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from utils.db import serenitas_pool, dbconn
import datetime
import pandas as pd
from pandas.tseries.offsets import BDay
from psycopg2.extras import execute_values
from pyisda.date import default_accrual, previous_twentieth
from analytics.index import CreditIndex
from copy import copy
def get_outstanding_positions(conn, trade_date, fcm, fund="SERCGMAST"):
with conn.cursor() as c:
c.execute(
"SELECT security_id, notional, folder, nextredindexcode, currency, "
"maturity, indexfactor "
"FROM list_cds_positions_by_strat_fcm(%s, %s, %s) a "
"JOIN index_version_markit "
"ON a.security_id=index_version_markit.redindexcode "
"WHERE nextredindexcode IS NOT NULL AND nextredindexcode !='2I65BRUV0'",
(trade_date, fcm, fund),
)
yield from c
def default_adjustment(conn, company_id, seniority, end_date):
with conn.cursor() as c:
c.execute(
"SELECT recovery, event_date, auction_date FROM defaulted WHERE id=%s "
"AND seniority=%s",
(company_id, seniority),
)
recovery, event_date, auction_date = next(c)
fee = 1 - recovery
start_date = previous_twentieth(event_date)
accrual_days, _ = default_accrual(
auction_date, event_date, start_date, end_date, 1.0, 1.0
)
return accrual_days, fee
PORTFOLIO = {
"HYOPTDEL": "OPTIONS",
"HEDGE_MBS": "MORTGAGES",
"HYINX": "TRANCHE",
"SER_IGCURVE": "CURVE",
"HEDGE_CLO": "CLO",
}
def rebook(conn, trade_date, company_id, seniority, fcm, fund="SERCGMAST"):
dawndb = dbconn("dawndb")
upfront_settle_date = trade_date + 3 * BDay()
effective_date = trade_date + datetime.timedelta(days=1)
for r in get_outstanding_positions(dawndb, trade_date, fcm, fund):
accrual_days, fee = default_adjustment(conn, company_id, seniority, r.maturity)
index_new = CreditIndex(
redcode=r.nextredindexcode,
maturity=r.maturity,
value_date=trade_date,
notional=r.notional,
)
adj = (
(fee - accrual_days * index_new.fixed_rate * 1e-4 / 360)
* r.notional
* (r.indexfactor - index_new.factor)
)
index_new.mark()
trade_new = {
"fund": fund,
"action": "NEW",
"portfolio": PORTFOLIO[r.folder],
"folder": r.folder,
"cp_code": "CONTRA",
"custodian": "NONE",
"trade_date": trade_date,
"effective_date": effective_date,
"maturity": r.maturity,
"currency": r.currency,
"payment_rolldate": "Following",
"notional": abs(r.notional),
"fixed_rate": index_new.fixed_rate / 100,
"day_count": "ACT/360",
"frequency": 4,
"protection": index_new.direction,
"security_id": r.nextredindexcode,
"security_desc": f"CDX {index_new.index_type} CDSI S{index_new.series} 5Y",
"upfront": index_new.pv,
"upfront_settle_date": upfront_settle_date,
"swap_type": "CD_INDEX",
"account_code": fcm,
}
trade_prev = copy(trade_new)
trade_prev["protection"] = (
"Seller" if trade_new["protection"] == "Buyer" else "Buyer"
)
trade_prev["upfront"] = adj - index_new.pv
trade_prev["security_id"] = r.security_id
sql_str = f"INSERT INTO cds({','.join(trade_new.keys())}) VALUES %s"
with dawndb.cursor() as c:
execute_values(
c, sql_str, [tuple(trade_prev.values()), tuple(trade_new.values())]
)
dawndb.commit()
dawndb.close()
def insert_newids(dawndb, d: datetime.date, df: pd.DataFrame):
with dawndb.cursor() as c:
c.execute(
"INSERT INTO id_mapping ( "
" SELECT %s, 'CDS', serenitas_id, new_id FROM ( "
" SELECT * FROM unnest(%s, %s) AS t(globeop_id, new_id) "
" LEFT JOIN id_mapping USING (globeop_id)) a"
")",
(d, df.old_ids.tolist(), df.new_ids.to_list()),
)
dawndb.commit()
if __name__ == "__main__":
conn = serenitas_pool.getconn()
# PKD
# rebook(datetime.date(2019, 1, 24), 101148)
# WINDSSE
# rebook(datetime.date(2019, 4, 8), 36806879)
# WFT
# rebook(datetime.date(2019, 7, 26), 103633, "WF")
# rebook(datetime.date(2019, 7, 26), 103633, "BAML")
# DF
# rebook(datetime.date(2019, 12, 11), 154954, "Senior", "BAML")
# MNI
# rebook(datetime.date(2020, 3, 13), 100957, "Senior", "BAML")
# rebook(datetime.date(2020, 3, 13), 100957, "Senior", "WF")
# WLL
# rebook(datetime.date(2020, 5, 7), 8240322, "Senior", "BAML")
# rebook(datetime.date(2020, 5, 7), 8240322, "Senior", "WF")
# rebook(conn, datetime.date(2020, 5, 7), 8240322, "Senior", "GS", "BOWDST")
# FCA
rebook(conn, datetime.date(2020, 5, 14), 100337, "Senior", "BAML")
rebook(conn, datetime.date(2020, 5, 14), 100337, "Senior", "WF")
rebook(conn, datetime.date(2020, 5, 14), 100337, "Senior", "GS", "BOWDST")
serenitas_pool.putconn(conn)
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