthetic + curve with just delta-proxy + dummy index as cash bonds proxy (portf) - 2) All synthetic (portf_syn) + 2) Tranches + Index without Swaption Delta for JTD """ Trade.init_ontr(value_date) with dawn_pool.connection() as conn: portf = get_tranche_portfolio(position_date, conn, False, [fund]) + syn_portf = deepcopy(portf) + syn_portf += get_index_portfolio( + position_date, conn, fund, exclude_strategies="%OPTDEL" + ) + swaption_portf = get_swaption_portfolio(position_date, conn, fund=fund) swaption_portf.trade_ids = [tid[:-1] for tid in swaption_portf.trade_ids] portf += swaption_portf @@ -56,7 +83,6 @@ def build_portfolio(position_date, value_date, fund="SERCGMAST"): ("CASH_BASIS", "negate_basis_trades"), ) - syn_portf = deepcopy(portf) portf += nocurve_portf curve_portf.value_date = value_date curve_portf.mark() @@ -65,30 +91,9 @@ def build_portfolio(position_date, value_date, fund="SERCGMAST"): ("curve_trades", "curve_trades"), ) - if not curve_portf: - syn_portf = nocurve_portf - else: - syn_portf += curve_portf + nocurve_portf - - # get bond risks: - rmbs_pos = subprime_risk(position_date, conn, dbengine("rmbs_model"), fund=fund) - crt_pos = crt_risk(position_date, conn, fund=fund) - portf.add_trade( - hy_equiv_trade(value_date, -rmbs_pos.get("hy_equiv", np.zeros(1)).sum()), - ("rmbs_bonds", "rmbs_bonds"), - ) - portf.add_trade( - hy_equiv_trade(value_date, -crt_pos.get("hy_equiv", np.zeros(1)).sum()), - ("crt_bonds", "crt_bonds"), - ) - with dbconn("etdb") as etconn: - clo_pos = clo_risk(position_date, conn, etconn, fund=fund) - - if clo_pos is not None: - portf.add_trade( - hy_equiv_trade(value_date, -clo_pos["hy_equiv"].sum()), - ("clo_bonds", "clo_bonds"), - ) + # Add the bond proxies to the portfolio only + for name, notional in gen_bond_proxies(position_date, fund, conn): + portf.add_trade(hy_equiv_trade(value_date, notional), (name, name)) for p in [portf, syn_portf]: p.value_date = value_date |