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from 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 load
from pickle import load as pload
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__":
logging.basicConfig(level=logging.INFO,
format='%(asctime)s - %(name)s - %(levelname)s - %(message)s')
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'])
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 = 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(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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