path: root/python/intex/intex_scenarios.py

import csv
import datetime
import logging
import os
import psycopg2
import re
import sys
import yaml

from csv import reader
from pathlib import Path

BASE_DIR = Path(os.environ["SERENITAS_BASE_DIR"])  # we do not want to depend on serenitas.utils

logger = logging.getLogger(__name__)

pattern1 = re.compile(r"REINVEST\[\w+::REINV_TBA(\d)\]\[DEAL,(\d+)\]=.*$")
# reinv end date
pattern2 = re.compile(r"(STANDARD_VAR\[)\w+(::#REINV_END,\d+\]=)(\d.*$)")
# reinvprices 1
pattern3 = re.compile(r"STANDARD_VAR\[\w+::#PRICE100_TBA(\d),(\d+)\]=")
pattern5 = re.compile(r"STANDARD_VAR\[\w+::#REINVPCT_TBA(\d),(\d+)\]=")
pattern7 = re.compile("KINGS3")
pattern8 = re.compile(r"(#COLLATREINV_REINV_PCT_EXT\[)\w+(::\*\]\[DEAL,\d+\])=100")
pattern9 = re.compile(r"(?P<a>SEVERITY\[\w+,\d+\]=)mkt\(70\)")

# we use 84 so that it's both dividable by 2 and 3
global_reinvfloatpercentage = 84
global_reinvfixedpercentage = 16


def get_reinv_assets(conn, dealname, workdate):
    sqlstr = "SELECT * FROM et_historicaldealinfo(%s, %s) WHERE ReinvFlag"
    d = {}
    with conn.cursor() as c:
        c.execute(sqlstr, (dealname, workdate))
        for line in c:
            d[line.issuername] = (line.fixedorfloat, line.liborfloor)
    conn.commit()
    return d


def get_recovery(conn, dealname, workdate, defaultrecovery=50):
    """ compute average price of defaulted assets """
    sqlstr = (
        "select sum(coalesce(price, %s) * currentbalance)/sum(currentbalance) AS recov "
        "from et_aggdealinfo_historical(%s, %s) where defaultedflag is True"
    )
    with conn.cursor() as c:
        try:
            c.execute(sqlstr, (defaultrecovery, dealname, workdate))
            (recovery,) = c.fetchone()
        except (TypeError, psycopg2.DataError):
            recovery = defaultrecovery
        finally:
            if recovery is None:
                recovery = defaultrecovery
    conn.commit()
    return float(recovery)


def get_reinvenddate(conn, dealname, workdate):
    sqlstr = "SELECT reinv_end_date FROM historical_clo_universe(%s, %s)"
    with conn.cursor() as c:
        c.execute(sqlstr, (dealname, workdate))
        (reinvenddate,) = c.fetchone()
    conn.commit()
    if reinvenddate:
        return reinvenddate.strftime("%Y%m%d")
    else:
        raise Exception("missing reinvestment end date")


def generate_scenarios(workdate, dealname, conn):
    prometheus = BASE_DIR / "Scenarios" / "prometheus.sss"
    n_scenarios = 100
    basedir = BASE_DIR / "Scenarios" / f"Intex curves_{workdate}"
    defaultedprice = get_recovery(conn, dealname, workdate)
    replace = r"\g<a>{0:.3f}".format(defaultedprice)
    try:
        with (basedir / "csv" / f"{dealname}.config").open() as fh:
            try:
                config = yaml.load(fh, Loader=yaml.FullLoader)
            except AttributeError:
                config = yaml.load(fh)
    except IOError:
        logger.error(f"{dealname}: config file doesn't exist")
        return
    reinvflag = config["reinvflag"]
    if reinvflag:
        reinvenddate = get_reinvenddate(conn, dealname, workdate)
        reinv_assets = get_reinv_assets(conn, dealname, workdate)
        n_float_assets = len([v for v in reinv_assets.values() if v[0] == "FLOAT"])
        n_fixed_assets = len([v for v in reinv_assets.values() if v[0] == "FIXED"])
        rollingmat = config["rollingmat"]
        if n_fixed_assets == 0:
            reinvfixedpercentage = 0
        else:
            reinvfixedpercentage = global_reinvfixedpercentage / n_fixed_assets
        if n_float_assets > 0:
            reinvfloatpercentage = (
                100 - n_fixed_assets * reinvfixedpercentage
            ) / n_float_assets

    try:
        with (basedir / "csv" / f"{dealname}-reinvprices.csv").open("r") as fh:
            dr = csv.DictReader(fh)
            reinvprices = {f: [] for f in dr.fieldnames}
            for line in dr:
                for f in dr.fieldnames:
                    try:
                        val = float(line[f])
                    except ValueError:
                        logger.error("Incorrect value in reinvprices for {dealname}")
                    else:
                        reinvprices[f].append(f"{val:.3f}")

    except IOError:
        reinvflag = False

    sssfile = basedir / "sss" / f"{dealname}.sss"
    (basedir / "sss").mkdir(exist_ok=True)
    cdrscenarios = basedir / "csv" / f"{dealname}-cdr.csv"
    recoveryscenarios = basedir / "csv" / f"{dealname}-recovery.csv"
    fhsss = sssfile.open("w")
    fhcdr = cdrscenarios.open("r")
    fhrecovery = recoveryscenarios.open("r")
    csvcdr = reader(fhcdr)
    csvrecovery = reader(fhrecovery)
    cdrline = next(csvcdr)
    cdrline = "\t".join(["{0:.3f}".format(float(cdr)) for cdr in cdrline])
    recoveryline = next(csvrecovery)
    recoveryline = "\t".join(
        ["{0:.3f}".format(float(recovery)) for recovery in recoveryline]
    )

    i = 1
    with prometheus.open() as fh:
        for line in fh:
            line = line.rstrip()

            if "DEAL_NAME" in line:
                newline = f"DEAL_NAME={dealname.upper()}\r\n"
                fhsss.write(newline)
                continue
            if not reinvflag and pattern8.match(line):
                line = re.sub(pattern8, r"\1{0}\2=0".format(dealname.upper()), line)
                fhsss.write(line + "\r\n")
                continue
            if not reinvflag and "DO_REINV" in line:
                fhsss.write("DO_REINV=0" + "\r\n")
                continue
            m = pattern1.match(line)
            if reinvflag and m:
                reinv_number, scen_number = m.groups()
                key = "REINV_TBA" + reinv_number
                if key in reinv_assets:
                    fixedorfloat, liborfloor = reinv_assets[key]
                    if fixedorfloat == "FLOAT":
                        coupon = 4
                    elif fixedorfloat == "FIXED":
                        coupon = 7
                    line = "REINVEST[{0}::REINV_TBA{1}][DEAL,{2}]=".format(
                        dealname.upper(), reinv_number, scen_number
                    )
                    line += "COUP_SPR={0}|AMORT=Bullet|USE_REINVEST_PIP=1|MAT_DATE={1}|".format(
                        coupon, rollingmat
                    )
                    if liborfloor is not None:
                        line += f"|ARM_LIFE_FLOOR={liborfloor}"
                    fhsss.write(line + "\r\n")
                continue
            if reinvflag and pattern2.match(line):
                line = re.sub(pattern2, r"\1{0}\2{1}", line).format(
                    dealname.upper(), reinvenddate
                )
                fhsss.write(line + "\r\n")
                continue
            m = pattern3.match(line)
            if reinvflag and m:
                reinv_number, scen_number = m.groups()
                reinv_name = "REINV_TBA" + reinv_number
                if reinv_name in reinvprices:
                    line = "STANDARD_VAR[{0}::#PRICE100_TBA{1},{2}]={3}".format(
                        dealname.upper(),
                        reinv_number,
                        scen_number,
                        " ".join(reinvprices[reinv_name]),
                    )
                    fhsss.write(line + "\r\n")
                continue
            m = pattern5.match(line)
            if reinvflag and m:
                reinv_number, scen_number = m.groups()
                reinv_name = "REINV_TBA" + reinv_number
                if reinv_name in reinv_assets:
                    if reinv_assets[reinv_name][0] == "FIXED":
                        line = "STANDARD_VAR[{0}::#REINVPCT_TBA{1},{2}]={3}".format(
                            dealname.upper(),
                            reinv_number,
                            scen_number,
                            reinvfixedpercentage,
                        )
                    elif reinv_assets[reinv_name][0] == "FLOAT":
                        line = "STANDARD_VAR[{0}::#REINVPCT_TBA{1},{2}]={3}".format(
                            dealname.upper(),
                            reinv_number,
                            scen_number,
                            reinvfloatpercentage,
                        )

                    fhsss.write(line + "\r\n")
                continue
            if pattern7.search(line):
                line = re.sub(pattern7, dealname.upper(), line)
                fhsss.write(line + "\r\n")
                continue
            begin = f"LOSS_RATE[DEAL,{i}]"
            if begin in line:
                fhsss.write(f"{begin}={cdrline}\r\n")
                continue
            begin = f"LOSS_SEVERITY[DEAL,{i}]"
            if begin in line:
                fhsss.write(f"{begin}={recoveryline}\r\n")
                i = i + 1
                if i <= n_scenarios:
                    cdrline = next(csvcdr)
                    cdrline = (
                        "\t".join(["{0:.3f}".format(float(cdr)) for cdr in cdrline])
                        + "\r\n"
                    )
                    recoveryline = next(csvrecovery)
                    recoveryline = (
                        "\t".join(
                            [
                                "{0:.3f}".format(float(recovery))
                                for recovery in recoveryline
                            ]
                        )
                        + "\r\n"
                    )
                continue
            if "LOSS_NONPERF_SEVERITY" in line:
                line = re.sub(pattern9, replace, line)
            fhsss.write(line + "\r\n")
    fhsss.close()
    fhrecovery.close()
    fhcdr.close()
    logger.info(f"generated scenarios for: {dealname}")


if __name__ == "__main__":
    from serenitas.utils.db import dbconn

    if len(sys.argv) > 1:
        workdate = sys.argv[1]
    else:
        workdate = str(datetime.date.today())
    if len(sys.argv) > 2:
        dealnames = sys.argv[2:]
    else:
        dealnames = [
            d.stem
            for d in (
                BASE_DIR / "Scenarios" / f"Intex curves_{workdate}" / "csv"
            ).iterdir()
            if d.suffix == ".RData"
        ]
    ET = dbconn("etdb")
    for dealname in dealnames:
        generate_scenarios(workdate, dealname, ET)
    ET.close()