diff options
Diffstat (limited to 'python')
| -rw-r--r-- | python/risk/tranches.py | 48 |
1 files changed, 40 insertions, 8 deletions
diff --git a/python/risk/tranches.py b/python/risk/tranches.py index 4b13dc22..76284a36 100644 --- a/python/risk/tranches.py +++ b/python/risk/tranches.py @@ -6,22 +6,28 @@ logger = logging.getLogger(__name__) def get_tranche_portfolio(date, conn, by_strat=False): if by_strat: sql_string = "SELECT * from list_tranche_positions_by_strat(%s)" + params = (date,) else: - sql_string = "SELECT dealid from list_tranche_positions(%s)" + sql_string = ("SELECT id from cds " + "WHERE orig_attach IS NOT NULL " + "AND (termination_date IS NULL OR termination_date > %s) " + "AND maturity > %s ORDER BY trade_date") + params = (date, date) with conn.cursor() as c: - c.execute(sql_string, (date,)) + c.execute(sql_string, params) if by_strat: trade_ids = list(c) else: trade_ids = [dealid for dealid, in c] if by_strat: portf = Portfolio([DualCorrTranche(redcode=d['security_id'], - maturity=d['maturity'], - notional=d['notional'], - tranche_running=d['fixed_rate']*100, - attach=d['orig_attach'], - detach=d['orig_detach'], - corr_attach=None, corr_detach=None) for d in trade_ids]) + maturity=d['maturity'], + notional=d['notional'], + tranche_running=d['fixed_rate']*100, + attach=d['orig_attach'], + detach=d['orig_detach'], + corr_attach=None, corr_detach=None) + for d in trade_ids]) portf.trade_ids = [(d["folder"], f"{t.index_type} {t.series} {t.tenor} {t.attach}-{t.detach}") for d, t in zip(trade_ids, portf.trades)] @@ -31,3 +37,29 @@ def get_tranche_portfolio(date, conn, by_strat=False): portf.value_date = date portf.mark() return portf + +def insert_tranche_marks(portf, conn): + cols = ["clean_nav", "accrued", "theta", "duration", "delta", + "upfront", "running", "index_refprice", "index_refspread", + "index_duration"] + update_str = ",".join(f"{c} = EXCLUDED.{c}" for c in cols) + sql_str = (f"INSERT INTO tranche_risk VALUES({['%s'] * 12}) " + " ON CONFLICT (date, tranche_id) DO UPDATE " + f"SET {update_str}") + print(sql_str) + with conn.cursor() as c: + for trade_id, trade in portf.items(): + c.execute(sql_str, (d, + trade_id, + trade.clean_pv, + trace._accrued, + None, + trade.duration, + trade.upfront, + trade.tranche_upfront, + trade.tranche_running, + trade._indexpv().bond_price * 100, + trade._index.spread(), + trade._index.duration()) + ) + conn.commit() |