diff options
Diffstat (limited to 'python')
| -rw-r--r-- | python/intex_scenarios.py | 276 |
1 files changed, 137 insertions, 139 deletions
diff --git a/python/intex_scenarios.py b/python/intex_scenarios.py index f60a412a..30029f70 100644 --- a/python/intex_scenarios.py +++ b/python/intex_scenarios.py @@ -10,7 +10,6 @@ import common from common import query_db, root
import sys
import yaml
-import pdb
pattern1 = re.compile("REINVEST\[\w+::REINV_TBA(\d)\]\[DEAL,(\d+)\]=.*$")
# reinv end date
@@ -60,160 +59,159 @@ def get_reinvenddate(dealname): else:
raise Exception("missing reinvestment end date")
-def generate_scenarios(workdate, dealnames):
+def generate_scenarios(workdate, dealname):
prometheus = os.path.join(root, "Scenarios", "prometheus.sss")
n_scenarios = 100
basedir = os.path.join(root, "Scenarios", "Intex curves_" + workdate)
- for dealname in dealnames:
- defaultedprice = get_recovery(dealname, workdate)
- replace = "\g<a>{0:.3f}".format(defaultedprice)
- with open(os.path.join(basedir, "csv", dealname + ".config")) as fh:
- config = yaml.load(fh)
- reinvflag = config['reinvflag']
- if reinvflag:
- reinvenddate = get_reinvenddate(dealname)
- reinv_assets = get_reinv_assets(dealname, workdate)
- n_float_assets = len([v for v in reinv_assets.values() if v == 'FLOAT'])
- n_fixed_assets = len([v for v in reinv_assets.values() if v == 'FIXED'])
- rollingmat = config['rollingmat']
- if n_fixed_assets == 0:
- reinvfixedpercentage = 0
- else:
- reinvfixedpercentage = global_reinvfixedpercentage / n_fixed_assets
- if n_float_assets > 0:
- reinvfloatpercentage = (100 - n_fixed_assets * reinvfixedpercentage)/n_float_assets
+ defaultedprice = get_recovery(dealname, workdate)
+ replace = "\g<a>{0:.3f}".format(defaultedprice)
+ with open(os.path.join(basedir, "csv", dealname + ".config")) as fh:
+ config = yaml.load(fh)
+ reinvflag = config['reinvflag']
+ if reinvflag:
+ reinvenddate = get_reinvenddate(dealname)
+ reinv_assets = get_reinv_assets(dealname, workdate)
+ n_float_assets = len([v for v in reinv_assets.values() if v == 'FLOAT'])
+ n_fixed_assets = len([v for v in reinv_assets.values() if v == 'FIXED'])
+ rollingmat = config['rollingmat']
+ if n_fixed_assets == 0:
+ reinvfixedpercentage = 0
+ else:
+ reinvfixedpercentage = global_reinvfixedpercentage / n_fixed_assets
+ if n_float_assets > 0:
+ reinvfloatpercentage = (100 - n_fixed_assets * reinvfixedpercentage)/n_float_assets
- try:
- with open(os.path.join(basedir, "csv", dealname + "-reinvprices.csv"), "r") as fh:
- dr = csv.DictReader(fh)
- reinvprices = {f: [] for f in dr.fieldnames}
- for line in dr:
- for f in dr.fieldnames:
- reinvprices[f].append("{0:.3f}".format(float(line[f])))
- except IOError:
- reinvflag = False
+ try:
+ with open(os.path.join(basedir, "csv", dealname + "-reinvprices.csv"), "r") as fh:
+ dr = csv.DictReader(fh)
+ reinvprices = {f: [] for f in dr.fieldnames}
+ for line in dr:
+ for f in dr.fieldnames:
+ reinvprices[f].append("{0:.3f}".format(float(line[f])))
+ except IOError:
+ reinvflag = False
- sssfile = 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")
- fhsss = open(sssfile, "w")
- fhcdr = open(cdrscenarios, "r")
- fhrecovery = open(recoveryscenarios, "r")
- csvcdr = reader(fhcdr)
- csvrecovery = reader(fhrecovery)
- cdrline = next(csvcdr)
- cdrline = "\t".join(["{0:.3f}".format(float(cdr)) for cdr in cdrline])
- recoveryline = next(csvrecovery)
- recoveryline = "\t".join(["{0:.3f}".format(float(recovery)) for recovery in recoveryline])
+ sssfile = 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")
+ fhsss = open(sssfile, "w")
+ fhcdr = open(cdrscenarios, "r")
+ fhrecovery = open(recoveryscenarios, "r")
+ csvcdr = reader(fhcdr)
+ csvrecovery = reader(fhrecovery)
+ cdrline = next(csvcdr)
+ cdrline = "\t".join(["{0:.3f}".format(float(cdr)) for cdr in cdrline])
+ recoveryline = next(csvrecovery)
+ recoveryline = "\t".join(["{0:.3f}".format(float(recovery)) for recovery in recoveryline])
- i=1
- with open(prometheus) as fh:
- for line in fh:
- line = line.rstrip()
+ i=1
+ with open(prometheus) as fh:
+ for line in fh:
+ line = line.rstrip()
- if "DEAL_NAME" in line:
- newline = "DEAL_NAME=" + dealname.upper() + "\r\n"
- fhsss.write(newline)
- continue
- if not reinvflag and pattern8.match(line):
- line = re.sub(pattern8, r"\1{0}\2=0".format(dealname.upper()), line)
+ if "DEAL_NAME" in line:
+ newline = "DEAL_NAME=" + dealname.upper() + "\r\n"
+ fhsss.write(newline)
+ continue
+ if not reinvflag and pattern8.match(line):
+ line = re.sub(pattern8, r"\1{0}\2=0".format(dealname.upper()), line)
+ fhsss.write(line + "\r\n")
+ continue
+ if not reinvflag and "DO_REINV" in line:
+ fhsss.write("DO_REINV=0" + "\r\n")
+ continue
+ m = pattern1.match(line)
+ if reinvflag and m:
+ reinv_number, scen_number = m.groups()
+ key = "REINV_TBA" + reinv_number
+ if key in reinv_assets:
+ if reinv_assets[key] == "FLOAT":
+ coupon = 4
+ elif reinv_assets[key] == "FIXED":
+ coupon = 7
+ line = "REINVEST[{0}::REINV_TBA{1}][DEAL,{2}]=".format(dealname.upper(),
+ reinv_number,
+ scen_number)
+ line += "COUP_SPR={0}|AMORT=Bullet|USE_REINVEST_PIP=1|MAT_DATE={1}|".format(coupon,
+ rollingmat)
fhsss.write(line + "\r\n")
- continue
- if not reinvflag and "DO_REINV" in line:
- fhsss.write("DO_REINV=0" + "\r\n")
- continue
- m = pattern1.match(line)
- if reinvflag and m:
- reinv_number, scen_number = m.groups()
- key = "REINV_TBA" + reinv_number
- if key in reinv_assets:
- if reinv_assets[key] == "FLOAT":
- coupon = 4
- elif reinv_assets[key] == "FIXED":
- coupon = 7
- line = "REINVEST[{0}::REINV_TBA{1}][DEAL,{2}]=".format(dealname.upper(),
- reinv_number,
- scen_number)
- line += "COUP_SPR={0}|AMORT=Bullet|USE_REINVEST_PIP=1|MAT_DATE={1}|".format(coupon,
- rollingmat)
- fhsss.write(line + "\r\n")
- continue
- if reinvflag and pattern2.match(line):
- line = re.sub(pattern2, r"\1{0}\2{1}", line).format(dealname.upper(), reinvenddate)
+ continue
+ if reinvflag and pattern2.match(line):
+ line = re.sub(pattern2, r"\1{0}\2{1}", line).format(dealname.upper(), reinvenddate)
+ fhsss.write(line + "\r\n")
+ continue
+ m = pattern3.match(line)
+ if reinvflag and m:
+ reinv_number, scen_number = m.groups()
+ if dealname=="litpt3" and reinv_number=="1":
+ line = "STANDARD_VAR[LITPT3::#REINVLOANP100,{0}]".format(scen_number) + \
+ "={0}".format(" ".join(reinvprices["REINV_TBA1"]))
fhsss.write(line + "\r\n")
continue
- m = pattern3.match(line)
- if reinvflag and m:
- reinv_number, scen_number = m.groups()
- if dealname=="litpt3" and reinv_number=="1":
- line = "STANDARD_VAR[LITPT3::#REINVLOANP100,{0}]".format(scen_number) + \
- "={0}".format(" ".join(reinvprices["REINV_TBA1"]))
+ reinv_name = "REINV_TBA" + reinv_number
+ if reinv_name in reinvprices:
+ line = \
+ "STANDARD_VAR[{0}::#PRICE100_TBA{1},{2}]={3}".format(dealname.upper(),
+ reinv_number,
+ scen_number,
+ " ".join(reinvprices[reinv_name]))
+ fhsss.write(line + "\r\n")
+ continue
+ m = pattern5.match(line)
+ if reinvflag and m:
+ reinv_number, scen_number = m.groups()
+ reinv_name = "REINV_TBA" + reinv_number
+ if reinv_number=="1":
+ if dealname=="litpt3":
+ line = "STANDARD_VAR[LITPT3::#LOANREINVPCT,{0}]=100".format(scen_number)
fhsss.write(line + "\r\n")
continue
- reinv_name = "REINV_TBA" + reinv_number
- if reinv_name in reinvprices:
- line = \
- "STANDARD_VAR[{0}::#PRICE100_TBA{1},{2}]={3}".format(dealname.upper(),
- reinv_number,
- scen_number,
- " ".join(reinvprices[reinv_name]))
+ if dealname=="flags4":
+ line = "STANDARD_VAR[FLAGS4::#PCT100_TBA1,{0}]=100".format(scen_number)
fhsss.write(line + "\r\n")
- continue
- m = pattern5.match(line)
- if reinvflag and m:
- reinv_number, scen_number = m.groups()
- reinv_name = "REINV_TBA" + reinv_number
- if reinv_number=="1":
- if dealname=="litpt3":
- line = "STANDARD_VAR[LITPT3::#LOANREINVPCT,{0}]=100".format(scen_number)
- fhsss.write(line + "\r\n")
- continue
- if dealname=="flags4":
- line = "STANDARD_VAR[FLAGS4::#PCT100_TBA1,{0}]=100".format(scen_number)
- fhsss.write(line + "\r\n")
- continue
- if reinv_name in reinv_assets:
- if reinv_assets[reinv_name] == 'FIXED':
- line = "STANDARD_VAR[{0}::#REINVPCT_TBA{1},{2}]={3}".format(dealname.upper(),
- reinv_number,
- scen_number,
- reinvfixedpercentage)
- elif reinv_assets[reinv_name] == 'FLOAT':
- line = "STANDARD_VAR[{0}::#REINVPCT_TBA{1},{2}]={3}".format(dealname.upper(),
- reinv_number,
- scen_number,
- reinvfloatpercentage)
+ continue
+ if reinv_name in reinv_assets:
+ if reinv_assets[reinv_name] == 'FIXED':
+ line = "STANDARD_VAR[{0}::#REINVPCT_TBA{1},{2}]={3}".format(dealname.upper(),
+ reinv_number,
+ scen_number,
+ reinvfixedpercentage)
+ elif reinv_assets[reinv_name] == 'FLOAT':
+ line = "STANDARD_VAR[{0}::#REINVPCT_TBA{1},{2}]={3}".format(dealname.upper(),
+ reinv_number,
+ scen_number,
+ reinvfloatpercentage)
- fhsss.write(line + "\r\n")
- continue
- if pattern7.search(line):
- line = re.sub(pattern7, dealname.upper(), line)
fhsss.write(line + "\r\n")
- continue
- if "LOSS_RATE[DEAL,{0}]".format(i) in line:
- newcdrline = "LOSS_RATE[DEAL,{0}]=".format(i) + cdrline
- fhsss.write(newcdrline + "\r\n")
- continue
- if "LOSS_SEVERITY[DEAL,{0}]".format(i) in line:
- newrecoveryline = "LOSS_SEVERITY[DEAL,{0}]=".format(i) + recoveryline
- fhsss.write(newrecoveryline + "\r\n")
- i = i + 1
- if i <= n_scenarios:
- cdrline = next(csvcdr)
- cdrline = "\t".join(["{0:.3f}".format(float(cdr)) for cdr in cdrline]) + "\r\n"
- recoveryline = next(csvrecovery)
- recoveryline = "\t".join(["{0:.3f}".format(float(recovery)) \
- for recovery in recoveryline]) + "\r\n"
- continue
- if "LOSS_NONPERF_SEVERITY" in line:
- line = re.sub(pattern9, replace, line)
+ continue
+ if pattern7.search(line):
+ line = re.sub(pattern7, dealname.upper(), line)
fhsss.write(line + "\r\n")
- fhsss.close()
- fhrecovery.close()
- fhcdr.close()
- print("generated scenarios for: {0}".format(dealname))
+ continue
+ if "LOSS_RATE[DEAL,{0}]".format(i) in line:
+ newcdrline = "LOSS_RATE[DEAL,{0}]=".format(i) + cdrline
+ fhsss.write(newcdrline + "\r\n")
+ continue
+ if "LOSS_SEVERITY[DEAL,{0}]".format(i) in line:
+ newrecoveryline = "LOSS_SEVERITY[DEAL,{0}]=".format(i) + recoveryline
+ fhsss.write(newrecoveryline + "\r\n")
+ i = i + 1
+ if i <= n_scenarios:
+ cdrline = next(csvcdr)
+ cdrline = "\t".join(["{0:.3f}".format(float(cdr)) for cdr in cdrline]) + "\r\n"
+ recoveryline = next(csvrecovery)
+ recoveryline = "\t".join(["{0:.3f}".format(float(recovery)) \
+ for recovery in recoveryline]) + "\r\n"
+ continue
+ if "LOSS_NONPERF_SEVERITY" in line:
+ line = re.sub(pattern9, replace, line)
+ fhsss.write(line + "\r\n")
+ fhsss.close()
+ fhrecovery.close()
+ fhcdr.close()
+ print("generated scenarios for: {0}".format(dealname))
if __name__ == "__main__":
if len(sys.argv) > 1:
|