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-rw-r--r--python/intex_scenarios.py43
-rw-r--r--python/load_indicative.py33
-rw-r--r--python/load_intex_collateral.py18
3 files changed, 46 insertions, 48 deletions
diff --git a/python/intex_scenarios.py b/python/intex_scenarios.py
index 31c5d445..58516799 100644
--- a/python/intex_scenarios.py
+++ b/python/intex_scenarios.py
@@ -6,8 +6,8 @@ from csv import reader
import json
import re
import psycopg2
-import common
-from common import query_db, root
+from common import root
+from db import conn, query_db, with_connection
import sys
import yaml
@@ -25,31 +25,28 @@ pattern9 = re.compile("(?P<a>SEVERITY\[\w+,\d+\]=)mkt\(70\)")
global_reinvfloatpercentage = 84
global_reinvfixedpercentage = 16
-def dealname_from_cusip(conn, cusips, distinct=False):
- with conn.cursor() as c:
- if distinct:
- sqlstr = "select distinct *"
- else:
- sqlstr = "select * "
- sqlstr += "from dealname_from_cusip({0})".format(",",join(["%s"]*len(cusip)))
- c.execute(sqlstr, params = cusip)
- dealnames = [d[0] for d in c.fetchall()]
+@with_connection
+def dealname_from_cusip(conn, cusips):
+ c = conn.cursor()
+ c.callproc("dealname_from_cusip", params = cusip)
+ dealnames = [d[0] for d in c.fetchall()]
+ c.close()
return dealnames
-def get_reinv_assets(conn, dealname, workdate):
+def get_reinv_assets(dealname, workdate):
sqlstr = 'select * from et_historicaldealinfo(%s, %s) where ReinvFlag IS TRUE'
- reinvassets = query_db(conn, sqlstr, params = (dealname, workdate), one = False)
+ reinvassets = query_db(sqlstr, params = (dealname, workdate), one = False)
d = {}
for line in reinvassets:
d[line[3]] = line[22]
return d
-def get_recovery(conn, dealname, workdate, defaultrecovery = 50):
+def get_recovery(dealname, workdate, defaultrecovery = 50):
""" compute average price of defaulted assets
"""
sqlstr = "select sum(coalesce(price, %s) * currentbalance)/sum(currentbalance) " + \
"from et_aggdealinfo_historical(%s, %s) where defaultedflag is True"
- recovery = query_db(conn, sqlstr, params = (defaultrecovery, dealname, workdate))
+ recovery = query_db(sqlstr, params = (defaultrecovery, dealname, workdate))
try:
recovery = recovery[0]
@@ -60,27 +57,27 @@ def get_recovery(conn, dealname, workdate, defaultrecovery = 50):
recovery = defaultrecovery
return float(recovery)
-def get_reinvenddate(conn, dealname):
+def get_reinvenddate(dealname):
sqlstr = 'SELECT \"Reinv End Date\" from latest_clo_universe where dealname=%s'
- reinvenddate = query_db(conn, sqlstr, params = (dealname,))[0]
+ reinvenddate = query_db(sqlstr, params = (dealname,))[0]
if reinvenddate:
reinvenddate = reinvenddate.strftime("%Y%m%d")
return reinvenddate
else:
raise Exception("missing reinvestment end date")
-def generate_scenarios(conn, workdate, dealname):
+def generate_scenarios(workdate, dealname):
prometheus = os.path.join(root, "Scenarios", "prometheus.sss")
n_scenarios = 100
basedir = os.path.join(root, "Scenarios", "Intex curves_" + workdate)
- defaultedprice = get_recovery(conn, dealname, workdate)
+ defaultedprice = get_recovery(dealname, workdate)
replace = "\g<a>{0:.3f}".format(defaultedprice)
with open(os.path.join(basedir, "csv", dealname + ".config")) as fh:
config = yaml.load(fh)
reinvflag = config['reinvflag']
if reinvflag:
- reinvenddate = get_reinvenddate(conn, dealname)
- reinv_assets = get_reinv_assets(conn, dealname, workdate)
+ reinvenddate = get_reinvenddate(dealname)
+ reinv_assets = get_reinv_assets(dealname, workdate)
n_float_assets = len([v for v in reinv_assets.values() if v == 'FLOAT'])
n_fixed_assets = len([v for v in reinv_assets.values() if v == 'FIXED'])
rollingmat = config['rollingmat']
@@ -236,5 +233,5 @@ if __name__ == "__main__":
"Intex curves_" + workdate, "csv"))
if "RData" in d]
for dealname in dealnames:
- generate_scenarios(common.conn, workdate, dealname)
- common.conn.close()
+ generate_scenarios(workdate, dealname)
+ conn.close()
diff --git a/python/load_indicative.py b/python/load_indicative.py
index 807c73a3..03dad396 100644
--- a/python/load_indicative.py
+++ b/python/load_indicative.py
@@ -6,8 +6,8 @@ from datetime import date
import csv
import pdb
import sys
-import common
-from common import query_db
+from common import root
+from db import conn, query_db, with_connection
def convertToNone(s):
return None if s=="" or s=="-" or s=="NR" else s
@@ -22,7 +22,8 @@ def sanitize_float(intex_float):
intex_float = float(intex_float)
return intex_float
-def upload_cusip_data(filename, conn):
+@with_connection
+def upload_cusip_data(conn, filename):
dealupdate = {}
with open( filename, "r") as fh:
dr = csv.DictReader(fh, dialect='excel-tab')
@@ -40,12 +41,12 @@ def upload_cusip_data(filename, conn):
dealname = line['dealname']
line = {k: convertToNone(v) for k, v in line.items()}
if dealname not in dealupdate:
- dealupdate[dealname] = query_db(conn, "SELECT \"Latest Update\" FROM clo_universe " \
+ dealupdate[dealname] = query_db("SELECT \"Latest Update\" FROM clo_universe " \
"WHERE dealname = %s ORDER BY \"Latest Update\" DESC",
params = (dealname,))[0]
sqlstring = "SELECT updatedate FROM latest_cusip_universe WHERE cusip = %s"
- curr_date = query_db(conn, sqlstring, params = (line['CUSIP'],))
+ curr_date = query_db(sqlstring, params = (line['CUSIP'],))
if not curr_date or curr_date[0] < dealupdate[dealname]:
if dealname not in deals_to_update:
deals_to_update.append(dealname)
@@ -80,7 +81,7 @@ def upload_cusip_data(filename, conn):
conn.commit()
for dealname in deals_to_update:
- data = query_db(conn, "SELECT p_cusip, p_curr_subordination, "\
+ data = query_db("SELECT p_cusip, p_curr_subordination, "\
"p_curr_thickness from et_deal_subordination(%s)",
params = (dealname,),
one = False)
@@ -91,13 +92,13 @@ def upload_cusip_data(filename, conn):
"updatedate = %s", data)
conn.commit()
-def upload_deal_data(filename, conn):
+@with_connection
+def upload_deal_data(conn, filename):
sqlstr = "select dealname, max(\"Latest Update\") from clo_universe group by dealname"
- deallist = dict(query_db(conn, sqlstr, one=False))
+ deallist = dict(query_db(sqlstr, one=False))
with open( filename, "r") as fh:
dr = csv.DictReader(fh, dialect='excel-tab')
data = []
- c = conn.cursor()
for line in dr:
if not line ['Deal Name'] or (line['Deal Name'] == 'Unknown Security'):
continue
@@ -153,15 +154,15 @@ if __name__=="__main__":
workdate = sys.argv[1]
else:
workdate = str(datetime.date.today())
- files = [os.path.join(common.root, "data", "Indicative_" + workdate, f) for f in
- os.listdir(os.path.join(common.root, "data", "Indicative_" + workdate))]
+ files = [os.path.join(root, "data", "Indicative_" + workdate, f) for f in
+ os.listdir(os.path.join(root, "data", "Indicative_" + workdate))]
cusip_files = [f for f in files if "TrInfo" in f]
deal_files = [f for f in files if "TrInfo" not in f]
#first load deal data
- for f in deal_files:
- upload_deal_data(f, common.conn)
+ for deal in deal_files:
+ upload_deal_data(deal)
#then load tranche data
- for f in cusip_files:
- upload_cusip_data(f, common.conn)
- common.conn.close()
+ for cusip in cusip_files:
+ upload_cusip_data(cusip)
+ conn.close()
diff --git a/python/load_intex_collateral.py b/python/load_intex_collateral.py
index e78444cd..d6224fa2 100644
--- a/python/load_intex_collateral.py
+++ b/python/load_intex_collateral.py
@@ -4,8 +4,8 @@ import re
import csv
import datetime
import pdb
-import common
-from common import query_db
+from common import root
+from db import conn, query_db
import sys
fields = ['Asset Name', 'Issuer', 'Contributed Balance', 'Maturity Date', \
@@ -26,12 +26,12 @@ def sanitize_float(intex_float):
intex_float = float(intex_float)
return intex_float
-def upload_data(dealnames, workdate, conn):
+def upload_data(conn, dealnames, workdate):
for dealname in dealnames:
#dealname, updatedate = line.rstrip().split()
# updatedate = datetime.datetime.strptime(updatedate, '%m/%d/%Y')
#dealname = dealname.upper() + ",AD.txt
- with open( os.path.join(common.root, "data", "Collaterals_" + workdate, dealname.upper() + "_AD.txt"),
+ with open( os.path.join(root, "data", "Collaterals_" + workdate, dealname.upper() + "_AD.txt"),
"r", encoding='windows-1252') as fh:
dr = csv.DictReader(fh, dialect = 'excel-tab')
missingfields = set(fields) - set(dr.fieldnames)
@@ -87,15 +87,15 @@ def upload_data(dealnames, workdate, conn):
data.append(r)
sqlstr = "select distinct(updatedate) from et_collateral where dealname= %s"
- old_update_dates = [date[0] for date in query_db(conn, sqlstr, params=(dealname,), one=False)]
+ old_update_dates = [date[0] for date in query_db(sqlstr, params=(dealname,), one=False)]
sqlstr = 'select max("Latest Update") from clo_universe where dealname= %s'
- updatedate = query_db(conn, sqlstr, params=(dealname,))[0]
+ updatedate = query_db(sqlstr, params=(dealname,))[0]
reinsert = False
if updatedate in old_update_dates:
sqlstr = "SELECT count(*) FROM et_collateral where dealname = %s and updatedate= %s"
- currlen = query_db(conn, sqlstr, params = (dealname, updatedate))[0]
+ currlen = query_db(sqlstr, params = (dealname, updatedate))[0]
if currlen != len(data):
print("{0} has {1} rows in the database and current collateral file has {2}".format(dealname, currlen, len(data)))
with conn.cursor() as c:
@@ -149,6 +149,6 @@ if __name__ == "__main__":
else:
dealnames = [re.sub("_AD.txt", "", d).lower() for d in
os.listdir(os.path.join(common.root, "data", "Collaterals_" + workdate))]
- upload_data(dealnames, workdate, common.conn)
- common.conn.close()
+ upload_data(conn, dealnames, workdate)
+ conn.close()
print("done")
generated by cgit v1.2.3-70-g09d2 (git 2.52.0) at 2025-12-22 05:56:34 +0000