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import psycopg2
import os
import datetime
import csv
import pdb
from common import sanitize_float
from . import dbconn
from contextlib import closing
import logging
import re
import sys
logger = logging.getLogger(__name__)
def convertToNone(s):
return None if s in ["", "-", "NR"] else s
def insert_new_cusip(conn, line):
if line['Pari-Passu Tranches']:
line['Pari-Passu Tranches'] = line['Pari-Passu Tranches'].split(",")
to_insert = (line['CUSIP'], line['ISIN'], line['Bloomberg Ticker'],
line['dealname'], line['tranche'], line['Pari-Passu Tranches'])
for key in ['Orig Balance', 'Orig Attachment Point', 'Orig Detachment Point',
'Floater Spread/Margin']:
if line[key]:
line[key] = sanitize_float(line[key])
line[key] = convertToNone(line[key])
to_insert += (line['Orig Balance'], line.get('Orig Moody'),
line['Orig Attachment Point'], line['Orig Detachment Point'],
line['Floater Index'], line['Floater Spread/Margin'],
line['Type'])
sqlstr = ("INSERT INTO cusip_ref(Cusip, ISIN, bloomberg_ticker, dealname, "
"tranche, paripassu_tranches, Orig_Balance, Orig_Moody, Orig_Attach, "
"Orig_Detach, Floater_Index, Spread, type) VALUES({0}) "
"RETURNING cusip_id".format(",".join(["%s"] * 13)))
with conn.cursor() as c:
try:
c.execute(sqlstr, to_insert)
cusip_id, = c.fetchone()
return cusip_id
except psycopg2.DataError as e:
logger.error(e)
conn.commit()
def upload_cusip_data(conn, filename):
dealupdate = {}
with open( filename, "r") as fh:
dr = csv.DictReader(fh, dialect='excel-tab')
data = []
deals_to_update = []
for line in dr:
if "ISIN" not in line:
line['ISIN'] = None
sp = line["Tranche"].split(",")
if len(sp) == 2:
line["dealname"], line["tranche"] = sp
else:
continue
line["dealname"] = line["dealname"].lower()
dealname = line['dealname']
line = {k: convertToNone(v) for k, v in line.items()}
if dealname not in dealupdate:
with conn.cursor() as c:
c.execute("SELECT max(\"Latest Update\") FROM clo_universe "
"WHERE dealname = %s", (dealname,))
try:
dealupdate[dealname], = c.fetchone()
except TypeError:
logging.error(f'deal:{dealname} not in database')
continue
sqlstring = "SELECT cusip_id FROM cusip_ref WHERE cusip=%s and dealname=%s"
with conn.cursor() as c:
c.execute(sqlstring, (line['CUSIP'], dealname))
r = c.fetchone()
if r is None:
try:
cusip_id = insert_new_cusip(conn, line)
except ValueError:
continue
else:
cusip_id = r[0]
sqlstring = "SELECT max(updatedate) FROM cusip_update WHERE cusip_id = %s"
with conn.cursor() as c:
c.execute(sqlstring, (cusip_id,))
curr_date, = c.fetchone()
if curr_date is None or curr_date < dealupdate[dealname]:
try:
for key in ['Curr Balance', 'Curr Attachment Point (def at MV)',
'Curr Detachment Point (def at MV)', 'Factor', 'Coupon']:
if line[key]:
line[key] = sanitize_float(line[key])
line[key] = convertToNone(line[key])
except ValueError:
continue
line['Curr Moody'] = line.get('Curr Moody') or line.get('Orig Moody')
sqlstring = "INSERT INTO cusip_update VALUES({0})".format(",".join(["%s"] * 8))
to_insert = (cusip_id, line['Curr Balance'], line['Factor'], line['Coupon'],
line['Curr Moody'], line['Curr Attachment Point (def at MV)'],
line['Curr Detachment Point (def at MV)'], dealupdate[dealname])
with conn.cursor() as c:
try:
c.execute(sqlstring, to_insert)
except (psycopg2.DataError, psycopg2.IntegrityError) as e:
logger.error(e)
logger.debug("uploaded: {0}".format(line['CUSIP']))
conn.commit()
def upload_deal_data(conn, filename):
sqlstr = 'SELECT dealname, array_agg("Latest Update") FROM clo_universe GROUP BY dealname'
with conn.cursor() as c:
c.execute(sqlstr)
deallist1 = dict(c)
sqlstr = "SELECT dealname FROM deal_indicative"
with conn.cursor() as c:
c.execute(sqlstr)
deallist2 = set([d for d, in c])
conn.commit()
with open(filename, "r") as fh:
dr = csv.DictReader(fh, dialect='excel-tab')
data = []
for line in dr:
if not line['Deal Name, Tranche Name'] or (line['Deal Name, Tranche Name'] == 'Unknown Security'):
continue
if not line['Latest Update']:
continue
for key in line.keys():
line[key] = convertToNone(line[key])
##simpler names
line["CDOpercent"] = line["CDO Pct of Assets that are Structured Finance Obligations"]
line['defaultedbal'] = line["CDO Defaulted Security Balance (Reported)"]
line["Paid Down"] = None
if "Paid Down" in line["Latest Update"]:
line["Paid Down"] = re.sub("Paid Down: ","", line["Latest Update"])
line["Latest Update"] = line["Paid Down"]
for field in ["Deal Closing Date", "Deal Termination Date", "Reinv End Date", \
"Latest Update", "Pay Day", "Deal First Pay Date", "Paid Down",
"Deal Last Refi Date"]:
if line[field]:
try:
line[field] = datetime.datetime.strptime(line[field], '%b %d, %Y').date()
except ValueError:
logger.error("Can't parse date {}".format(line[field]))
pdb.set_trace()
if line["Pay Day"]:
line["Pay Day"] = line["Pay Day"].day
for key in ["Principal Collection Account", "Interest Collection Account",
"Curr Deal Bal", "Tranche Curr Bal", "CDOpercent", "defaultedbal",
"Orig Deal Bal", "Tranche Orig Bal"]:
if line[key]:
line[key] = sanitize_float(line[key])
line['Deal/Tranche ID'] = line['Deal/Tranche ID'].lower()
dealname = line['Deal/Tranche ID']
if dealname not in deallist2:
sqlstr = "INSERT INTO deal_indicative VALUES( %(Deal/Tranche ID)s, " \
"%(Deal Name)s, %(Collateral Manager)s, " \
"%(Deal Closing Date)s, %(Pay Day)s, " \
"%(Deal First Pay Date)s, %(Paid Down)s)"
else:
#we always update paid_down
sqlstr = 'UPDATE deal_indicative SET paid_down=%(Paid Down)s ' \
'WHERE dealname=%(Deal/Tranche ID)s'
if line['Deal CUSIP List']:
line['Deal CUSIP List'] = line['Deal CUSIP List'].split(",")
try:
with conn.cursor() as c:
c.execute(sqlstr, line)
except (psycopg2.DataError, KeyError) as detail:
logger.error(detail)
continue
finally:
# update deallist2
if dealname not in deallist2:
deallist2.add(dealname)
if dealname not in deallist1 or line['Latest Update'] not in deallist1[dealname]:
sqlstring = \
"INSERT INTO clo_universe " \
"VALUES (%(Deal/Tranche ID)s, %(Curr Deal Bal)s, %(Tranche Curr Bal)s, " \
"%(Tranche Factor)s, %(Principal Collection Account)s, " \
"%(Interest Collection Account)s, %(CDOpercent)s, %(defaultedbal)s, " \
"%(Coupon)s, %(Latest Update)s, %(Deal Last Refi Date)s, " \
"%(Deal CUSIP List)s, %(Deal Termination Date)s, %(Reinv End Date)s, " \
"%(Orig Deal Bal)s, %(Tranche Orig Bal)s)"
try:
with conn.cursor() as c:
c.execute(sqlstring, line)
deallist1[dealname] = [line['Latest Update']]
except (psycopg2.DataError, KeyError) as detail:
logger.error(detail)
pdb.set_trace()
conn.commit()
if __name__ == "__main__":
if len(sys.argv) > 1:
workdate = sys.argv[1]
else:
workdate = str(datetime.date.today())
files = [os.path.join(os.environ['DATA_DIR'], "Indicative_" + workdate, f) for f in
os.listdir(os.path.join(os.environ['DATA_DIR'], "Indicative_" + workdate))]
cusip_files = [f for f in files if "TrInfo" in f]
deal_files = [f for f in files if "TrInfo" not in f]
with closing(dbconn('etdb')) as etdb:
#first load deal data
for deal in deal_files:
upload_deal_data(etdb, deal)
#then load tranche data
for cusip in cusip_files:
upload_cusip_data(etdb, cusip)
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