diff options
Diffstat (limited to 'python')
| -rw-r--r-- | python/reto.py | 43 |
1 files changed, 19 insertions, 24 deletions
diff --git a/python/reto.py b/python/reto.py index bc6f978b..1f7bddd5 100644 --- a/python/reto.py +++ b/python/reto.py @@ -1,7 +1,3 @@ -import datetime -import argparse -import warnings -import logging import pandas as pd import numpy as np @@ -11,9 +7,6 @@ import serenitas.analytics as ana from serenitas.analytics.scenarios import run_portfolio_scenarios from serenitas.analytics.base import Trade from serenitas.analytics.index_data import load_all_curves -from serenitas.analytics.dates import prev_business_day -from serenitas.utils.db2 import dbconn -from serenitas.utils.pool import serenitas_pool def gen_shocks(portf, shock_date, fund): @@ -97,21 +90,19 @@ def save_shocks(conn, date, df, fund): conn.commit() -def get_survival_curves(date): - with serenitas_pool.connection() as conn: - surv_curves = load_all_curves(conn, date) +def get_survival_curves(conn, date): + surv_curves = load_all_curves(conn, date) surv_curves["spread"] = surv_curves["curve"].apply( - lambda sc: sc.inspect()["data"][5][1] * (1 - sc.recovery_rates[5]) + lambda sc: [h for d, h in sc][5] * (1 - sc.recovery_rates[5]) ) return surv_curves.groupby(level=0).first()[["name", "company_id", "spread"]] def gen_jtd(portf, survival_curves): jtd = portf.jtd_single_names() - jtd = jtd[[jtd.columns[0]]].join(survival_curves) - jtd.columns = ["jtd", "name", "company_id", "5yr_spread"] - jtd = jtd.groupby(["company_id", "name"]).sum() - return jtd.reset_index() + jtd = survival_curves.join(jtd.iloc[:, 0], how="right") + jtd.columns = ["name", "company_id", "5yr_spread", "jtd"] + return jtd.groupby(["company_id", "name"], as_index=False).sum() def save_jtd(conn, date, df, fund): @@ -125,13 +116,20 @@ def save_jtd(conn, date, df, fund): ) conn.commit() c.executemany( - "INSERT INTO jtd_risks VALUES (%s, %s, %s, %s, %s, %s)", + "INSERT INTO jtd_risks(date, fund, company_id, name, five_year_spread, jtd) " + "VALUES (%s, %s, %s, %s, %s, %s)", [(date, fund, *t) for t in df.itertuples(index=False)], ) conn.commit() if __name__ == "__main__": + import datetime + import argparse + import warnings + from serenitas.analytics.dates import prev_business_day + from serenitas.utils.db2 import dbconn + parser = argparse.ArgumentParser( description="Shock data/ calculate JTD and insert into DB" ) @@ -144,12 +142,9 @@ if __name__ == "__main__": parser.add_argument("-n", "--no-upload", action="store_true", help="do not upload") args = parser.parse_args() conn = dbconn("dawndb") - survival_curves = get_survival_curves(args.date) - logging.basicConfig( - format="%(asctime)s - %(name)s - %(levelname)s - %(message)s", - level=logging.INFO, - ) - logger = logging.getLogger(__name__) + + survival_curves = get_survival_curves(Trade._conn, args.date) + for fund in ( "SERCGMAST", "BOWDST", @@ -164,7 +159,7 @@ if __name__ == "__main__": portf, _ = build_portfolio(args.date, args.date, fund) shocks = gen_shocks(portf, args.date, fund) save_shocks(conn, args.date, shocks, fund) - logger.info(f"{args.date}: {fund} Shocks Done") + print(f"{args.date}: {fund} Shocks Done") jtd = gen_jtd(portf, survival_curves) save_jtd(conn, args.date, jtd, fund) - logger.info(f"{args.date}: {fund} JTD Done") + print(f"{args.date}: {fund} JTD Done") |