diff options
Diffstat (limited to 'python/risk')
| -rw-r--r-- | python/risk/__main__.py | 9 | ||||
| -rw-r--r-- | python/risk/ir.py | 54 |
2 files changed, 52 insertions, 11 deletions
diff --git a/python/risk/__main__.py b/python/risk/__main__.py index 390f68aa..4669b864 100644 --- a/python/risk/__main__.py +++ b/python/risk/__main__.py @@ -1,7 +1,5 @@ import os -os.environ["SERENITAS_APP_NAME"] = "risk" - import serenitas.analytics import argparse import datetime @@ -12,9 +10,13 @@ from .bonds import subprime_risk, clo_risk, crt_risk, insert_subprime_risk from serenitas.analytics.base import Trade from serenitas.analytics.dates import prev_business_day from .indices import insert_curve_risk +from .ir import insert_ir_portfolio +from serenitas.analytics.api import IRSwaption from .swaptions import get_swaption_portfolio, insert_swaption_portfolio from .tranches import get_tranche_portfolio, insert_tranche_portfolio +os.environ["SERENITAS_APP_NAME"] = "risk" + parser = argparse.ArgumentParser() parser.add_argument( "cob", @@ -45,6 +47,9 @@ with dawn_pool.connection() as conn: fund, ("SER_IGCURVE", "SER_ITRXCURVE", "XCURVE", "SER_HYCURVE"), ) + ir_portf = IRSwaption.get_portfolio(workdate, fund=fund) + insert_ir_portfolio(ir_portf, conn) + with dbconn("etdb") as etconn, dawn_pool.connection() as dawnconn: subprime = subprime_risk(workdate, dawnconn, mysql_engine) diff --git a/python/risk/ir.py b/python/risk/ir.py index 3864569e..0cc68c89 100644 --- a/python/risk/ir.py +++ b/python/risk/ir.py @@ -1,15 +1,51 @@ -from serenitas.analytics import Portfolio, IRSwaption import logging +from psycopg import sql logger = logging.getLogger(__name__) -def get_ir_portfolio(date, conn, fund="SERCGMAST", **kwargs): - sql_str = "SELECT deal_id FROM list_ir_swaption_positions(%s, %s)" +def insert_ir_portfolio(portf, conn): + cols = [ + "date", + "swpt_id", + "notional", + "pv", + "vol", + "vol_type", + "DV01", + "IRGamma1bp", + "vega", + ] + sql_str = sql.SQL( + "INSERT INTO ir_swaption_risk({columns}) " + "VALUES({placeholders}) " + " ON CONFLICT (date, swpt_id) DO UPDATE " + "SET {update_str}" + ).format( + columns=sql.SQL(",").join([sql.Identifier(c) for c in cols]), + placeholders=sql.SQL(",").join([sql.Placeholder()] * len(cols)), + update_str=sql.SQL(",").join( + [ + sql.SQL("{c} = EXCLUDED.{c}").format(c=sql.Identifier(c)) + for c in cols[2:] + ] + ), + ) with conn.cursor() as c: - c.execute(sql_str, (date, fund)) - trade_ids = [tid for (tid,) in c] - - portf = Portfolio([IRSwaption.from_tradeid(tid) for tid in trade_ids], trade_ids) - portf.value_date = date - return portf + for trade_id, trade in portf.items(): + logger.info(f"marking IR swaption {trade_id}") + c.execute( + sql_str, + ( + trade.value_date, + trade_id, + trade.notional, + trade.pv, + trade.implied_vol, + trade._vol_type.name, + trade.DV01, + trade.IRGamma1bp, + trade.vega, + ), + ) + conn.commit() |