import datetime
from exchangelib import HTMLBody
from serenitas.analytics.dates import prev_business_day
from serenitas.utils.db import dbconn
from serenitas.ops.dataclass_mapping import _citco_cp_isda
from report_ops.utils import check_cleared_cds, Monitor
from report_ops.misc import _recon_recipients, _cc_recipients
class BondFactorMonitor(
Monitor,
headers=(
"date",
"citco_security_id",
"security_id",
"serenitas_factor",
"admin_factor",
"difference",
),
num_format=[("{0:,.2f}", 3), ("{0:,.2f}", 4), ("{0:,.2f}", 5)],
):
@classmethod
def email(cls, fund):
if not cls._staging_queue:
return
cls._em.send_email(
f"*ACTION REQUESTED* Incorrect Factors: {fund}",
HTMLBody(
f"""
Hello,
We see the below factor mismatches. Could you please correct the below?
{cls.to_tabulate()}
"""
),
to_recipients=_recon_recipients[fund],
cc_recipients=_cc_recipients[fund],
)
class SwaptionExerciseNotification(
Monitor,
headers=(
"swaption_fix_id",
"security_desc",
"fund",
"expiration_date",
"strike",
"clearing_agent",
"putcall",
"notional",
"swaption_expiration_status",
"exercised_fix_id",
),
num_format=[("{0:,.4f}", 4), ("{0:,.2f}", 7)],
):
@classmethod
def email(cls, fund, expiration_date):
if not cls._staging_queue:
return
cls._em.send_email(
f"Citco Exercise Notification: {fund} Expiration: {expiration_date}",
HTMLBody(
f"""
Hello,
We would like to notify you of the exercised/expired swaptions:
{cls.to_tabulate()}
"""
),
to_recipients=_recon_recipients[fund],
cc_recipients=_cc_recipients[fund],
)
def check_bond_factors(date, fund, conn):
with conn.cursor() as c:
c.execute(
"SELECT citco_security_id, security_id, serenitas_factor, admin_factor, serenitas_factor-admin_factor as difference FROM compare_citco_bonds (%s, %s) WHERE abs(serenitas_factor - admin_factor) > .01;",
(date, fund),
)
for row in c:
d = row._asdict() | {"date": date}
BondFactorMonitor.stage(d)
BondFactorMonitor.email(fund)
BondFactorMonitor.clear()
def notify_swaption_exercise(expiration_date, fund, conn):
with conn.cursor() as c:
c.execute(
"SELECT * FROM get_exercised_swaptions(%s, %s)",
(
expiration_date,
fund,
),
)
for row in c:
d = row._asdict()
if d["security_desc"].startswith("CDX IG"):
d["strike"] /= 100
d["putcall"] = "PUT" if d["option_type"] == "PAYER" else "CALL"
d["notional"] = d["notional"] * (1 if d["buysell"] else -1)
d["swaption_fix_id"] = d["dealid"]
d["exercised_fix_id"] = d["new_trade"]
d["clearing_agent"] = _citco_cp_isda[d["cp_code"]]
d["swaption_expiration_status"] = (
"EXERCISED" if d["new_trade"] else "EXPIRED"
)
SwaptionExerciseNotification.stage(d)
SwaptionExerciseNotification.email(fund, expiration_date)
SwaptionExerciseNotification.clear()
if __name__ == "__main__":
import argparse
parser = argparse.ArgumentParser()
parser.add_argument(
"cob",
nargs="?",
type=datetime.date.fromisoformat,
default=prev_business_day(datetime.date.today()),
help="working date",
)
args = parser.parse_args()
conn = dbconn("dawndb")
for fund in ("ISOSEL",):
check_cleared_cds(args.cob, fund, conn)
check_bond_factors(args.cob, fund, conn)
notify_swaption_exercise(args.cob, fund, conn)