from db import serenitas_pool import datetime 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") print(sqlstr) 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: r['indexfactor'] -= r['orig_weight'] r['version'] += 1 r['cumulativeloss'] += (100-recovery) * r['orig_weight'] /100 r['lastdate'] = 'infinity' c.execute(insertstr, r) newids[r['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' 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: 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) serenitas_pool.putconn(conn,)