{
 "cells": [
  {
   "cell_type": "code",
   "execution_count": null,
   "metadata": {},
   "outputs": [],
   "source": [
    "# better formatting for large floats\n",
    "import pandas as pd\n",
    "pd.options.display.float_format = \"{:,.2f}\".format"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": null,
   "metadata": {},
   "outputs": [],
   "source": [
    "from risk.swaptions import get_swaption_portfolio\n",
    "import datetime\n",
    "from utils.db import dbconn\n",
    "from analytics import init_ontr\n",
    "import analytics\n",
    "conn = dbconn('dawndb')\n",
    "conn.autocommit = True\n",
    "value_date = datetime.date.today()\n",
    "init_ontr(value_date)"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": null,
   "metadata": {},
   "outputs": [],
   "source": [
    "portf = get_swaption_portfolio(value_date, conn, source_list=[\"GS\"])\n",
    "portf"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": null,
   "metadata": {},
   "outputs": [],
   "source": [
    "df = portf._todf()\n",
    "positions = df.set_index(\"Index\")[[\"Delta\", \"Notional\"]].prod(axis=1).groupby(level=\"Index\").sum()\n",
    "positions.name = 'current_delta'\n",
    "gamma = df.set_index(\"Index\")[[\"Gamma\", \"Notional\"]].prod(axis=1).groupby(level=\"Index\").sum()\n",
    "gamma.name = 'gamma'"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": null,
   "metadata": {},
   "outputs": [],
   "source": [
    "hedges = pd.read_sql_query(\"SELECT security_desc, notional FROM list_cds_positions_by_strat(%s) \"\n",
    "                           \"WHERE folder in ('IGOPTDEL', 'HYOPTDEL')\",\n",
    "                           conn, params=(value_date,))"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": null,
   "metadata": {},
   "outputs": [],
   "source": [
    "def f(s):\n",
    "    l = s.split(\" \")\n",
    "    return f\"{l[1]}{l[3][1:]} {l[4].lower()}r\"\n",
    "\n",
    "hedges[\"Index\"] = hedges[\"security_desc\"].apply(f)\n",
    "hedges = hedges.rename(columns={\"notional\": \"current hedge\"})\n",
    "hedges = hedges.set_index(\"Index\")[\"current hedge\"]\n",
    "hedges = hedges.reindex(positions.index, fill_value=0.)\n",
    "risk = pd.concat([hedges, positions, gamma], axis=1)\n",
    "risk['net_delta'] = risk[\"current hedge\"] + risk.current_delta\n",
    "risk"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": null,
   "metadata": {},
   "outputs": [],
   "source": [
    "portf.theta"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": null,
   "metadata": {},
   "outputs": [],
   "source": []
  }
 ],
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