diff options
Diffstat (limited to 'python')
| -rw-r--r-- | python/recon_bowdst.py | 61 |
1 files changed, 42 insertions, 19 deletions
diff --git a/python/recon_bowdst.py b/python/recon_bowdst.py index a8326224..a37d74ac 100644 --- a/python/recon_bowdst.py +++ b/python/recon_bowdst.py @@ -3,9 +3,6 @@ from serenitas.utils.db import dbconn dawndb = dbconn("dawndb") - -# Bonds - df = pd.read_excel("/home/serenitas/flint/rec.xlsx") security_balance = df[df["Asset Type"] == "FIXED INCOME SECURITIES"][ @@ -14,22 +11,48 @@ security_balance = df[df["Asset Type"] == "FIXED INCOME SECURITIES"][ print(f"The current security balance is {security_balance}") bowd_bond_trades = df[df["CUSIP"].notnull()] -db_bond_trades = pd.read_sql_query( - "select * from risk_positions('2021-02-25', null, 'BOWDST')", dawndb -) -bowd_bond_trades.merge( - db_bond_trades, left_on="Mellon Security ID", right_on="identifier", how="outer" -)[ - [ - "description", - "identifier", - "notional", - "factor", - "Shares/Par", - "Base Market Value", - "usd_market_value", +asset_classes = ["Subprime", "CRT", "CLO"] + +for asset in asset_classes: + db_bond_trades = pd.read_sql_query( + f"select * from risk_positions('2021-02-26', %s, 'BOWDST')", + dawndb, + params=(asset,), + ) + + new_df = bowd_bond_trades.merge( + db_bond_trades, left_on="Mellon Security ID", right_on="identifier", how="right" + )[ + [ + "description", + "identifier", + "notional", + "factor", + "Shares/Par", + "Base Market Value", + "usd_market_value", + ] ] -] + new_df["db_notional"] = new_df["Shares/Par"] * new_df["factor"] +# print(new_df) + +date = "2021-02-28" -# market value differences +tranche_trades = pd.read_sql_query( + f"select security_desc, maturity, orig_attach, orig_detach, sum(notional * tranche_factor) as db_notional, sum(admin_notional) as admin_notional, sum(serenitas_clean_nav) as db_mv, sum(admin_clean_nav) as bowd_mv from tranche_risk_bowdst where date=%s group by security_desc, maturity, orig_attach, orig_detach ;", + dawndb, + params=(date,), +) + +cdx_trades = pd.read_sql_query( + f"select security_id, security_desc, index, series, version, maturity, globeop_notional as admin_notional, notional * factor as db_notional, clean_nav as db_nav, globeop_nav as admin_nav from list_cds_marks(%s, null, 'BOWDST')", + dawndb, + params=(date,), +) + +cdx_swaption_trades = pd.read_sql_query( + f"select security_id, option_type, strike, expiration_date, sum(serenitas_nav) as db_mv, sum(globeop_nav) as admin_mv from list_swaption_positions_and_risks(%s, 'BOWDST') group by security_id, option_type, strike, expiration_date;", + dawndb, + params=(date,), +) |