diff options
Diffstat (limited to 'python')
| -rw-r--r-- | python/risk/__main__.py | 11 | ||||
| -rw-r--r-- | python/risk/ir_swap.py | 45 | ||||
| -rw-r--r-- | python/risk/ir_swaption.py (renamed from python/risk/ir.py) | 2 |
3 files changed, 53 insertions, 5 deletions
diff --git a/python/risk/__main__.py b/python/risk/__main__.py index a486c5f6..d8c956cc 100644 --- a/python/risk/__main__.py +++ b/python/risk/__main__.py @@ -10,8 +10,9 @@ 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 .ir_swap import insert_ir_swap_portfolio +from .ir_swaption import insert_ir_swaption_portfolio +from serenitas.analytics.api import IRSwaption, SofrSwap from .swaptions import get_swaption_portfolio, insert_swaption_portfolio from .tranches import get_tranche_portfolio, insert_tranche_portfolio @@ -47,8 +48,10 @@ 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) + ir_swaption_portf = IRSwaption.get_portfolio(workdate, fund=fund) + insert_ir_swaption_portfolio(ir_swaption_portf, conn) + ir_swap_portf = SofrSwap.get_portfolio(workdate, fund=fund) + insert_ir_swap_portfolio(ir_swap_portf, conn) with dbconn("etdb") as etconn, dawn_pool.connection() as dawnconn: diff --git a/python/risk/ir_swap.py b/python/risk/ir_swap.py new file mode 100644 index 00000000..72691fb7 --- /dev/null +++ b/python/risk/ir_swap.py @@ -0,0 +1,45 @@ +import logging +from psycopg import sql + +logger = logging.getLogger(__name__) + + +def insert_ir_swap_portfolio(portf, conn): + cols = [ + "date", + "swp_id", + "notional", + "pv", + "DV01", + "IRGamma1bp", + ] + sql_str = sql.SQL( + "INSERT INTO ir_swap_risk({columns}) " + "VALUES({placeholders}) " + " ON CONFLICT (date, swp_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: + for trade_id, trade in portf.items(): + logger.info(f"marking IR swap {trade_id}") + c.execute( + sql_str, + ( + trade.value_date, + trade_id.split("_")[1], + trade.notional, + trade.pv, + trade.DV01, + trade.gamma, + ), + ) + conn.commit() diff --git a/python/risk/ir.py b/python/risk/ir_swaption.py index 0cc68c89..668fd8f6 100644 --- a/python/risk/ir.py +++ b/python/risk/ir_swaption.py @@ -4,7 +4,7 @@ from psycopg import sql logger = logging.getLogger(__name__) -def insert_ir_portfolio(portf, conn): +def insert_ir_swaption_portfolio(portf, conn): cols = [ "date", "swpt_id", |