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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
def calculate_attach_detach(redcode, orig_attach, orig_detach, conn):
with conn.cursor() as c:
c.execute(
"SELECT indexfactor, cumulativeloss FROM index_factors WHERE redindexcode=%s",
(redcode,),
)
(factor, cumulativeloss) = c.fetchone()
detach = factor * min(max((orig_detach - cumulativeloss) / factor, 0), 1)
attach = factor * min(max((orig_attach - cumulativeloss) / factor, 0.0), 1.0)
return attach, detach
def upload_new_trades(index, affected_series, fund, event_date, conn, event_name):
NEW_TRADES_QUERY = (
"SELECT trg.*, 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_globeop trg "
"LEFT JOIN LATERAL (SELECT redindexcode as security_id FROM index_desc WHERE index_desc.lastdate >%s AND index_desc.index=trg.index AND index_desc.series=trg.series LIMIT 1) b ON TRUE "
"LEFT JOIN cds ON trg.trade_id=cds.id "
"LEFT JOIN accounts a ON cds.account_code=a.code "
"WHERE date=%s AND trg.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[fund]
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)
service.push_trade(trade, "NEW")
service.build_buffer(trade_type="cds")
if __name__ == "__main__":
index = "HY"
affected_series = (
34,
35,
36,
37,
38,
39,
)
fund = "BOWDST"
event_date = datetime.date(2023, 4, 13)
settlement_date = datetime.date(2023, 4, 18)
event_name = "DIAMOND"
conn = dbconn("dawndb")
upload_new_trades(index, affected_series, fund, event_date, conn, event_name)
# terminate_old_trades(index, affected_series, fund, event_date, )
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