diff options
Diffstat (limited to 'python')
| -rw-r--r-- | python/risk/tranches.py | 117 |
1 files changed, 73 insertions, 44 deletions
diff --git a/python/risk/tranches.py b/python/risk/tranches.py index aa967ad3..540a1689 100644 --- a/python/risk/tranches.py +++ b/python/risk/tranches.py @@ -9,45 +9,69 @@ def get_tranche_portfolio(date, conn, by_strat=False, fund="SERCGMAST"): sql_string = "SELECT * from list_tranche_positions_by_strat(%s, %s)" params = (date, fund) else: - sql_string = ("SELECT folder, id from cds " - "WHERE orig_attach IS NOT NULL " - "AND (termination_date IS NULL OR termination_date > %s) " - "AND maturity > %s AND trade_date <= %s " - "AND fund = %s ORDER BY trade_date") + sql_string = ( + "SELECT folder, id from cds " + "WHERE orig_attach IS NOT NULL " + "AND (termination_date IS NULL OR termination_date > %s) " + "AND maturity > %s AND trade_date <= %s " + "AND fund = %s ORDER BY trade_date" + ) params = (date, date, date, fund) with conn.cursor() as c: c.execute(sql_string, params) trade_ids = [tuple(e) for e in c] if by_strat: - portf = Portfolio([DualCorrTranche(redcode=t.security_id, - maturity=t.maturity, - notional=t.notional, - tranche_running=t.fixed_rate*100, - attach=t.orig_attach, - detach=t.orig_detach, - corr_attach=None, corr_detach=None) - for t in trade_ids]) - portf.trade_ids = [(tid.folder, - f"{t.index_type} {t.series} {t.tenor} {t.attach}-{t.detach}") - for tid, t in zip(trade_ids, portf.trades)] + portf = Portfolio( + [ + DualCorrTranche( + redcode=t.security_id, + maturity=t.maturity, + notional=t.notional, + tranche_running=t.fixed_rate * 100, + attach=t.orig_attach, + detach=t.orig_detach, + corr_attach=None, + corr_detach=None, + ) + for t in trade_ids + ] + ) + portf.trade_ids = [ + (tid.folder, f"{t.index_type} {t.series} {t.tenor} {t.attach}-{t.detach}") + for tid, t in zip(trade_ids, portf.trades) + ] else: - portf = Portfolio([DualCorrTranche.from_tradeid(dealid) for _, dealid in trade_ids], - trade_ids) + portf = Portfolio( + [DualCorrTranche.from_tradeid(dealid) for _, dealid in trade_ids], trade_ids + ) portf.value_date = date portf.mark() return portf def insert_tranche_portfolio(portf, conn): - cols = ["clean_nav", "accrued", "duration", "delta", "gamma", - "theta", "tranche_factor", "upfront", "running", - "corr_attach", "corr_detach", - "index_refprice", "index_refspread", - "index_duration"] + cols = [ + "clean_nav", + "accrued", + "duration", + "delta", + "gamma", + "theta", + "tranche_factor", + "upfront", + "running", + "corr_attach", + "corr_detach", + "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({','.join(['%s'] * 16)}) " - " ON CONFLICT (date, tranche_id) DO UPDATE " - f"SET {update_str}") + sql_str = ( + f"INSERT INTO tranche_risk VALUES({','.join(['%s'] * 16)}) " + " ON CONFLICT (date, tranche_id) DO UPDATE " + f"SET {update_str}" + ) with conn.cursor() as c: for (strat, trade_id), trade in portf.items(): logger.info(f"marking tranche {trade_id} in {strat}") @@ -55,23 +79,28 @@ def insert_tranche_portfolio(portf, conn): theta = trade.theta(method="TLP") except ValueError: theta = None - c.execute(sql_str, (trade.value_date, - trade_id, - trade.clean_pv, - -trade._accrued * trade.notional, - trade.duration, - trade.delta, - trade.gamma, - theta, - trade.tranche_factor, - trade.upfront, - trade.tranche_running, - trade.rho[0], - trade.rho[1], - 100 - float(trade._index.pv()) * 100, - trade._index._snacspread(trade._index.coupon(), - trade._index.recovery, - trade.maturity) * 10000, - float(trade._index.duration())) + c.execute( + sql_str, + ( + trade.value_date, + trade_id, + trade.clean_pv, + -trade._accrued * trade.notional, + trade.duration, + trade.delta, + trade.gamma, + theta, + trade.tranche_factor, + trade.upfront, + trade.tranche_running, + trade.rho[0], + trade.rho[1], + 100 - float(trade._index.pv()) * 100, + trade._index._snacspread( + trade._index.coupon(), trade._index.recovery, trade.maturity + ) + * 10000, + float(trade._index.duration()), + ), ) conn.commit() |