{
 "cells": [
  {
   "cell_type": "code",
   "execution_count": 50,
   "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": 51,
   "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": 52,
   "metadata": {},
   "outputs": [
    {
     "data": {
      "text/html": [
       "Portfolio 2020-01-24\n",
       "\n",
       "<table border=\"1\" class=\"dataframe\">\n",
       "  <thead>\n",
       "    <tr style=\"text-align: right;\">\n",
       "      <th></th>\n",
       "      <th>Product</th>\n",
       "      <th>Index</th>\n",
       "      <th>Notional</th>\n",
       "      <th>Ref</th>\n",
       "      <th>Strike</th>\n",
       "      <th>Direction</th>\n",
       "      <th>Type</th>\n",
       "      <th>Expiry</th>\n",
       "      <th>Vol</th>\n",
       "      <th>PV</th>\n",
       "      <th>Delta</th>\n",
       "      <th>Gamma</th>\n",
       "      <th>Theta</th>\n",
       "      <th>Vega</th>\n",
       "      <th>HY Equiv</th>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>ids</th>\n",
       "      <th></th>\n",
       "      <th></th>\n",
       "      <th></th>\n",
       "      <th></th>\n",
       "      <th></th>\n",
       "      <th></th>\n",
       "      <th></th>\n",
       "      <th></th>\n",
       "      <th></th>\n",
       "      <th></th>\n",
       "      <th></th>\n",
       "      <th></th>\n",
       "      <th></th>\n",
       "      <th></th>\n",
       "      <th></th>\n",
       "    </tr>\n",
       "  </thead>\n",
       "  <tbody>\n",
       "    <tr>\n",
       "      <th>SWPTN91</th>\n",
       "      <td>Swaption</td>\n",
       "      <td>IG33 5yr</td>\n",
       "      <td>200,000,000.00</td>\n",
       "      <td>46.59</td>\n",
       "      <td>45.0</td>\n",
       "      <td>Long</td>\n",
       "      <td>receiver</td>\n",
       "      <td>2020-02-19</td>\n",
       "      <td>40.83%</td>\n",
       "      <td>96,319.39</td>\n",
       "      <td>-26.75%</td>\n",
       "      <td>60.60%</td>\n",
       "      <td>-3,188.64</td>\n",
       "      <td>4,080.47</td>\n",
       "      <td>-15,787,111.54</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>SWPTN92</th>\n",
       "      <td>Swaption</td>\n",
       "      <td>IG33 5yr</td>\n",
       "      <td>200,000,000.00</td>\n",
       "      <td>46.59</td>\n",
       "      <td>65.0</td>\n",
       "      <td>Short</td>\n",
       "      <td>payer</td>\n",
       "      <td>2020-02-19</td>\n",
       "      <td>74.83%</td>\n",
       "      <td>-23,794.79</td>\n",
       "      <td>-7.31%</td>\n",
       "      <td>-15.04%</td>\n",
       "      <td>2,128.60</td>\n",
       "      <td>-1,542.26</td>\n",
       "      <td>-4,314,115.94</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>SWPTN97</th>\n",
       "      <td>Swaption</td>\n",
       "      <td>IG33 5yr</td>\n",
       "      <td>200,000,000.00</td>\n",
       "      <td>46.59</td>\n",
       "      <td>42.5</td>\n",
       "      <td>Long</td>\n",
       "      <td>receiver</td>\n",
       "      <td>2020-03-18</td>\n",
       "      <td>37.97%</td>\n",
       "      <td>63,066.05</td>\n",
       "      <td>-15.51%</td>\n",
       "      <td>36.70%</td>\n",
       "      <td>-1,502.93</td>\n",
       "      <td>4,332.40</td>\n",
       "      <td>-9,151,352.04</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>SWPTN107</th>\n",
       "      <td>Swaption</td>\n",
       "      <td>IG33 5yr</td>\n",
       "      <td>200,000,000.00</td>\n",
       "      <td>46.59</td>\n",
       "      <td>42.5</td>\n",
       "      <td>Long</td>\n",
       "      <td>receiver</td>\n",
       "      <td>2020-03-18</td>\n",
       "      <td>37.97%</td>\n",
       "      <td>63,066.05</td>\n",
       "      <td>-15.51%</td>\n",
       "      <td>36.70%</td>\n",
       "      <td>-1,502.93</td>\n",
       "      <td>4,332.40</td>\n",
       "      <td>-9,151,352.04</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>SWPTN108</th>\n",
       "      <td>Swaption</td>\n",
       "      <td>IG33 5yr</td>\n",
       "      <td>200,000,000.00</td>\n",
       "      <td>46.59</td>\n",
       "      <td>55.0</td>\n",
       "      <td>Short</td>\n",
       "      <td>payer</td>\n",
       "      <td>2020-03-18</td>\n",
       "      <td>54.38%</td>\n",
       "      <td>-152,837.83</td>\n",
       "      <td>-30.95%</td>\n",
       "      <td>-34.76%</td>\n",
       "      <td>2,916.80</td>\n",
       "      <td>-5,825.18</td>\n",
       "      <td>-18,264,316.98</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>SWPTN98</th>\n",
       "      <td>Swaption</td>\n",
       "      <td>IG33 5yr</td>\n",
       "      <td>200,000,000.00</td>\n",
       "      <td>46.59</td>\n",
       "      <td>57.5</td>\n",
       "      <td>Short</td>\n",
       "      <td>payer</td>\n",
       "      <td>2020-03-18</td>\n",
       "      <td>57.60%</td>\n",
       "      <td>-124,368.10</td>\n",
       "      <td>-25.43%</td>\n",
       "      <td>-30.04%</td>\n",
       "      <td>2,793.20</td>\n",
       "      <td>-5,282.54</td>\n",
       "      <td>-15,009,920.16</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>SWPTN93</th>\n",
       "      <td>Swaption</td>\n",
       "      <td>IG33 5yr</td>\n",
       "      <td>300,000,000.00</td>\n",
       "      <td>46.59</td>\n",
       "      <td>62.5</td>\n",
       "      <td>Short</td>\n",
       "      <td>payer</td>\n",
       "      <td>2020-03-18</td>\n",
       "      <td>63.32%</td>\n",
       "      <td>-128,800.98</td>\n",
       "      <td>-17.73%</td>\n",
       "      <td>-22.36%</td>\n",
       "      <td>3,702.11</td>\n",
       "      <td>-6,405.66</td>\n",
       "      <td>-15,692,360.25</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>SWPTN103</th>\n",
       "      <td>Swaption</td>\n",
       "      <td>IG33 5yr</td>\n",
       "      <td>200,000,000.00</td>\n",
       "      <td>46.59</td>\n",
       "      <td>42.5</td>\n",
       "      <td>Long</td>\n",
       "      <td>receiver</td>\n",
       "      <td>2020-04-15</td>\n",
       "      <td>39.55%</td>\n",
       "      <td>95,237.93</td>\n",
       "      <td>-17.86%</td>\n",
       "      <td>30.89%</td>\n",
       "      <td>-1,363.28</td>\n",
       "      <td>5,704.92</td>\n",
       "      <td>-10,542,143.17</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>SWPTN101</th>\n",
       "      <td>Swaption</td>\n",
       "      <td>IG33 5yr</td>\n",
       "      <td>100,000,000.00</td>\n",
       "      <td>46.58</td>\n",
       "      <td>42.5</td>\n",
       "      <td>Long</td>\n",
       "      <td>receiver</td>\n",
       "      <td>2020-04-15</td>\n",
       "      <td>39.56%</td>\n",
       "      <td>47,737.99</td>\n",
       "      <td>-17.90%</td>\n",
       "      <td>30.92%</td>\n",
       "      <td>-682.45</td>\n",
       "      <td>2,855.09</td>\n",
       "      <td>-5,281,382.51</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>SWPTN99</th>\n",
       "      <td>Swaption</td>\n",
       "      <td>IG33 5yr</td>\n",
       "      <td>200,000,000.00</td>\n",
       "      <td>46.58</td>\n",
       "      <td>42.5</td>\n",
       "      <td>Long</td>\n",
       "      <td>receiver</td>\n",
       "      <td>2020-04-15</td>\n",
       "      <td>39.56%</td>\n",
       "      <td>95,475.99</td>\n",
       "      <td>-17.90%</td>\n",
       "      <td>30.92%</td>\n",
       "      <td>-1,364.90</td>\n",
       "      <td>5,710.18</td>\n",
       "      <td>-10,562,765.02</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>SWPTN102</th>\n",
       "      <td>Swaption</td>\n",
       "      <td>IG33 5yr</td>\n",
       "      <td>100,000,000.00</td>\n",
       "      <td>46.58</td>\n",
       "      <td>57.5</td>\n",
       "      <td>Short</td>\n",
       "      <td>payer</td>\n",
       "      <td>2020-04-15</td>\n",
       "      <td>55.32%</td>\n",
       "      <td>-100,969.24</td>\n",
       "      <td>-32.34%</td>\n",
       "      <td>-28.64%</td>\n",
       "      <td>1,236.12</td>\n",
       "      <td>-3,680.38</td>\n",
       "      <td>-9,542,511.78</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>SWPTN104</th>\n",
       "      <td>Swaption</td>\n",
       "      <td>IG33 5yr</td>\n",
       "      <td>200,000,000.00</td>\n",
       "      <td>46.58</td>\n",
       "      <td>57.5</td>\n",
       "      <td>Short</td>\n",
       "      <td>payer</td>\n",
       "      <td>2020-04-15</td>\n",
       "      <td>55.32%</td>\n",
       "      <td>-201,938.48</td>\n",
       "      <td>-32.34%</td>\n",
       "      <td>-28.64%</td>\n",
       "      <td>2,472.24</td>\n",
       "      <td>-7,360.76</td>\n",
       "      <td>-19,085,023.56</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>SWPTN100</th>\n",
       "      <td>Swaption</td>\n",
       "      <td>IG33 5yr</td>\n",
       "      <td>200,000,000.00</td>\n",
       "      <td>46.58</td>\n",
       "      <td>60.0</td>\n",
       "      <td>Short</td>\n",
       "      <td>payer</td>\n",
       "      <td>2020-04-15</td>\n",
       "      <td>57.63%</td>\n",
       "      <td>-171,842.33</td>\n",
       "      <td>-27.86%</td>\n",
       "      <td>-25.74%</td>\n",
       "      <td>2,399.51</td>\n",
       "      <td>-6,871.65</td>\n",
       "      <td>-16,441,512.64</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>SWPTN110</th>\n",
       "      <td>Swaption</td>\n",
       "      <td>HY33 5yr</td>\n",
       "      <td>50,000,000.00</td>\n",
       "      <td>108.92</td>\n",
       "      <td>105.0</td>\n",
       "      <td>Short</td>\n",
       "      <td>payer</td>\n",
       "      <td>2020-04-15</td>\n",
       "      <td>48.17%</td>\n",
       "      <td>-165,874.84</td>\n",
       "      <td>-21.56%</td>\n",
       "      <td>-4.50%</td>\n",
       "      <td>2,606.42</td>\n",
       "      <td>-8,963.31</td>\n",
       "      <td>-10,777,542.75</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>SWPTN109</th>\n",
       "      <td>Swaption</td>\n",
       "      <td>HY33 5yr</td>\n",
       "      <td>50,000,000.00</td>\n",
       "      <td>108.92</td>\n",
       "      <td>109.5</td>\n",
       "      <td>Long</td>\n",
       "      <td>receiver</td>\n",
       "      <td>2020-04-15</td>\n",
       "      <td>28.93%</td>\n",
       "      <td>63,201.34</td>\n",
       "      <td>-13.82%</td>\n",
       "      <td>5.98%</td>\n",
       "      <td>-1,144.08</td>\n",
       "      <td>6,622.99</td>\n",
       "      <td>-6,908,992.84</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>SWPTN105</th>\n",
       "      <td>Swaption</td>\n",
       "      <td>IG33 5yr</td>\n",
       "      <td>200,000,000.00</td>\n",
       "      <td>46.58</td>\n",
       "      <td>42.5</td>\n",
       "      <td>Long</td>\n",
       "      <td>receiver</td>\n",
       "      <td>2020-05-20</td>\n",
       "      <td>41.02%</td>\n",
       "      <td>127,547.56</td>\n",
       "      <td>-19.02%</td>\n",
       "      <td>25.85%</td>\n",
       "      <td>-1,214.84</td>\n",
       "      <td>6,979.90</td>\n",
       "      <td>-11,222,185.16</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>SWPTN106</th>\n",
       "      <td>Swaption</td>\n",
       "      <td>IG33 5yr</td>\n",
       "      <td>200,000,000.00</td>\n",
       "      <td>46.58</td>\n",
       "      <td>60.0</td>\n",
       "      <td>Short</td>\n",
       "      <td>payer</td>\n",
       "      <td>2020-05-20</td>\n",
       "      <td>56.10%</td>\n",
       "      <td>-264,316.54</td>\n",
       "      <td>-34.57%</td>\n",
       "      <td>-24.46%</td>\n",
       "      <td>2,167.00</td>\n",
       "      <td>-9,068.51</td>\n",
       "      <td>-20,398,849.70</td>\n",
       "    </tr>\n",
       "  </tbody>\n",
       "</table>"
      ],
      "text/plain": [
       "Portfolio 2020-01-24\n",
       "\n",
       "           Product     Index       Notional    Ref Strike Direction      Type      Expiry    Vol  \\\n",
       "ids                                                                                                \n",
       "SWPTN91   Swaption  IG33 5yr 200,000,000.00  46.59   45.0      Long  receiver  2020-02-19 40.83%   \n",
       "SWPTN92   Swaption  IG33 5yr 200,000,000.00  46.59   65.0     Short     payer  2020-02-19 74.83%   \n",
       "SWPTN97   Swaption  IG33 5yr 200,000,000.00  46.59   42.5      Long  receiver  2020-03-18 37.97%   \n",
       "SWPTN107  Swaption  IG33 5yr 200,000,000.00  46.59   42.5      Long  receiver  2020-03-18 37.97%   \n",
       "SWPTN108  Swaption  IG33 5yr 200,000,000.00  46.59   55.0     Short     payer  2020-03-18 54.38%   \n",
       "SWPTN98   Swaption  IG33 5yr 200,000,000.00  46.59   57.5     Short     payer  2020-03-18 57.60%   \n",
       "SWPTN93   Swaption  IG33 5yr 300,000,000.00  46.59   62.5     Short     payer  2020-03-18 63.32%   \n",
       "SWPTN103  Swaption  IG33 5yr 200,000,000.00  46.59   42.5      Long  receiver  2020-04-15 39.55%   \n",
       "SWPTN101  Swaption  IG33 5yr 100,000,000.00  46.58   42.5      Long  receiver  2020-04-15 39.56%   \n",
       "SWPTN99   Swaption  IG33 5yr 200,000,000.00  46.58   42.5      Long  receiver  2020-04-15 39.56%   \n",
       "SWPTN102  Swaption  IG33 5yr 100,000,000.00  46.58   57.5     Short     payer  2020-04-15 55.32%   \n",
       "SWPTN104  Swaption  IG33 5yr 200,000,000.00  46.58   57.5     Short     payer  2020-04-15 55.32%   \n",
       "SWPTN100  Swaption  IG33 5yr 200,000,000.00  46.58   60.0     Short     payer  2020-04-15 57.63%   \n",
       "SWPTN110  Swaption  HY33 5yr  50,000,000.00 108.92  105.0     Short     payer  2020-04-15 48.17%   \n",
       "SWPTN109  Swaption  HY33 5yr  50,000,000.00 108.92  109.5      Long  receiver  2020-04-15 28.93%   \n",
       "SWPTN105  Swaption  IG33 5yr 200,000,000.00  46.58   42.5      Long  receiver  2020-05-20 41.02%   \n",
       "SWPTN106  Swaption  IG33 5yr 200,000,000.00  46.58   60.0     Short     payer  2020-05-20 56.10%   \n",
       "\n",
       "                  PV   Delta   Gamma     Theta      Vega       HY Equiv  \n",
       "ids                                                                      \n",
       "SWPTN91    96,319.39 -26.75%  60.60% -3,188.64  4,080.47 -15,787,111.54  \n",
       "SWPTN92   -23,794.79  -7.31% -15.04%  2,128.60 -1,542.26  -4,314,115.94  \n",
       "SWPTN97    63,066.05 -15.51%  36.70% -1,502.93  4,332.40  -9,151,352.04  \n",
       "SWPTN107   63,066.05 -15.51%  36.70% -1,502.93  4,332.40  -9,151,352.04  \n",
       "SWPTN108 -152,837.83 -30.95% -34.76%  2,916.80 -5,825.18 -18,264,316.98  \n",
       "SWPTN98  -124,368.10 -25.43% -30.04%  2,793.20 -5,282.54 -15,009,920.16  \n",
       "SWPTN93  -128,800.98 -17.73% -22.36%  3,702.11 -6,405.66 -15,692,360.25  \n",
       "SWPTN103   95,237.93 -17.86%  30.89% -1,363.28  5,704.92 -10,542,143.17  \n",
       "SWPTN101   47,737.99 -17.90%  30.92%   -682.45  2,855.09  -5,281,382.51  \n",
       "SWPTN99    95,475.99 -17.90%  30.92% -1,364.90  5,710.18 -10,562,765.02  \n",
       "SWPTN102 -100,969.24 -32.34% -28.64%  1,236.12 -3,680.38  -9,542,511.78  \n",
       "SWPTN104 -201,938.48 -32.34% -28.64%  2,472.24 -7,360.76 -19,085,023.56  \n",
       "SWPTN100 -171,842.33 -27.86% -25.74%  2,399.51 -6,871.65 -16,441,512.64  \n",
       "SWPTN110 -165,874.84 -21.56%  -4.50%  2,606.42 -8,963.31 -10,777,542.75  \n",
       "SWPTN109   63,201.34 -13.82%   5.98% -1,144.08  6,622.99  -6,908,992.84  \n",
       "SWPTN105  127,547.56 -19.02%  25.85% -1,214.84  6,979.90 -11,222,185.16  \n",
       "SWPTN106 -264,316.54 -34.57% -24.46%  2,167.00 -9,068.51 -20,398,849.70  "
      ]
     },
     "execution_count": 52,
     "metadata": {},
     "output_type": "execute_result"
    }
   ],
   "source": [
    "portf = get_swaption_portfolio(value_date, conn, source_list=[\"GS\"])\n",
    "portf"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": 53,
   "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": 54,
   "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": 55,
   "metadata": {},
   "outputs": [
    {
     "data": {
      "text/html": [
       "<div>\n",
       "<style scoped>\n",
       "    .dataframe tbody tr th:only-of-type {\n",
       "        vertical-align: middle;\n",
       "    }\n",
       "\n",
       "    .dataframe tbody tr th {\n",
       "        vertical-align: top;\n",
       "    }\n",
       "\n",
       "    .dataframe thead th {\n",
       "        text-align: right;\n",
       "    }\n",
       "</style>\n",
       "<table border=\"1\" class=\"dataframe\">\n",
       "  <thead>\n",
       "    <tr style=\"text-align: right;\">\n",
       "      <th></th>\n",
       "      <th>current hedge</th>\n",
       "      <th>current_delta</th>\n",
       "      <th>gamma</th>\n",
       "      <th>net_delta</th>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>Index</th>\n",
       "      <th></th>\n",
       "      <th></th>\n",
       "      <th></th>\n",
       "      <th></th>\n",
       "    </tr>\n",
       "  </thead>\n",
       "  <tbody>\n",
       "    <tr>\n",
       "      <th>HY33 5yr</th>\n",
       "      <td>18,500,000.00</td>\n",
       "      <td>-17,686,535.58</td>\n",
       "      <td>741,481.67</td>\n",
       "      <td>813,464.42</td>\n",
       "    </tr>\n",
       "    <tr>\n",
       "      <th>IG33 5yr</th>\n",
       "      <td>646,400,000.00</td>\n",
       "      <td>-645,431,240.73</td>\n",
       "      <td>61,135,754.02</td>\n",
       "      <td>968,759.27</td>\n",
       "    </tr>\n",
       "  </tbody>\n",
       "</table>\n",
       "</div>"
      ],
      "text/plain": [
       "          current hedge   current_delta         gamma  net_delta\n",
       "Index                                                           \n",
       "HY33 5yr  18,500,000.00  -17,686,535.58    741,481.67 813,464.42\n",
       "IG33 5yr 646,400,000.00 -645,431,240.73 61,135,754.02 968,759.27"
      ]
     },
     "execution_count": 55,
     "metadata": {},
     "output_type": "execute_result"
    }
   ],
   "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": 56,
   "metadata": {},
   "outputs": [
    {
     "data": {
      "text/plain": [
       "10457.96370760693"
      ]
     },
     "execution_count": 56,
     "metadata": {},
     "output_type": "execute_result"
    }
   ],
   "source": [
    "portf.theta"
   ]
  },
  {
   "cell_type": "code",
   "execution_count": null,
   "metadata": {},
   "outputs": [],
   "source": []
  }
 ],
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