diff options
Diffstat (limited to 'python/risk')
| -rw-r--r-- | python/risk/swaptions.py | 143 | ||||
| -rw-r--r-- | python/risk/tranches.py | 16 |
2 files changed, 159 insertions, 0 deletions
diff --git a/python/risk/swaptions.py b/python/risk/swaptions.py new file mode 100644 index 00000000..79f42dc4 --- /dev/null +++ b/python/risk/swaptions.py @@ -0,0 +1,143 @@ +import argparse +import logging +import os +import pandas as pd +from pandas.tseries.offsets import BDay + +from analytics import Portfolio, BlackSwaption +from db import dbconn, DataError + +logging.basicConfig(filename=os.path.join(os.getenv("LOG_DIR"), + 'swaption_marks.log'), + level=logging.INFO, + format='%(asctime)s %(message)s') + + +def get_swaption_portfolio(date, conn, **kwargs): + with conn.cursor() as c: + c.execute("SELECT id, dealid FROM swaptions " + "WHERE (termination_date is NULL or termination_date > %s) " + "AND expiration_date > %s AND trade_date <= %s " + "AND swap_type='CD_INDEX_OPTION'", (date, date, date)) + try: + trade_ids, deal_ids = zip(*c) + except ValueError: + return {} + portf = Portfolio([BlackSwaption.from_tradeid(t) for t in trade_ids], + trade_ids=deal_ids) + portf.value_date = date + for t in portf.trades: + try: + t.mark(interp_method='bivariate_linear', **kwargs) + except Exception as e: + logging.info(e) + t.mark(interp_method='bivariate_linear', **kwargs) + return portf + + +def insert_swaption_portfolio(portf, conn): + sql_str = "INSERT INTO swaption_marks VALUES(%s, %s, %s, %s, %s, %s, %s)" + with conn.cursor() as c: + for id, trade in portf.items(): + to_insert = (id, trade.value_date, trade.pv, trade.delta, + trade.gamma, trade.vega, trade.theta) + try: + c.execute(sql_str, to_insert) + except DataError as e: + logging.error(e) + finally: + logging.info("succesfully marked trade id: %s", id) + conn.commit() + + +# def get_trades(date, engine): +# return pd.read_sql_query( +# "SELECT dealid, buysell, swaption_type, notional, strike, " \ +# "expiration_date, index, series FROM swaptions " \ +# "JOIN index_version ON (swaptions.security_id = index_version.redindexcode) " \ +# "WHERE termination_date is NULL AND expiration_date > %s AND trade_date <= %s", +# engine, 'dealid', params=(date, date), parse_dates=['expiration_date']) + + +# def get_swaptionvol(index, series, strike, expiry, date, engine): +# r = engine.execute( +# "SELECT ref, vol_payer AS payer, vol_receiver AS receiver, " \ +# "vol_payer_black AS payer_black, vol_receiver_black AS receiver_black " \ +# "FROM swaption_calib " \ +# "LEFT JOIN swaption_quotes USING (quote_id) " \ +# "LEFT JOIN swaption_ref_quotes USING (ref_id) "\ +# "WHERE index = %s " \ +# "AND series = %s AND strike=%s AND expiry = %s AND quotedate::date=%s " \ +# "ORDER BY quotedate desc", +# (index, series, strike, expiry, date)) +# try: +# result = r.fetchone() +# if result is None: +# logging.error("No data for {}{} {}K {} expiry on date {}". +# format(index, series, strike, expiry, date)) +# return result +# except exc.DataError as e: +# logging.error(e) +# except e: +# logging.error(e) + +# def mark_trades(date, engine): +# df = get_trades(date, engine) +# result = [] +# for trade in df.itertuples(): +# try: +# r = engine.execute("SELECT closespread, closeprice FROM index_quotes " \ +# "WHERE index=%s AND series=%s AND tenor='5yr' AND date=%s", +# (trade.index, trade.series, date)) +# closespread, closeprice = r.fetchone() +# except exc.DataError as e: +# logging.eror(e) +# except TypeError: +# logging.error("no quote for {}{} {} on date {}".format( +# trade.index, trade.series, '5yr', date)) +# underlying = Index.from_name(trade.index, trade.series, '5yr', date, +# trade.notional) +# quote = get_swaptionvol(trade.index, trade.series, trade.strike, trade.expiration_date.date(), +# date, serenitas_engine) +# if quote is None: +# continue +# underlying.ref = quote.ref +# swaption = Swaption(underlying, trade.expiration_date.date(), +# trade.strike, trade.swaption_type.lower()) +# swaption.sigma = getattr(quote, swaption.option_type) +# if swaption.sigma is None: +# swaption.sigma = quote.receiver if swaption.option_type == "payer" else quote.payer +# direction = 1. if trade.buysell else -1. +# market_value = swaption.pv * trade.notional * direction +# if trade.index in ["HY", "XO"]: +# market_value += (quote.ref - closeprice) / 100 * swaption.delta * trade.notional * direction +# else: +# market_value += swaption.DV01 * (closespread - quote.ref) * trade.notional * direction +# #compute the greeks at index mark +# swaption.index.spread = closespread +# swaption._update() + +# try: +# to_insert = (trade.Index, date, market_value, swaption.delta, swaption.gamma, +# swaption.vega) +# engine.execute("INSERT INTO swaption_marks VALUES(%s, %s, %s, %s, %s, %s)", +# to_insert) +# except exc.DataError as e: +# logging.error(e) +# finally: +# logging.info("succesfully marked trade id: %s", trade.Index) +# return result + + +if __name__ == "__main__": + parser = argparse.ArgumentParser() + parser.add_argument('workdate', nargs='?', + type=lambda s: pd.datetime.strptime(s, "%Y-%m-%d").date()), + args = parser.parse_args() + if args.workdate is None: + workdate = (pd.Timestamp.today()-BDay()).date() + else: + workdate = args.workdate + with dbconn('dawndb') as conn: + portf = get_swaption_portfolio(workdate, conn) + insert_swaption_portfolio(portf, conn) diff --git a/python/risk/tranches.py b/python/risk/tranches.py new file mode 100644 index 00000000..2c13daf7 --- /dev/null +++ b/python/risk/tranches.py @@ -0,0 +1,16 @@ +from db import dbconn, dbengine +from analytics import Portfolio, DualCorrTranche +import datetime +import pandas as pd + +sql_string = ("SELECT id, sum(notional * case when protection='Buyer' then -1 else 1 end) " + "OVER (partition by security_id, attach) AS ntl_agg " + "FROM cds WHERE swap_type='CD_INDEX_TRANCHE' AND termination_cp IS NULL") +conn = dbconn('dawndb') +with conn.cursor() as c: + c.execute(sql_string) + trade_ids = [dealid for dealid, ntl in c if ntl != 0] +portf = Portfolio([DualCorrTranche.from_tradeid(dealid) for dealid in trade_ids], + trade_ids) +portf.value_date = datetime.date(2018, 10, 10) +portf.mark() |