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import psycopg2
import os
import datetime
from datetime import date
import csv, sys, re
import pdb
from common import root, sanitize_float
from db import dbconn
from contextlib import closing
import logging
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 VALUES({0})".format(",".join(["%s"]*13))
with conn.cursor() as c:
try:
c.execute(sqlstr, to_insert)
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('deal:{0} not in database'.format(dealname))
continue
sqlstring = "SELECT cusip FROM cusip_ref WHERE cusip=%s"
with conn.cursor() as c:
c.execute(sqlstring, (line['CUSIP'],))
r = c.fetchone()
if r is None:
try:
insert_new_cusip(conn, line)
except ValueError:
continue
sqlstring = "SELECT max(updatedate) FROM cusip_update WHERE cusip = %s"
with conn.cursor() as c:
c.execute(sqlstring, (line['CUSIP'],))
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 = (line['CUSIP'], 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 = [d[0] 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 Issue Date", "Deal Termination Date", "Reinv End Date", \
"Latest Update", "Pay Day", "Deal First Pay Date", "Paid Down"]:
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"]:
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:
for key in ["Orig Deal Bal", "Tranche Orig Bal"]:
if line[key]:
line[key] = sanitize_float(line[key])
sqlstr = "INSERT INTO deal_indicative VALUES( %(Deal/Tranche ID)s, %(Deal Name)s, " \
"%(Collateral Manager)s, %(Deal Issue Date)s, %(Deal Termination Date)s, " \
"%(Pay Day)s, %(Reinv End Date)s, %(Deal First Pay Date)s, %(Orig Deal Bal)s, " \
"%(Tranche Orig Bal)s, %(Deal CUSIP List)s, %(Paid Down)s)"
else:
#we always update Deal Cusip List and paid_down
sqlstr = 'UPDATE deal_indicative SET "Deal Cusip List"=%(Deal CUSIP List)s, ' \
'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
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)"
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(root, "data", "Indicative_" + workdate, f) for f in
os.listdir(os.path.join(root, "data", "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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