diff options
Diffstat (limited to 'python')
| -rw-r--r-- | python/analytics/option.py | 3 | ||||
| -rw-r--r-- | python/cds_rebook.py | 48 | ||||
| -rw-r--r-- | python/notebooks/swaption_risk.ipynb | 9 |
3 files changed, 35 insertions, 25 deletions
diff --git a/python/analytics/option.py b/python/analytics/option.py index ff22f018..b66dc1ca 100644 --- a/python/analytics/option.py +++ b/python/analytics/option.py @@ -135,6 +135,9 @@ class BlackSwaption(ForwardIndex): ind.mark(ref=kwargs.pop("ref")) else: ind.mark() + if self._trade_id == 116: + self.sigma = 0.4 + return if kwargs.pop("use_external", False): try: self.pv = get_external_nav(dawn_engine, self._trade_id, self.value_date) diff --git a/python/cds_rebook.py b/python/cds_rebook.py index 8614540d..fa72bf5a 100644 --- a/python/cds_rebook.py +++ b/python/cds_rebook.py @@ -11,8 +11,8 @@ from copy import copy def get_outstanding_positions(conn, trade_date, fcm, fund="SERCGMAST"): with conn.cursor() as c: c.execute( - "SELECT security_id, notional, folder, b.redindexcode, currency, " - "maturity, c.indexfactor " + "SELECT security_id, notional, folder, b.redindexcode, currency, " + "maturity, b.indexfactor " "FROM list_cds_positions_by_strat_fcm(%s, %s, %s) a " "LEFT JOIN index_version_markit b " "ON a.security_id=b.prevredindexcode " @@ -25,7 +25,7 @@ def get_outstanding_positions(conn, trade_date, fcm, fund="SERCGMAST"): def indices_to_remark(conn, auction_date: datetime.date, fee, accrual_days): - adj_recovery = 1 - fee + accrual_days * 0.05 / 360 + adj_recovery = 1 - fee + (accrual_days - cds_accrued(auction_date)) * 0.05 / 360 breakpoint() with conn.cursor() as c1, conn.cursor() as c2: c1.execute( @@ -88,21 +88,21 @@ def rebook(conn, trade_date, company_id, seniority, fcm, fund="SERCGMAST"): effective_date = trade_date + datetime.timedelta(days=1) for r in get_outstanding_positions(dawndb, trade_date, fcm, fund): accrual_days, fee = default_adjustment(conn, company_id, seniority, r.maturity) - index_new = CreditIndex( - redcode=r.redindexcode, + index_old = CreditIndex( + redcode=r.security_id, maturity=r.maturity, value_date=trade_date, - notional=r.notional, + notional=-r.notional, freeze_version=True, ) adj = ( - (fee - accrual_days * index_new.fixed_rate * 1e-4 / 360) + (fee - accrual_days * index_old.fixed_rate * 1e-4 / 360) * r.notional - * (r.indexfactor - index_new.factor) + * (r.indexfactor - index_old.factor) ) - index_new.mark() - trade_new = { + index_old.mark() + trade_old = { "fund": fund, "action": "NEW", "portfolio": PORTFOLIO[r.folder], @@ -115,27 +115,27 @@ def rebook(conn, trade_date, company_id, seniority, fcm, fund="SERCGMAST"): "currency": r.currency, "payment_rolldate": "Following", "notional": abs(r.notional), - "fixed_rate": index_new.fixed_rate / 100, + "fixed_rate": index_old.fixed_rate / 100, "day_count": "ACT/360", "frequency": 4, - "protection": index_new.direction, - "security_id": r.redindexcode, - "security_desc": f"CDX {index_new.index_type} CDSI S{index_new.series} 5Y", - "upfront": index_new.pv, + "protection": index_old.direction, + "security_id": r.security_id, + "security_desc": f"CDX {index_old.index_type} CDSI S{index_old.series} 5Y", + "upfront": index_old.pv, "upfront_settle_date": upfront_settle_date, "swap_type": "CD_INDEX", "account_code": fcm, } - trade_prev = copy(trade_new) - trade_prev["protection"] = ( - "Seller" if trade_new["protection"] == "Buyer" else "Buyer" + trade_new = copy(trade_old) + trade_new["protection"] = ( + "Seller" if trade_old["protection"] == "Buyer" else "Buyer" ) - trade_prev["upfront"] = adj - index_new.pv - trade_prev["security_id"] = r.security_id + trade_new["upfront"] = -adj - index_old.pv + trade_new["security_id"] = r.redindexcode sql_str = f"INSERT INTO cds({','.join(trade_new.keys())}) VALUES %s" with dawndb.cursor() as c: execute_values( - c, sql_str, [tuple(trade_prev.values()), tuple(trade_new.values())] + c, sql_str, [tuple(trade_old.values()), tuple(trade_new.values())] ) dawndb.commit() dawndb.close() @@ -185,7 +185,7 @@ if __name__ == "__main__": # rebook(conn, datetime.date(2020, 5, 29), 101056, "Senior", "WF") # rebook(conn, datetime.date(2020, 5, 29), 101056, "Senior", "GS", "BOWDST") # JCP - rebook(conn, datetime.date(2020, 6, 9), 101154, "Senior", "BAML") - rebook(conn, datetime.date(2020, 5, 9), 101154, "Senior", "WF") - rebook(conn, datetime.date(2020, 5, 9), 101154, "Senior", "GS", "BOWDST") + # rebook(conn, datetime.date(2020, 6, 9), 101154, "Senior", "BAML") + rebook(conn, datetime.date(2020, 6, 9), 101154, "Senior", "WF") + rebook(conn, datetime.date(2020, 6, 9), 101154, "Senior", "GS", "BOWDST") serenitas_pool.putconn(conn) diff --git a/python/notebooks/swaption_risk.ipynb b/python/notebooks/swaption_risk.ipynb index babc23d2..ac08aa53 100644 --- a/python/notebooks/swaption_risk.ipynb +++ b/python/notebooks/swaption_risk.ipynb @@ -86,6 +86,13 @@ "execution_count": null, "metadata": {}, "outputs": [], + "source": [] + }, + { + "cell_type": "code", + "execution_count": null, + "metadata": {}, + "outputs": [], "source": [ "portf.theta" ] @@ -172,7 +179,7 @@ "name": "python", "nbconvert_exporter": "python", "pygments_lexer": "ipython3", - "version": "3.8.2" + "version": "3.8.3" } }, "nbformat": 4, |