from serenitas.utils.db import serenitas_pool from sys import argv def get_recovery(company_id: int, seniority: str, conn): with conn.cursor() as c: c.execute( "SELECT recovery * 100, auction_date FROM defaulted " "WHERE id=%s AND seniority=%s", (company_id, seniority), ) return c.fetchone() def affected_indices(company_id: int, seniority: str, conn): """returns the list of indices containing company_id""" sqlstr = ( "SELECT b.*, a.curr_weight*b.indexfactor AS orig_weight " "FROM basket_constituents_current a " "JOIN (SELECT * FROM index_version WHERE lastdate='infinity') b " "USING (basketid) " "WHERE company_id=%s AND seniority=%s" ) with conn.cursor() as c: c.execute(sqlstr, (company_id, seniority)) recordslist = c.fetchall() return recordslist def create_newindices(recordslist, recovery, lastdate, conn): """create the new indices versions and update the old""" insertstr = """INSERT INTO index_version(Index, Series, Version, IndexFactor, CumulativeLoss, lastdate) Values(%(index)s, %(series)s, %(version)s, %(indexfactor)s, %(cumulativeloss)s, %(lastdate)s) RETURNING basketid""" updatestr = "UPDATE index_version SET lastdate=%s WHERE basketid=%s" with conn.cursor() as c: newids = {} for r in recordslist: d = r._asdict() d["indexfactor"] -= d["orig_weight"] d["version"] += 1 d["cumulativeloss"] += (100 - recovery) * d["orig_weight"] / 100 d["lastdate"] = "infinity" c.execute(insertstr, d) newids[d["basketid"]] = c.fetchone()[0] for oldid in newids.keys(): c.execute(updatestr, (lastdate, oldid)) conn.commit() return newids def update_indexmembers(newids, company_id, seniority, conn): with conn.cursor() as c: for oldid, newid in newids.items(): c.execute( "INSERT INTO basket_constituents " "(SELECT company_id, seniority, %s, weight " "FROM basket_constituents " "WHERE basketid=%s AND NOT (company_id=%s AND seniority=%s))", (newid, oldid, company_id, seniority), ) conn.commit() def update_redcodes(index_type, conn): if index_type == "HY": index_subfamily = "CDX.NA.HY" elif index_type == "IG": index_subfamily = "CDX.NA.IG" elif index_type == "EU": index_subfamily = "iTraxx Europe" elif index_type == "XO": index_subfamily = "iTraxx Europe Crossover" elif index_type == "HYBB": index_subfamily = "CDX.NA.HY.BB" elif index_type == "BS": return with conn.cursor() as c: c.execute( "UPDATE index_version SET redindexcode=index_version_markit.redindexcode " "FROM index_version_markit WHERE index_version.series=index_version_markit.series " "AND index_version.version=index_version_markit.version " "AND index_version.index=%s " "AND index_version_markit.indexsubfamily=%s" "AND index_version.redindexcode IS NULL", (index_type, index_subfamily), ) conn.commit() if __name__ == "__main__": if len(argv) == 1: print( """Usage: python handle_default.py For instance: python handle_default.py 210065 Senior""" ) else: from markit_red import download_report, update_redcodes as upd_redcodes fname = next(download_report("REDIndexCodes")) upd_redcodes(fname[0]) conn = serenitas_pool.getconn() company_id = int(argv[1]) seniority = argv[2] recovery, lastdate = get_recovery(company_id, seniority, conn) recordslist = affected_indices(company_id, seniority, conn) newids = create_newindices(recordslist, recovery, lastdate, conn) update_indexmembers(newids, company_id, seniority, conn) for index in set(r.index for r in recordslist): update_redcodes(index, conn) serenitas_pool.putconn(conn)