from bbg_helpers import BBG_IP, init_bbg_session, retrieve_data from analytics.utils import roll_date from psycopg2.extras import execute_values import datetime import pandas as pd def bbg_name(index_type: str, series: int, tenor="5yr", version=None) -> str: if index_type == "EU": index_type = "EUR" index_name = "ITRX" elif index_type == "XO": index_type = "XOVER" index_name = "ITRX" elif index_type == "HYBB": index_name = "" else: index_name = "CDX" return f"{index_name} {index_type} CDSI S{series} {f'V{version} ' if version else ''}{tenor[:2].upper()} Corp".lstrip() def new_basket_id( conn, index_type, series, version=1, mat_5yr=roll_date(datetime.date.today(), 5), coupon=100, red=None, ): if red is None: name = bbg_name(index_type, series, version=version) with init_bbg_session(BBG_IP) as session: data = retrieve_data(session, [name], ["CDS_RED_PAIR_CODE"]) red = data[name]["CDS_RED_PAIR_CODE"] sql_str = ( "INSERT INTO index_version(index, series, version, redindexcode) " "VALUES(%s, %s, %s, %s) RETURNING basketid" ) with conn.cursor() as c: c.execute(sql_str, (index_type, series, version, red)) (basket_id,) = c.fetchone() maturities = [mat_5yr.replace(year=mat_5yr.year + off) for off in [-2, 0, 2, 5]] with conn.cursor() as c: execute_values( c, "INSERT INTO index_maturity VALUES %s", [ (index_type, series, t, m, coupon) for t, m in zip(["3yr", "5yr", "7yr", "10yr"], maturities) ], ) conn.commit() return basket_id def get_index_members(index_type: str, series: int) -> pd.DataFrame: name = bbg_name(index_type, series) with init_bbg_session(BBG_IP) as session: df = retrieve_data(session, [name], ["INDX_MEMBERS"]) df = df[name]["INDX_MEMBERS"] tickers = df["column 4"] company_ids = retrieve_data( session, [t + " Corp" for t in tickers], ["cds_company_id"] ) company_ids = pd.DataFrame.from_dict(company_ids, orient="index") company_ids = company_ids.reset_index() company_ids["index"] = company_ids["index"].str.replace(" Corp", "") company_ids = company_ids.set_index("index") df = df.set_index("column 4").join(company_ids)[["cds_company_id", "column 3"]] df.columns = ["company_id", "seniority"] return df def new_index_series(conn, basketid, index_type, series): df = get_index_members(index_type, series) with conn.cursor() as c: c.executemany( "INSERT INTO basket_constituents VALUES(%s, %s, %s, %s)", [ ( t.company_id, "SLA" if t.seniority == "LAC" else t.seniority, basketid, 1.0, ) for t in df.itertuples(index=False) ], ) conn.commit()