diff options
Diffstat (limited to 'python')
| -rw-r--r-- | python/populate_risk_numbers.py | 43 |
1 files changed, 43 insertions, 0 deletions
diff --git a/python/populate_risk_numbers.py b/python/populate_risk_numbers.py new file mode 100644 index 00000000..1aede16e --- /dev/null +++ b/python/populate_risk_numbers.py @@ -0,0 +1,43 @@ +import yaml, os, csv +from db import serenitasdb +import datetime + +basedir = "/home/share/CorpCDOs" +with open(os.path.join(basedir, "code", "etc", "runs.yml")) as fh: + runs = yaml.load(fh) + index_list = [[name[:2].upper(), int(name[2:]), tenor] for name, tenor in zip(runs['name'], runs['tenor'])] + +sqlstr1 = "SELECT * from nameToBasketID(%s, %s)" +sqlstr2 = "INSERT INTO risk_numbers VALUES({0},{1})".format(",".join(["%s"] * 10), + ",".join(["%s::float[]"]*9)) + +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] + return attach + +def convert(s): + return None if s=="NA" else float(s) + +for index_type, series, tenor in index_list: + attach = get_attach_from_name(index_type, series) + with open(os.path.join(basedir, "Tranche_data", "Runs", + "{0}{1}.{2}.csv".format(index_type, series, tenor))) as fh: + csvreader = csv.DictReader(fh) + for line in csvreader: + line['date'] = datetime.datetime.strptime(line['date'], "%Y-%m-%d").date() + with serenitasdb.cursor() as c: + greeks = [] + skew = [convert(line["{0} Corr".format(a)]) for a in attach[1:]] + for k in ["Dealer Delta", "Model Delta", "Forward Deltas", "Gamma", "Theta", + "Corr01", "Dur", "EL"]: + greeks.append([convert(line["{0}-{1} {2}".format(l, u, k)]) + for l, u in zip(attach[:-1], attach[1:])]) + c.execute(sqlstr2, (line['date'], index_type, series, tenor, line['indexprice'], + line['indexBasis'], line['indexEL'], line['indexduration'], + line['indexTheta'], attach) + (skew,) + tuple(greeks)) |