1 files changed, 99 insertions, 0 deletions
diff --git a/python/risk_insight/__init__.py b/python/risk_insight/__init__.py
new file mode 100644
index 00000000..114c1185
--- /dev/null
+++ b/python/risk_insight/__init__.py
@@ -0,0 +1,99 @@
+from flask import Flask, render_template, jsonify, request, g
+import os, csv, yaml
+import datetime
+import psycopg2
+
+app = Flask(__name__)
+
+basedir = "/home/share/CorpCDOs"
+
+def get_attach_from_name(index_type, series):
+    if index_type.lower() == "ig":
+        if series == 9:
+            attach = [0, 3, 7, 10, 15, 30, 100]
+        else:
+            attach = [0, 3, 7, 15, 100]
+    elif index_type.lower() == "hy":
+        attach = [0, 15, 25, 35, 100]
+    elif index_type.lower() == "xo":
+        attach = [0, 10, 20, 35, 100]
+    elif index_type.lower() == "eu":
+        if series == 9:
+            attach = [0, 3, 6, 9, 12, 22, 100]
+        else:
+            attach = [0, 3, 6, 12, 100]
+    return attach
+
+def get_db():
+    db = getattr(g, '_database', None)
+    if db is None:
+        db = g._database = psycopg2.connect(database="serenitasdb",
+                                            user="serenitas_user",
+                                            host="debian")
+    return db
+
+@app.teardown_appcontext
+def close_connection(exception):
+    db = getattr(g, '_database', None)
+    if db is not None:
+        db.close()
+
+@app.route("/_data_tranches")
+def get_risk_numbers():
+    index = request.args.get("i")
+    series = request.args.get("s", 0, int)
+    tenor = request.args.get("t")
+    greek = request.args.get("g")
+    data = []
+    db = get_db()
+    attach = get_attach_from_name(index, series)
+    sqlstr = "SELECT to_char(date, 'YYYY/MM/DD'), \"{0}\" from risk_numbers " \
+             "WHERE index=%s and series=%s and tenor=%s ORDER BY date".format(greek)
+    with db.cursor() as c:
+        c.execute(sqlstr, (index.upper(), series, tenor))
+        data = [[val[0]]+val[1] for val in c]
+    return jsonify(labels=["Date"] + ["{0}-{1} {2}".format(l, u, greek) for l, u in zip(attach[:-1], attach[1:])],
+                   data=data)
+
+@app.route("/_data_indices")
+def get_indices_quotes():
+    index = request.args.get("i")
+    series = request.args.get("s", 0, int)
+    tenor = request.args.get("t")
+    what = request.args.get("w")
+    data = []
+    db = get_db()
+    sqlstr = "SELECT to_char(date, 'YYYY/MM/DD'), {0} " \
+             "from index_quotes WHERE index=%s and series=%s " \
+             "and tenor=%s ORDER BY date"
+    query_columns = {'quotes': "closeprice, modelprice",
+                     'adjquotes': "adjcloseprice, adjmodelprice",
+                     'basis': "closeprice-modelprice",
+                     'theta': "theta",
+                     'duration': "duration"}
+    labels = {'quotes': ["Date", "Close", "FV"],
+              'adjquotes': ["Date", "AdjClose", "AdjFV"],
+              'basis': ["Date", "Basis"],
+              'theta': ["Date", "Theta"],
+              'duration': ["Date", "Duration"]}
+    sqlstr = sqlstr.format(query_columns[what])
+    with db.cursor() as c:
+        c.execute(sqlstr, (index.upper(), series, tenor))
+        data = c.fetchall()
+    return jsonify(labels = labels[what],
+                   data = data)
+
+@app.route("/tranches.html")
+def tranches():
+    with open(os.path.join(basedir, "code", "etc", "runs.yml")) as fh:
+        runs = yaml.load(fh)
+    series_list = sorted(list(set([int(name[2:]) for name in runs['name']])))
+    return render_template("tranches.html", series=series_list)
+
+@app.route("/indices.html")
+def indices():
+    return render_template("indices.html", series=[9, 10, 11, 13] + list(range(16, 25)))
+
+@app.route("/")
+def main():
+    return render_template("index.html")