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from 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):
r = dawn_engine.execute(
"SELECT security_id, notional, folder, nextredindexcode, currency, "
"maturity, indexfactor "
"FROM list_cds_positions_by_strat(%s) a "
"JOIN index_version_markit "
"ON a.security_id=index_version_markit.redindexcode "
"WHERE nextredindexcode IS NOT NULL",
(trade_date,))
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., 1.)
return accrual_days, fee
PORTFOLIO = {"HYOPTDEL": "OPTIONS",
"HEDGE_MBS": "MORTGAGES"}
def rebook(trade_date, company_id):
upfront_settle_date = trade_date + 3 * BDay()
effective_date = trade_date + datetime.timedelta(days=1)
for r in get_outstanding_positions(trade_date):
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': 'INTERCO',
'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'}
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)
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