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from utils.db import dawn_engine, serenitas_engine
import datetime
from pandas.tseries.offsets import BDay
from pyisda.date import default_accrual, previous_twentieth
from analytics.index import CreditIndex
from copy import copy
def get_outstanding_positions(trade_date, fcm):
r = dawn_engine.execute(
"SELECT security_id, notional, folder, nextredindexcode, currency, "
"maturity, indexfactor "
"FROM list_cds_positions_by_strat_fcm(%s, %s) a "
"JOIN index_version_markit "
"ON a.security_id=index_version_markit.redindexcode "
"WHERE nextredindexcode IS NOT NULL",
(trade_date, fcm),
)
return r
def default_adjustment(company_id, end_date):
r = serenitas_engine.execute(
"SELECT recovery, event_date, auction_date FROM defaulted " "WHERE id=%s",
(company_id,),
)
recovery, event_date, auction_date = next(r)
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",
}
def rebook(trade_date, company_id, fcm):
upfront_settle_date = trade_date + 3 * BDay()
effective_date = trade_date + datetime.timedelta(days=1)
for r in get_outstanding_positions(trade_date, fcm):
accrual_days, fee = default_adjustment(company_id, 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 = {
"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())}) "
f"VALUES({','.join(['%s'] * len(trade_new))})"
)
dawn_engine.execute(sql_str, [trade_prev.values(), trade_new.values()])
if __name__ == "__main__":
# 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")
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