diff options
Diffstat (limited to 'python')
| -rw-r--r-- | python/reto.py | 81 |
1 files changed, 72 insertions, 9 deletions
diff --git a/python/reto.py b/python/reto.py index d6114583..7ba2bb86 100644 --- a/python/reto.py +++ b/python/reto.py @@ -1,18 +1,24 @@ import datetime +import argparse +import warnings +import logging +from copy import deepcopy import pandas as pd import numpy as np -import argparse from risk.portfolio import build_portfolio, generate_vol_surface import serenitas.analytics as ana from serenitas.analytics.scenarios import run_portfolio_scenarios from serenitas.analytics.base import Trade -from serenitas.utils.db2 import dbconn +from serenitas.analytics.index_data import load_all_curves from serenitas.analytics.dates import prev_business_day +from serenitas.utils.db2 import dbconn +from serenitas.utils.pool import serenitas_pool def gen_shocks(portf, shock_date, fund): + portf = deepcopy(portf) Trade.init_ontr(shock_date) ana._local = False ontr_spread = Trade._ontr["HY"].spread @@ -77,7 +83,7 @@ def gen_shocks(portf, shock_date, fund): return results -def save_shocks(date, df, fund): +def save_shocks(conn, date, df, fund): with conn.cursor() as c: c.execute( "DELETE FROM shocks WHERE fund=%s AND date=%s", @@ -87,15 +93,52 @@ def save_shocks(date, df, fund): ), ) conn.commit() - with conn.cursor() as c: c.executemany( "INSERT INTO shocks VALUES (%s, %s, %s, %s, %s, %s)", [(*t, fund) for t in df.itertuples(index=False)], ) + conn.commit() + + +def get_survival_curves(date): + with serenitas_pool.connection() as conn: + surv_curves = load_all_curves(conn, date) + surv_curves["spread"] = surv_curves["curve"].apply( + lambda sc: sc.inspect()["data"][5][1] * (1 - sc.recovery_rates[5]) + ) + return surv_curves.groupby(level=0).first()[["name", "company_id", "spread"]] + + +def gen_jtd(portf, survival_curves): + portf = deepcopy(portf) + jtd = portf.jtd_single_names() + jtd = jtd[[jtd.columns[0]]].join(survival_curves) + jtd.columns = ["jtd", "name", "company_id", "5yr_spread"] + jtd = jtd.groupby(["company_id", "name"]).sum() + return jtd.reset_index() + + +def save_jtd(conn, date, df, fund): + with conn.cursor() as c: + c.execute( + "DELETE FROM jtd_risks WHERE fund=%s AND date=%s", + ( + fund, + date, + ), + ) + conn.commit() + c.executemany( + "INSERT INTO jtd_risks VALUES (%s, %s, %s, %s, %s, %s)", + [(date, fund, *t) for t in df.itertuples(index=False)], + ) + conn.commit() if __name__ == "__main__": - parser = argparse.ArgumentParser(description="Shock data and insert into DB") + parser = argparse.ArgumentParser( + description="Shock data/ calculate JTD and insert into DB" + ) parser.add_argument( "date", nargs="?", @@ -105,7 +148,27 @@ if __name__ == "__main__": parser.add_argument("-n", "--no-upload", action="store_true", help="do not upload") args = parser.parse_args() conn = dbconn("dawndb") - for fund in ("SERCGMAST", "BOWDST", "ISOSEL", "BRINKER"): - portf, _ = build_portfolio(args.date, args.date, fund) - shocks = gen_shocks(portf, args.date, fund) - save_shocks(args.date, shocks, fund) + survival_curves = get_survival_curves(args.date) + logging.basicConfig( + format="%(asctime)s - %(name)s - %(levelname)s - %(message)s", + level=logging.INFO, + ) + logger = logging.getLogger(__name__) + for fund in ( + "SERCGMAST", + "BOWDST", + "ISOSEL", + "BRINKER", + ): + with warnings.catch_warnings(): + warnings.filterwarnings( + "ignore", message="pandas only supports SQLAlchemy connectable" + ) + warnings.filterwarnings("ignore", message="skipped 1 empty curves") + portf, _ = build_portfolio(args.date, args.date, fund) + shocks = gen_shocks(portf, args.date, fund) + save_shocks(conn, args.date, shocks, fund) + logger.info(f"{args.date}: {fund} Shocks Done") + jtd = gen_jtd(portf, survival_curves) + save_jtd(conn, args.date, jtd, fund) + logger.info(f"{args.date}: {fund} JTD Done") |