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import os
import os.path
import datetime
import csv
from csv import reader
import json
import re
import psycopg2
import common
from common import query_db, root
import sys
import yaml
pattern1 = re.compile("REINVEST\[\w+::REINV_TBA(\d)\]\[DEAL,(\d+)\]=.*$")
# reinv end date
pattern2 = re.compile("(STANDARD_VAR\[)\w+(::#REINV_END,\d+\]=)(\d.*$)")
# reinvprices 1
pattern3 = re.compile("STANDARD_VAR\[\w+::#PRICE100_TBA(\d),(\d+)\]=")
pattern5 = re.compile("STANDARD_VAR\[\w+::#REINVPCT_TBA(\d),(\d+)\]=")
pattern7 = re.compile("KINGS3")
pattern8 = re.compile("(#COLLATREINV_REINV_PCT_EXT\[)\w+(::\*\]\[DEAL,\d+\])=100")
pattern9 = re.compile("(?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(dealname, workdate):
sqlstr = 'select * from et_historicaldealinfo(%s, %s) where ReinvFlag IS TRUE'
reinvassets = query_db(sqlstr, params = (dealname, workdate), one = False)
d = {}
for line in reinvassets:
d[line[3]] = line[22]
return d
def get_recovery(dealname, workdate, defaultrecovery = 50):
""" compute average price of defaulted assets
"""
sqlstr = "select sum(coalesce(price, %s) * currentbalance)/sum(currentbalance) " + \
"from et_aggdealinfo_historical(%s, %s) where defaultedflag is True"
recovery = query_db(sqlstr, params = (defaultrecovery, dealname, workdate))
if not recovery:
recovery = defaultrecovery
else:
recovery = recovery[0]
return float(recovery)
def get_reinvenddate(dealname):
sqlstr = 'SELECT \"Reinv End Date\" from latest_clo_universe where dealname=%s'
reinvenddate = query_db(sqlstr, params = (dealname,))[0]
if reinvenddate:
reinvenddate = reinvenddate.strftime("%Y%m%d")
return reinvenddate
else:
raise Exception("missing reinvestment end date")
def generate_scenarios(workdate, dealnames):
prometheus = os.path.join(root, "Scenarios", "prometheus.sss")
n_scenarios = 100
basedir = os.path.join(root, "Scenarios", "Intex curves_" + workdate)
for dealname in dealnames:
defaultedprice = get_recovery(dealname, workdate)
replace = "\g<a>{0:.3f}".format(defaultedprice)
with open(os.path.join(basedir, "csv", dealname + ".config")) as fh:
config = yaml.load(fh)
reinvflag = config['reinvflag']
if reinvflag:
reinvenddate = get_reinvenddate(dealname)
reinv_assets = get_reinv_assets(dealname, workdate)
n_float_assets = len([v for v in reinv_assets.values() if v == 'FLOAT'])
n_fixed_assets = len([v for v in reinv_assets.values() if v == '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 open(os.path.join(basedir, "csv", dealname + "-reinvprices.csv"), "rb") as fh:
dr = csv.DictReader(fh)
reinvprices = {f: [] for f in dr.fieldnames}
for line in dr:
for f in dr.fieldnames:
reinvprices[f].append("{0:.3f}".format(float(line[f])))
except IOError:
reinvflag = False
sssfile = os.path.join(basedir, "sss", dealname + ".sss")
if not os.path.exists(os.path.join(basedir, "sss")):
os.makedirs(os.path.join(basedir, "sss"))
cdrscenarios = os.path.join(basedir, "csv", dealname + "-cdr.csv")
recoveryscenarios = os.path.join(basedir, "csv", dealname + "-recovery.csv")
fhsss = open(sssfile, "w")
fhcdr = open(cdrscenarios, "r")
fhrecovery = open(recoveryscenarios, "r")
csvcdr = reader(fhcdr)
csvrecovery = reader(fhrecovery)
cdrline = csvcdr.next()
cdrline = "\t".join(["{0:.3f}".format(float(cdr)) for cdr in cdrline])
recoveryline = csvrecovery.next()
recoveryline = "\t".join(["{0:.3f}".format(float(recovery)) for recovery in recoveryline])
i=1
with open(prometheus) as fh:
for line in fh:
line = line.rstrip()
if "DEAL_NAME" in line:
newline = "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:
if reinv_assets[key] == "FLOAT":
coupon = 4
elif reinv_assets[key] == "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)
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()
if dealname=="litpt3" and reinv_number=="1":
line = "STANDARD_VAR[LITPT3::#REINVLOANP100,{0}]".format(scen_number) + \
"={0}".format(" ".join(reinvprices["REINV_TBA1"]))
fhsss.write(line + "\r\n")
continue
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_number=="1":
if dealname=="litpt3":
line = "STANDARD_VAR[LITPT3::#LOANREINVPCT,{0}]=100".format(scen_number)
fhsss.write(line + "\r\n")
continue
if dealname=="flags4":
line = "STANDARD_VAR[FLAGS4::#PCT100_TBA1,{0}]=100".format(scen_number)
fhsss.write(line + "\r\n")
continue
if reinv_name in reinv_assets:
if reinv_assets[reinv_name] == 'FIXED':
line = "STANDARD_VAR[{0}::#REINVPCT_TBA{1},{2}]={3}".format(dealname.upper(),
reinv_number,
scen_number,
reinvfixedpercentage)
elif reinv_assets[reinv_name] == '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
if "LOSS_RATE[DEAL,{0}]".format(i) in line:
newcdrline = "LOSS_RATE[DEAL,{0}]=".format(i) + cdrline
fhsss.write(newcdrline + "\r\n")
continue
if "LOSS_SEVERITY[DEAL,{0}]".format(i) in line:
newrecoveryline = "LOSS_SEVERITY[DEAL,{0}]=".format(i) + recoveryline
fhsss.write(newrecoveryline + "\r\n")
i = i + 1
if i <= n_scenarios:
cdrline = csvcdr.next()
cdrline = "\t".join(["{0:.3f}".format(float(cdr)) for cdr in cdrline]) + "\r\n"
recoveryline = csvrecovery.next()
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()
print("generated scenarios for: {0}".format(dealname))
if __name__ == "__main__":
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.split(".")[0] for d in
os.listdir(os.path.join(common.root, "Scenarios",
"Intex curves_" + workdate, "csv"))
if "RData" in d]
generate_scenarios(workdate, dealnames)
common.conn.close()
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