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import datetime
from serenitas.utils.db import dbconn
from serenitas.ops.trade_dataclasses import CDSDeal
from serenitas.ops.funds import Service
from globeop_ce_tranche import calculate_attach_detach
def upload_citco_products(index, affected_series, fund, event_date, conn, event_name):
NEW_TRADES_QUERY = (
"SELECT trc.*, b.security_id, cds.currency, cds.fixed_rate, cds.cp_code as custodian_cpty, cds.cp_code, cds.protection, cds.account_code, cds.frequency, "
"cds.dealid, cds.portfolio, cds.folder, cds.swap_type, cds.clearing_facility, a.custodian, a.cash_account "
"FROM tranche_risk_citco trc "
"LEFT JOIN LATERAL (SELECT redindexcode as security_id FROM index_desc WHERE index_desc.lastdate >%s AND index_desc.index=trc.index AND index_desc.series=trc.series LIMIT 1) b ON TRUE "
"LEFT JOIN cds ON trc.trade_id=cds.id "
"LEFT JOIN accounts a ON cds.account_code=a.code "
"WHERE date=%s AND trc.fund=%s AND index=%s AND series in %s"
)
with conn.cursor() as c:
c.execute(
NEW_TRADES_QUERY,
(
event_date,
event_date,
fund,
index,
affected_series,
),
)
service = Service["ISOSEL-Product"]
for row in c:
d = row._asdict()
d["notional"] = abs(d["notional"])
d["traded_level"] = None
d["upfront"] = (d["serenitas_clean_nav"] + d["serenitas_accrued"]) * -1
d["trade_date"] = event_date
d["dealid"] = f'{d["dealid"]}_{event_name}'
d["attach"], d["detach"] = calculate_attach_detach(
d["security_id"], d["orig_attach"], d["orig_detach"], conn
)
trade = CDSDeal.from_dict(**d)
prod = trade.product
service.staging_queue.append(prod.to_citco())
service.build_buffer(trade_type="cds")
if __name__ == "__main__":
index = "HY"
affected_series = (
34,
35,
36,
37,
38,
39,
)
fund = "ISOSEL"
event_date = datetime.date(2023, 4, 13)
settlement_date = datetime.date(2023, 4, 18)
event_name = "DIAMOND"
conn = dbconn("dawndb")
upload_citco_products(index, affected_series, fund, event_date, conn, event_name)
# terminate_old_trades(index, affected_series, fund, event_date, )
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