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import sys
sys.path.append("..")
# indicates whether we use local pricing
_local = True
from utils.db import serenitas_engine, dawn_engine, dbconn, DataError, serenitas_pool
from functools import lru_cache
from .index import CreditIndex, ForwardIndex
from .option import (
BlackSwaption,
Swaption,
ATMstrike,
ProbSurface,
QuoteSurface,
VolSurface,
BlackSwaptionVolSurface,
)
from .portfolio import Portfolio
from .basket_index import MarkitBasketIndex
from .singlename_cds import SingleNameCds
from .tranche_basket import DualCorrTranche, TrancheBasket
from .ir_swaption import IRSwaption
import datetime
@lru_cache(32)
def on_the_run(index: str, value_date: datetime.date = datetime.date.today()) -> int:
if index == "HY":
interval = "+ INTERVAL '7 days'"
else:
interval = ""
r = serenitas_engine.execute(
"SELECT max(series) FROM index_maturity WHERE index=%s "
f"AND issue_date {interval}<= %s",
(index, value_date),
)
series, = r.fetchone()
return series
def init_ontr(value_date: datetime.date = datetime.date.today()) -> None:
global _ontr, _beta
_ontr = CreditIndex("HY", on_the_run("HY", value_date), "5yr", value_date)
_ontr.mark()
r = dawn_engine.execute(
"SELECT DISTINCT ON (asset_class) "
"asset_class, beta FROM beta "
"WHERE date <= %s ORDER BY asset_class, date desc",
(value_date,),
)
_beta = {e.asset_class: e.beta for e in r}
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