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#! /usr/bin/python
import argparse
import csv
import datetime
from process_queue import build_termination, upload_file
from env import DAILY_DIR
from utils.db import dbconn
from io import StringIO
def build_termination(
base_dir,
dawndb,
dealid,
fee,
*,
termination_date=datetime.date.today(),
termination_amount=None,
termination_cp=None,
deal_type="CreditDefaultSwapDeal",
):
""" if termination_amount is None, assume full termination
if termination_cp is None assume termination, otherwise assignment
"""
if deal_type == "CreditDefaultSwapDeal":
table = "cds"
elif deal_type == "SwaptionDeal":
table = "swaptions"
else:
raise ValueError("Unkown deal_type: {deal_type}")
with dawndb.cursor() as c:
c.execute(
"SELECT dealid, cp_code, notional, termination_amount, "
"globeop_id, currency "
f"FROM {table} where id=%s",
(dealid,),
)
dealid, cp_code, notional, partial_amounts, globeopid, ccy = c.fetchone()
if partial_amounts is not None:
remaining_notional = notional - sum(partial_amounts)
else:
remaining_notional = notional
termination_amount = termination_amount or remaining_notional
if deal_type == "CreditDefaultSwapDeal":
c.execute(
f"UPDATE {table} "
"SET termination_amount=termination_amount||%s::float8, "
"termination_cp=termination_cp||%s::text, "
"termination_fee=termination_fee||%s::float8, "
"termination_date=termination_date||%s::date "
"WHERE dealid=%s",
(
termination_amount,
termination_cp or cp_code,
fee,
termination_date,
dealid,
),
)
else:
c.execute(
f"UPDATE {table} "
"SET termination_amount=%s::float8, "
"termination_cp=%s::text, "
"termination_fee=%s::float8, "
"termination_date=%s::date "
"WHERE dealid=%s",
(
termination_amount,
termination_cp or cp_code,
fee,
termination_date,
dealid,
),
)
dawndb.commit()
headers = [
"DealType",
"DealId",
"Action",
"Client",
"SubAction",
"PartialTermination",
"TerminationAmount",
"TerminationDate",
"FeesPaid",
"FeesReceived",
"DealFunction",
"Reserved",
"ClientReference",
]
if deal_type == "CreditDefaultSwapDeal":
headers += ["TradeDate", "EffectiveDate", "FirstCouponDate"]
else:
headers += ["Reserved"] * 3
headers += ["FeePaymentDate", "SpecialInstructions"]
if termination_cp is not None:
headers += ["AssignedCounterparty"]
else:
headers += ["Reserved"]
if deal_type == "CreditDefaultSwapDeal" and termination_cp is not None:
headers += [
"AssignmentFee",
"AssignedFeeTradeDate",
"AssignedFeeValueDate",
"AssignedCustodian",
"AssignedCashAccount",
"Reserved",
"FeeCurrency",
]
else:
headers += ["Reserved"] * 7
headers += ["GoTradeId"]
if deal_type == "CreditDefaultSwapDeal":
headers += ["FeeComments", "ZeroOutInterestCashFlows"]
else:
headers += ["Reserved"] * 2
headers += ["Reserved"] * 4
if deal_type == "SwaptionDeal":
headers += ["Reserved"] * 2 + ["InMoney", "FeeCurrency"]
elif deal_type == "CreditDefaultSwapDeal":
if termination_cp is None:
headers += ["Reserved"] * 3
else:
headers += ["AssignedDealFunction"] + ["Reserved"] * 2
headers += ["InitialMargin", "InitialMarginCurrency"]
if termination_cp is None:
headers += ["Reserved"] * 4 + ["CreditEventOccured"]
d = {
"DealType": deal_type,
"GoTradeId": int(globeopid[3:9]),
"Action": "Update",
"Client": "Serenitas",
"SubAction": "Termination",
"PartialTermination": "Y"
if remaining_notional - termination_amount > 0
else "N",
"TerminationAmount": termination_amount,
"TerminationDate": termination_date,
"FeesPaid": -fee if fee < 0 else None,
"FeesReceived": fee if fee > 0 else None,
"FeePaymentDate": (termination_date + 3 * bus_day).date(),
}
if "FeeCurrency" in headers:
d["FeeCurrency"] = ccy
if termination_cp is not None:
d["AssignedCounterparty"] = termination_cp
buf = StringIO()
csvwriter = csv.DictWriter(buf, headers)
csvwriter.writeheader()
csvwriter.writerow(d)
timestamp = datetime.datetime.now()
trade_type = f"{deal_type}A" if termination_cp is not None else f"{deal_type}T"
file_path = (
base_dir
/ str(timestamp.date())
/ f"Serenitas.ALL.{timestamp:%Y%m%d.%H%M%S}.{trade_type}.csv"
)
file_path.write_bytes(buf.getvalue().encode())
return file_path
if __name__ == "__main__":
parser = argparse.ArgumentParser(
description="helper script to terminate or assign a trade"
)
parser.add_argument("dealid", help="Serenitas id", type=int)
parser.add_argument(
"fee", help="termination fee ( >0 we receive money)", type=float
)
parser.add_argument(
"--date",
"-d",
help="termination date, default to today's date",
type=datetime.date.fromisoformat,
default=datetime.date.today(),
)
parser.add_argument(
"--amount",
"-a",
help="termination amount, if missing full termination",
default=None,
required=False,
)
parser.add_argument(
"--counterparty",
"-c",
help="termination counterparty, if missing, original counterparty is used (termination)",
default=None,
required=False,
)
args = parser.parse_args()
dawndb = dbconn("dawndb")
if "tranche" in __file__:
deal_type = "CreditDefaultSwapDeal"
elif "swaption" in __file__:
deal_type = "SwaptionDeal"
else:
raise RuntimeError("Incorrect deal type")
p = build_termination(
DAILY_DIR,
dawndb,
args.dealid,
args.fee,
termination_date=args.date,
termination_cp=args.counterparty,
termination_amount=args.amount,
deal_type=deal_type,
)
upload_file(p)
|
