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from utils.db import dbconn
from analytics import TrancheBasket
from pandas.tseries.offsets import BDay
import datetime
import logging
import os
import pandas as pd
from pathlib import Path
from yaml import full_load
import argparse
def get_lastdate(conn, index, series, tenor):
sql_str = (
"SELECT (max(date) AT TIME ZONE 'America/New_York')::date + 1 "
"AS date FROM risk_numbers "
"WHERE index=%s and series = %s and tenor = %s"
)
with conn.cursor() as c:
c.execute(sql_str, (index, series, tenor))
date, = c.fetchone()
conn.commit()
return date
def build_sql_str(df):
cols = ",".join(df.columns)
cols_ex_tranche_id = ",".join([c for c in df.columns if c != "tranche_id"])
cols_excluded = ",".join([f"excluded.{c}" for c in df.columns if c != "tranche_id"])
place_holders = ",".join([f"%({c})s" for c in df.columns])
sql_str = (
f"INSERT INTO tranche_risk({cols}) "
f"VALUES({place_holders}) ON CONFLICT (tranche_id) DO "
f"UPDATE SET ({cols_ex_tranche_id}) = ({cols_excluded})"
)
return sql_str
if __name__ == "__main__":
from utils import SerenitasFileHandler
logger = logging.getLogger("tranche_calib")
parser = argparse.ArgumentParser()
parser.add_argument(
"-u",
"--update",
action="store_true",
default=False,
help="Update from the last run date [default %default]",
)
parser.add_argument(
"-c",
"--config",
metavar="config_file",
help="Runs the list of indices provided in CONFIG_FILE",
)
parser.add_argument("-i", "--index", help="Index name we want to run")
parser.add_argument(
"--tenor", default="5yr", help="Tenor we want to run [default '5yr']"
)
parser.add_argument(
"--until", default=pd.Timestamp.now() - BDay(), type=lambda s: pd.Timestamp(s)
)
parser.add_argument("--start_from", default=None, type=lambda s: pd.Timestamp(s))
parser.add_argument(
"-d", "--debug", action="store_true", help="more verbose logging"
)
args = parser.parse_args()
logger.setLevel(logging.DEBUG if args.debug else logging.INFO)
CODE_DIR = Path(os.environ["CODE_DIR"])
if not args.debug:
handler = SerenitasFileHandler(f"calib_tranches_{datetime.date.today()}.log")
else:
handler = logging.StreamHandler()
handler.setFormatter(SerenitasFileHandler._formatter)
logger.addHandler(handler)
start_dates = { # 'hy10': datetime.date(2014, 8, 11),
# 'hy15': datetime.date(2014, 6, 10),
# 'hy17': datetime.date(2013, 1, 1),
"hy19": datetime.date(2013, 2, 1),
"hy21": datetime.date(2013, 10, 4),
"hy23": datetime.date(2014, 10, 16),
"hy25": datetime.date(2015, 10, 1),
"hy27": datetime.date(2016, 10, 4),
"hy29": datetime.date(2017, 10, 3),
"hy31": datetime.date(2018, 10, 2),
"ig9": datetime.date(2013, 1, 1),
"ig19": datetime.date(2013, 5, 1),
"ig21": datetime.date(2013, 9, 26),
"ig23": datetime.date(2014, 10, 14),
"ig25": datetime.date(2015, 9, 22),
"ig27": datetime.date(2016, 9, 27),
"ig29": datetime.date(2017, 9, 26),
"ig31": datetime.date(2018, 9, 25),
"xo22": datetime.date(2014, 10, 20),
"xo24": datetime.date(2015, 9, 28),
"xo26": datetime.date(2016, 9, 27),
"xo28": datetime.date(2017, 9, 28),
"eu9": datetime.date(2014, 9, 15),
"eu19": datetime.date(2013, 4, 3),
"eu21": datetime.date(2014, 3, 27),
"eu22": datetime.date(2014, 10, 22),
"eu24": datetime.date(2015, 9, 23),
"eu26": datetime.date(2016, 9, 27),
"eu28": datetime.date(2017, 9, 28),
"eu30": datetime.date(2018, 9, 25),
"xo30": datetime.date(2018, 9, 25),
}
serenitas_conn = dbconn("serenitasdb")
if args.config is None:
if args.index is None:
raise ValueError("Please provide an index to run")
config = {"runs": [(args.index, args.tenor)]}
else:
with (CODE_DIR / "etc" / args.config).open("r") as fh:
config = full_load(fh)
for index, tenor in config["runs"]:
begin_date = None
index, series = index[:2].upper(), int(index[2:])
if args.start_from is not None:
begin_date = args.start_from
if args.update:
begin_date = get_lastdate(serenitas_conn, index, series, tenor)
if not args.update and begin_date is None:
try:
begin_date = start_dates[f"{index.lower()}{series}"]
except KeyError:
print(index, series)
continue
dr = pd.bdate_range(begin_date, args.until)
if dr.empty:
continue
logger.info(f"calibrating {index}, {series}, {tenor}")
tranche_index = None
data = {}
for d in dr:
logger.debug(f"calibrating for {d.date()}")
try:
if tranche_index is None:
tranche_index = TrancheBasket(
index, series, tenor, value_date=d.date()
)
else:
tranche_index.value_date = d.date()
except (RuntimeError, ValueError) as e:
logger.error(e)
continue
try:
tranche_index.tweak()
except ValueError as e:
logger.error(e)
break
try:
tranche_index.build_skew()
except ValueError as e:
logger.error(e)
continue
df = pd.concat(
[
tranche_index.tranche_deltas(),
tranche_index.tranche_fwd_deltas(),
tranche_index.tranche_durations(),
tranche_index.tranche_EL(),
tranche_index.tranche_spreads(),
],
axis=1,
)
try:
df["theta"] = tranche_index.tranche_thetas(method="TLP")
except ValueError:
df["theta"] = None
df["index_duration"], df["index_expected_loss"], df[
"index_price"
] = tranche_index.index_pv()
df["index_expected_loss"] *= -1
df["index_duration"] -= tranche_index.accrued()
df["index_basis"] = tranche_index.tweaks[0]
df["index_theta"] = tranche_index.theta()[tenor]
df["tranche_id"] = tranche_index.tranche_quotes.id.values
df["corr_at_detach"] = tranche_index.rho[1:]
df["corr01"] = tranche_index.tranche_corr01()
del df["fwd_gamma"]
data[d] = df
if data:
data = pd.concat(data)
sql_str = build_sql_str(data)
with serenitas_conn.cursor() as c:
c.executemany(sql_str, data.to_dict(orient="record"))
serenitas_conn.commit()
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