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-rw-r--r--python/intex_scenarios.py256
1 files changed, 124 insertions, 132 deletions
diff --git a/python/intex_scenarios.py b/python/intex_scenarios.py
index 15e6851b..bed8c37b 100644
--- a/python/intex_scenarios.py
+++ b/python/intex_scenarios.py
@@ -1,21 +1,14 @@
import os
import os.path
import datetime
-from datetime import date
import csv
from csv import reader
import json
import codecs
import re
import psycopg2
-from datetime import datetime
-
-if os.name =='nt':
- root = "//WDsentinel/share/CorpCDOs"
-elif os.name == 'posix':
- root = '/home/share/CorpCDOs'
-
-input = os.path.join(root, "Scenarios", "prometheus.sss")
+import common
+import sys
pattern11 = re.compile("(REINVEST\[)\w+(::REINV_TBA1\]\[DEAL,1\]=)(.*$)")
pattern12 = re.compile("(REINVEST\[)\w+(::REINV_TBA2\]\[DEAL,1\]=)(.*$)")
@@ -34,28 +27,19 @@ pattern7 = re.compile("GOLDL5")
reinvfloatpercentage = 85
reinvfixedpercentage = 15
-conn = psycopg2.connect(database="ET",
- user="et_user",
- password="Serenitas1",
- host="192.168.1.108")
-cursor = conn.cursor()
-
-# workdate = date.today().strftime('%Y-%m-%d')
-workdate = '2013-01-16'
-
def get_reinv_assets(dealname):
# collatdates = sorted([datetime.strptime(d.split("_")[1], "%Y-%m-%d").date()
# for d in os.listdir(os.path.join(root, "data"))
# if "Collaterals" in d], reverse=True)
- collatfolders = sorted([d for d in os.listdir(os.path.join(root, "data")) if "Collaterals" in d],
+ collatfolders = sorted([d for d in os.listdir(os.path.join(common.root, "data")) if "Collaterals" in d],
reverse = True)
d = {'REINV_TBA1': None, 'REINV_TBA2': None}
filename = dealname.upper() + ",AD.txt"
for folder in collatfolders:
- if filename not in os.listdir(os.path.join(root, "data", folder)):
+ if filename not in os.listdir(os.path.join(common.root, "data", folder)):
continue
else:
- with open(os.path.join(root, "data", folder, filename )) as fh:
+ with open(os.path.join(common.root, "data", folder, filename )) as fh:
dr = csv.DictReader(fh, dialect = 'excel-tab')
headers = dr.fieldnames
for line in dr:
@@ -69,6 +53,7 @@ def convert_reinvtoperct(d):
newd = {'REINV_TBA1': None, 'REINV_TBA2': None}
if not d['REINV_TBA2']:
newd['REINV_TBA1'] = 100
+ return newd
if d['REINV_TBA1'] == d['REINV_TBA2']: # case when we have two float or two fixed assets
newd['REINV_TBA1'] = 85
newd['REINV_TBA2'] = 15
@@ -80,118 +65,125 @@ def convert_reinvtoperct(d):
newd['REINV_TBA2'] = reinvfloatpercentage
return newd
-for dealname in ["babs062", "harch2", "jerst", "aresvr", "babs071", "landmrk9", "carlg123", "trim6", "frasul2", "vent6", "cifc061b"]:
- cursor.execute('SELECT \"Reinv End Date\" from latest_clo_universe where dealname=%s', (dealname,))
- reinvenddate = cursor.fetchone()[0]
- if reinvenddate:
- reinvenddate = reinvenddate.strftime("%Y%m%d")
- else:
- print "missing reinvestment end date"
- pdb.set_trace()
- reinv_assets = get_reinv_assets(dealname)
- perct_reinv_assets = convert_reinvtoperct(reinv_assets)
-
- basedir = os.path.join(root, "Scenarios", "Intex curves_" + workdate)
- with open(os.path.join(basedir, "csv", dealname + "-reinvprices.csv"), "r") as fhreinv:
- floatreinvprices = fhreinv.readline().rstrip("\n").split(",")
- fixedreinvprices = fhreinv.readline().rstrip("\n").split(",")
+def generate_scenarios(workdate, conn, cursor):
+ prometheus = os.path.join(common.root, "Scenarios", "prometheus.sss")
+ for dealname in [d.split(".")[0] for d in os.listdir(os.path.join(common.root, "Scenarios", "Intex curves_" + workdate, "csv")) if "RData" in d]:
+ cursor.execute('SELECT \"Reinv End Date\" from latest_clo_universe where dealname=%s', (dealname,))
+ reinvenddate = cursor.fetchone()[0]
+ if reinvenddate:
+ reinvenddate = reinvenddate.strftime("%Y%m%d")
+ else:
+ print "missing reinvestment end date"
+ pdb.set_trace()
+ reinv_assets = get_reinv_assets(dealname)
+ perct_reinv_assets = convert_reinvtoperct(reinv_assets)
+ basedir = os.path.join(common.root, "Scenarios", "Intex curves_" + workdate)
+ with open(os.path.join(basedir, "csv", dealname + "-reinvprices.csv"), "r") as fhreinv:
+ floatreinvprices = fhreinv.readline().rstrip("\n").split(",")
+ fixedreinvprices = fhreinv.readline().rstrip("\n").split(",")
- output = os.path.join(basedir, "sss", dealname + ".sss")
- if not os.path.exists(os.path.join(basedir, "sss")):
- os.makedirs(os.path.join(basedir, "sss"))
- cdrscenarios = os.path.join(basedir, "csv", dealname + "-cdr.csv")
- recoveryscenarios = os.path.join(basedir, "csv", dealname + "-recovery.csv")
- fh2 = open(output, "w")
- fhcdr = open(cdrscenarios, "r")
- fhrecovery = open(recoveryscenarios, "r")
- csvcdr = reader(fhcdr)
- csvrecovery = reader(fhrecovery)
- cdrline = csvcdr.next()
- cdrline = "\t".join(["{0:.3f}".format(float(cdr)) for cdr in cdrline]) +"\n"
- recoveryline = csvrecovery.next()
- recoveryline = "\t".join(["{0:.3f}".format(float(recovery)) for recovery in recoveryline]) + "\n"
+ output = os.path.join(basedir, "sss", dealname + ".sss")
+ if not os.path.exists(os.path.join(basedir, "sss")):
+ os.makedirs(os.path.join(basedir, "sss"))
+ cdrscenarios = os.path.join(basedir, "csv", dealname + "-cdr.csv")
+ recoveryscenarios = os.path.join(basedir, "csv", dealname + "-recovery.csv")
+ fh2 = open(output, "w")
+ fhcdr = open(cdrscenarios, "r")
+ fhrecovery = open(recoveryscenarios, "r")
+ csvcdr = reader(fhcdr)
+ csvrecovery = reader(fhrecovery)
+ cdrline = csvcdr.next()
+ cdrline = "\t".join(["{0:.3f}".format(float(cdr)) for cdr in cdrline]) +"\n"
+ recoveryline = csvrecovery.next()
+ recoveryline = "\t".join(["{0:.3f}".format(float(recovery)) for recovery in recoveryline]) + "\n"
- i=1
- with open(input) as fh:
- for line in fh:
- if "DEAL_NAME" in line:
- newline = "DEAL_NAME=" + dealname.upper()
- fh2.write(newline)
- continue
- if pattern11.match(line):
- line = re.sub(pattern11, r"\1{0}\2", line).format(dealname.upper()).rstrip()
- if reinv_assets["REINV_TBA1"] == "Float":
- line = line + "COUP_SPR=2.5|AMORT=Bullet|USE_REINVEST_PIP=1|MAT_DATE=84|\n"
- elif reinv_assets["REINV_TBA1"] == "Fixed":
- line = line + "COUP_SPR=7|AMORT=Bullet|USE_REINVEST_PIP=1|MAT_DATE=84|\n"
- fh2.write(line)
- continue
- if pattern12.match(line):
- line = re.sub(pattern12, r"\1{0}\2", line).format(dealname.upper()).rstrip()
- if reinv_assets["REINV_TBA2"] == "Float":
- line = line + "COUP_SPR=2.5|AMORT=Bullet|USE_REINVEST_PIP=1|MAT_DATE=84|\n"
- elif reinv_assets["REINV_TBA2"] == "Fixed":
- line = line + "COUP_SPR=7|AMORT=Bullet|USE_REINVEST_PIP=1|MAT_DATE=84|\n"
+ i=1
+ with open(prometheus) as fh:
+ for line in fh:
+ if "DEAL_NAME" in line:
+ newline = "DEAL_NAME=" + dealname.upper()
+ fh2.write(newline)
+ continue
+ if pattern11.match(line):
+ line = re.sub(pattern11, r"\1{0}\2", line).format(dealname.upper()).rstrip()
+ if reinv_assets["REINV_TBA1"] == "Float":
+ line = line + "COUP_SPR=2.5|AMORT=Bullet|USE_REINVEST_PIP=1|MAT_DATE=84|\n"
+ elif reinv_assets["REINV_TBA1"] == "Fixed":
+ line = line + "COUP_SPR=7|AMORT=Bullet|USE_REINVEST_PIP=1|MAT_DATE=84|\n"
+ fh2.write(line)
+ continue
+ if pattern12.match(line):
+ line = re.sub(pattern12, r"\1{0}\2", line).format(dealname.upper()).rstrip()
+ if reinv_assets["REINV_TBA2"] == "Float":
+ line = line + "COUP_SPR=2.5|AMORT=Bullet|USE_REINVEST_PIP=1|MAT_DATE=84|\n"
+ elif reinv_assets["REINV_TBA2"] == "Fixed":
+ line = line + "COUP_SPR=7|AMORT=Bullet|USE_REINVEST_PIP=1|MAT_DATE=84|\n"
+ fh2.write(line)
+ continue
+ if pattern2.match(line):
+ line = re.sub(pattern2, r"\1{0}\2{1}", line).format(dealname.upper(), reinvenddate)
+ fh2.write(line)
+ continue
+ if pattern3.match(line):
+ if reinv_assets['REINV_TBA1'] == 'Fixed':
+ line = re.sub(pattern3, r"\1{0}\2{1}", line).format(dealname.upper(), " ".join(fixedreinvprices))
+ elif reinv_assets['REINV_TBA1'] == 'Float':
+ line = re.sub(pattern3, r"\1{0}\2{1}", line).format(dealname.upper(), " ".join(floatreinvprices))
+ fh2.write(line)
+ continue
+ if pattern4.match(line):
+ if reinv_assets['REINV_TBA2'] == 'Fixed':
+ line = re.sub(pattern4, r"\1{0}\2{1}", line).format(dealname.upper(), " ".join(fixedreinvprices))
+ elif reinv_assets['REINV_TBA2'] == 'Float':
+ line = re.sub(pattern4, r"\1{0}\2{1}", line).format(dealname.upper(), " ".join(floatreinvprices))
+ fh2.write(line)
+ continue
+ if pattern5.match(line):
+ if reinv_assets['REINV_TBA1']:
+ line = re.sub(pattern5, r"\1{0}\2{1}", line).format(
+ dealname.upper(), perct_reinv_assets['REINV_TBA1'])
+ fh2.write(line)
+ continue
+ if pattern6.match(line):
+ if reinv_assets['REINV_TBA2']:
+ line = re.sub(pattern6, r"\1{0}\2{1}", line).format(
+ dealname.upper(), perct_reinv_assets['REINV_TBA2'])
+ fh2.write(line)
+ continue
+ if pattern7.search(line):
+ line = re.sub(pattern7, dealname.upper(), line)
+ fh2.write(line)
+ continue
+ # if "STANDARD_VAR" in line:
+ # newline = "STANDARD_VAR[REINVEST_PRICE,1]=" + " ".join(reinvprices)
+ # fh2.write(newline)
+ # continue
+ if "LOSS_RATE[DEAL,{0}]".format(i) in line:
+ newcdrline = "LOSS_RATE[DEAL,{0}]=".format(i) + cdrline
+ fh2.write(newcdrline)
+ continue
+ if "LOSS_SEVERITY[DEAL,{0}]".format(i) in line:
+ newrecoveryline = "LOSS_SEVERITY[DEAL,{0}]=".format(i) + recoveryline
+ fh2.write(newrecoveryline)
+ i = i + 1
+ if i <= 100:
+ cdrline = csvcdr.next()
+ cdrline = "\t".join(["{0:.3f}".format(float(cdr)) for cdr in cdrline]) + "\n"
+ recoveryline = csvrecovery.next()
+ recoveryline = "\t".join(["{0:.3f}".format(float(recovery)) \
+ for recovery in recoveryline]) + "\n"
+ continue
fh2.write(line)
- continue
- if pattern2.match(line):
- line = re.sub(pattern2, r"\1{0}\2{1}", line).format(dealname.upper(), reinvenddate)
- fh2.write(line)
- continue
- if pattern3.match(line):
- if reinv_assets['REINV_TBA1'] == 'Fixed':
- line = re.sub(pattern3, r"\1{0}\2{1}", line).format(dealname.upper(), " ".join(fixedreinvprices))
- elif reinv_assets['REINV_TBA1'] == 'Float':
- line = re.sub(pattern3, r"\1{0}\2{1}", line).format(dealname.upper(), " ".join(floatreinvprices))
- fh2.write(line)
- continue
- if pattern4.match(line):
- if reinv_assets['REINV_TBA2'] == 'Fixed':
- line = re.sub(pattern4, r"\1{0}\2{1}", line).format(dealname.upper(), " ".join(fixedreinvprices))
- elif reinv_assets['REINV_TBA2'] == 'Float':
- line = re.sub(pattern4, r"\1{0}\2{1}", line).format(dealname.upper(), " ".join(floatreinvprices))
- fh2.write(line)
- continue
- if pattern5.match(line):
- if reinv_assets['REINV_TBA1']:
- line = re.sub(pattern5, r"\1{0}\2{1}", line).format(
- dealname.upper(), perct_reinv_assets['REINV_TBA1'])
- fh2.write(line)
- continue
- if pattern6.match(line):
- if reinv_assets['REINV_TBA2']:
- line = re.sub(pattern6, r"\1{0}\2{1}", line).format(
- dealname.upper(), perct_reinv_assets['REINV_TBA2'])
- fh2.write(line)
- continue
- if pattern7.search(line):
- line = re.sub(pattern7, dealname.upper(), line)
- fh2.write(line)
- continue
- # if "STANDARD_VAR" in line:
- # newline = "STANDARD_VAR[REINVEST_PRICE,1]=" + " ".join(reinvprices)
- # fh2.write(newline)
- # continue
- if "LOSS_RATE[DEAL,{0}]".format(i) in line:
- newcdrline = "LOSS_RATE[DEAL,{0}]=".format(i) + cdrline
- fh2.write(newcdrline)
- continue
- if "LOSS_SEVERITY[DEAL,{0}]".format(i) in line:
- newrecoveryline = "LOSS_SEVERITY[DEAL,{0}]=".format(i) + recoveryline
- fh2.write(newrecoveryline)
- i=i+1
- if i<=100:
- cdrline = csvcdr.next()
- cdrline = "\t".join(["{0:.3f}".format(float(cdr)) for cdr in cdrline]) + "\n"
- recoveryline = csvrecovery.next()
- recoveryline = "\t".join(["{0:.3f}".format(float(recovery)) \
- for recovery in recoveryline]) + "\n"
- continue
- fh2.write(line)
- fh2.close()
- fhrecovery.close()
- fhcdr.close()
-cursor.close()
-conn.close()
+ fh2.close()
+ fhrecovery.close()
+ fhcdr.close()
+ print "generated scenarios for: {0}".format(dealname)
-# sed -i -e "s/\(LOSS_NONPERF_SEVERITY\\[DEAL,[0-9]*\\]\)=.*$/\1=mkt(70)/g" stonln1_100.sss
+if __name__ == "__main__":
+ if len(sys.argv) > 1:
+ workdate = sys.argv[1]
+ else:
+ workdate = str(datetime.date.today())
+ generate_scenarios(workdate, common.conn, common.cursor)
+ common.cursor.close()
+ common.conn.close()
generated by cgit v1.2.3-70-g09d2 (git 2.52.0) at 2026-01-12 01:12:53 +0000