diff options
Diffstat (limited to 'python/risk')
| -rw-r--r-- | python/risk/tranches.py | 34 |
1 files changed, 27 insertions, 7 deletions
diff --git a/python/risk/tranches.py b/python/risk/tranches.py index e88b48ea..01c08951 100644 --- a/python/risk/tranches.py +++ b/python/risk/tranches.py @@ -1,3 +1,4 @@ +from pyisda.date import cds_accrued from serenitas.analytics.api import Portfolio, DualCorrTranche from serenitas.analytics.dates import prev_business_day from serenitas.analytics.utils import get_fx @@ -65,8 +66,11 @@ def insert_tranche_pnl_explain(portf, conn): ) daily_trades = {rec.id: rec for rec in c} c.execute( - "SELECT dealid, termination_amount, termination_fee, currency::text " - "FROM terminations WHERE deal_type='CDS' AND termination_date=%s", + "SELECT terminations.dealid, termination_amount, termination_fee, terminations.currency::text, " + "cds.notional * delta_alloc * (CASE WHEN cds.protection='Buyer' THEN -1.0 ELSE 1.0 END) AS notional, " + "cds.upfront * delta_alloc AS delta_upfront " + "FROM terminations LEFT JOIN cds ON cds.id=terminations.delta_id " + "WHERE deal_type='CDS' AND termination_date=%s", (value_date,), ) terminations = {int(rec.dealid.removeprefix("SCCDS")): rec for rec in c} @@ -90,7 +94,20 @@ def insert_tranche_pnl_explain(portf, conn): if trade_id not in current_trades: previous_risk = prev_day_risk[trade_id] pnl = pnl - (previous_risk.clean_nav + previous_risk.accrued) - delta_pnl = 0 # FIXME + dirty_index_pv = ( + 1 + - previous_risk.index_refprice * 0.01 + - cds_accrued(prev_day, previous_risk.running * 1e-4) + ) + if ( + term.delta_upfront + ): # if None means either no delta or we didn't populate + delta_pnl = ( + term.delta_upfront + - term.notional * dirty_index_pv * previous_risk.index_factor + ) + else: + delta_pnl = 0.0 else: trade = current_trades[trade_id] if trade_id in prev_day_risk: @@ -118,10 +135,13 @@ def insert_tranche_pnl_explain(portf, conn): fx_pnl = 0.0 day_trade = daily_trades[trade_id] dirty_index_pv = float(trade._index.pv() - trade._index.accrued()) - delta_pnl = ( - day_trade.notional * dirty_index_pv * trade._index.factor - - day_trade.delta_upfront - ) + if day_trade.notional: + delta_pnl = ( + day_trade.notional * dirty_index_pv * trade._index.factor + - day_trade.delta_upfront + ) + else: # if None means either no delta or we didn't populate + delta_pnl = 0 pnl += trade.pv * get_fx(value_date, trade.currency) unexplained = pnl - delta_pnl - fx_pnl to_insert.append( |