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import os
import os.path
import datetime
from datetime import date
import csv
from csv import reader
import json
import codecs
import re
import psycopg2
from datetime import datetime
if os.name =='nt':
root = "//WDsentinel/share/CorpCDOs"
elif os.name == 'posix':
root = '/home/share/CorpCDOs'
input = os.path.join(root, "Scenarios", "prometheus.sss")
pattern11 = re.compile("(REINVEST\[)\w+(::REINV_TBA1\]\[DEAL,1\]=)(.*$)")
pattern12 = re.compile("(REINVEST\[)\w+(::REINV_TBA2\]\[DEAL,1\]=)(.*$)")
# reinv end date
pattern2 = re.compile("(STANDARD_VAR\[)\w+(::#REINV_END,\d+\]=)(\d*$)")
# reinvprices float
pattern3 = re.compile("(STANDARD_VAR\[)\w+(::#PRICE100_TBA1,\d+\]=)(.*$)")
# reinvprices fixed
pattern4 = re.compile("(STANDARD_VAR\[)\w+(::#PRICE100_TBA2,\d+\]=)(.*$)")
# reinv float percentage
pattern5 = re.compile("(STANDARD_VAR\[)\w+(::#REINVPCT_TBA1,\d+\]=)(.*$)")
# reinv fixed percentage
pattern6 = re.compile("(STANDARD_VAR\[)\w+(::#REINVPCT_TBA2,\d+\]=)(.*$)")
pattern7 = re.compile("GOLDL5")
reinvfloatpercentage = 85
reinvfixedpercentage = 15
conn = psycopg2.connect(database="ET",
user="et_user",
password="Serenitas1",
host="192.168.1.108")
cursor = conn.cursor()
# workdate = date.today().strftime('%Y-%m-%d')
workdate = '2013-01-16'
def get_reinv_assets(dealname):
# collatdates = sorted([datetime.strptime(d.split("_")[1], "%Y-%m-%d").date()
# for d in os.listdir(os.path.join(root, "data"))
# if "Collaterals" in d], reverse=True)
collatfolders = sorted([d for d in os.listdir(os.path.join(root, "data")) if "Collaterals" in d],
reverse = True)
d = {'REINV_TBA1': None, 'REINV_TBA2': None}
filename = dealname.upper() + ",AD.txt"
for folder in collatfolders:
if filename not in os.listdir(os.path.join(root, "data", folder)):
continue
else:
with open(os.path.join(root, "data", folder, filename )) as fh:
dr = csv.DictReader(fh, dialect = 'excel-tab')
headers = dr.fieldnames
for line in dr:
if line['ID Number'] == 'REINV_TBA1':
d['REINV_TBA1'] = line['Fixed or Float']
if line['ID Number'] == 'REINV_TBA2':
d['REINV_TBA2'] = line['Fixed or Float']
return d
def convert_reinvtoperct(d):
newd = {'REINV_TBA1': None, 'REINV_TBA2': None}
if not d['REINV_TBA2']:
newd['REINV_TBA1'] = 100
if d['REINV_TBA1'] == d['REINV_TBA2']: # case when we have two float or two fixed assets
newd['REINV_TBA1'] = 85
newd['REINV_TBA2'] = 15
elif d['REINV_TBA1'] == 'Float':
newd['REINV_TBA1'] = reinvfloatpercentage
newd['REINV_TBA2'] = reinvfixedpercentage
elif d['REINV_TBA1'] == 'Fixed':
newd['REINV_TBA1'] = reinvfixedpercentage
newd['REINV_TBA2'] = reinvfloatpercentage
return newd
for dealname in ["babs062", "harch2", "jerst", "aresvr", "babs071", "landmrk9", "carlg123", "trim6", "frasul2", "vent6", "cifc061b"]:
cursor.execute('SELECT \"Reinv End Date\" from latest_clo_universe where dealname=%s', (dealname,))
reinvenddate = cursor.fetchone()[0]
if reinvenddate:
reinvenddate = reinvenddate.strftime("%Y%m%d")
else:
print "missing reinvestment end date"
pdb.set_trace()
reinv_assets = get_reinv_assets(dealname)
perct_reinv_assets = convert_reinvtoperct(reinv_assets)
basedir = os.path.join(root, "Scenarios", "Intex curves_" + workdate)
with open(os.path.join(basedir, "csv", dealname + "-reinvprices.csv"), "r") as fhreinv:
floatreinvprices = fhreinv.readline().rstrip("\n").split(",")
fixedreinvprices = fhreinv.readline().rstrip("\n").split(",")
output = 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")
fh2 = open(output, "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]) +"\n"
recoveryline = csvrecovery.next()
recoveryline = "\t".join(["{0:.3f}".format(float(recovery)) for recovery in recoveryline]) + "\n"
i=1
with open(input) as fh:
for line in fh:
if "DEAL_NAME" in line:
newline = "DEAL_NAME=" + dealname.upper()
fh2.write(newline)
continue
if pattern11.match(line):
line = re.sub(pattern11, r"\1{0}\2", line).format(dealname.upper()).rstrip()
if reinv_assets["REINV_TBA1"] == "Float":
line = line + "COUP_SPR=2.5|AMORT=Bullet|USE_REINVEST_PIP=1|MAT_DATE=84|\n"
elif reinv_assets["REINV_TBA1"] == "Fixed":
line = line + "COUP_SPR=7|AMORT=Bullet|USE_REINVEST_PIP=1|MAT_DATE=84|\n"
fh2.write(line)
continue
if pattern12.match(line):
line = re.sub(pattern12, r"\1{0}\2", line).format(dealname.upper()).rstrip()
if reinv_assets["REINV_TBA2"] == "Float":
line = line + "COUP_SPR=2.5|AMORT=Bullet|USE_REINVEST_PIP=1|MAT_DATE=84|\n"
elif reinv_assets["REINV_TBA2"] == "Fixed":
line = line + "COUP_SPR=7|AMORT=Bullet|USE_REINVEST_PIP=1|MAT_DATE=84|\n"
fh2.write(line)
continue
if pattern2.match(line):
line = re.sub(pattern2, r"\1{0}\2{1}", line).format(dealname.upper(), reinvenddate)
fh2.write(line)
continue
if pattern3.match(line):
if reinv_assets['REINV_TBA1'] == 'Fixed':
line = re.sub(pattern3, r"\1{0}\2{1}", line).format(dealname.upper(), " ".join(fixedreinvprices))
elif reinv_assets['REINV_TBA1'] == 'Float':
line = re.sub(pattern3, r"\1{0}\2{1}", line).format(dealname.upper(), " ".join(floatreinvprices))
fh2.write(line)
continue
if pattern4.match(line):
if reinv_assets['REINV_TBA2'] == 'Fixed':
line = re.sub(pattern4, r"\1{0}\2{1}", line).format(dealname.upper(), " ".join(fixedreinvprices))
elif reinv_assets['REINV_TBA2'] == 'Float':
line = re.sub(pattern4, r"\1{0}\2{1}", line).format(dealname.upper(), " ".join(floatreinvprices))
fh2.write(line)
continue
if pattern5.match(line):
if reinv_assets['REINV_TBA1']:
line = re.sub(pattern5, r"\1{0}\2{1}", line).format(
dealname.upper(), perct_reinv_assets['REINV_TBA1'])
fh2.write(line)
continue
if pattern6.match(line):
if reinv_assets['REINV_TBA2']:
line = re.sub(pattern6, r"\1{0}\2{1}", line).format(
dealname.upper(), perct_reinv_assets['REINV_TBA2'])
fh2.write(line)
continue
if pattern7.search(line):
line = re.sub(pattern7, dealname.upper(), line)
fh2.write(line)
continue
# if "STANDARD_VAR" in line:
# newline = "STANDARD_VAR[REINVEST_PRICE,1]=" + " ".join(reinvprices)
# fh2.write(newline)
# continue
if "LOSS_RATE[DEAL,{0}]".format(i) in line:
newcdrline = "LOSS_RATE[DEAL,{0}]=".format(i) + cdrline
fh2.write(newcdrline)
continue
if "LOSS_SEVERITY[DEAL,{0}]".format(i) in line:
newrecoveryline = "LOSS_SEVERITY[DEAL,{0}]=".format(i) + recoveryline
fh2.write(newrecoveryline)
i=i+1
if i<=100:
cdrline = csvcdr.next()
cdrline = "\t".join(["{0:.3f}".format(float(cdr)) for cdr in cdrline]) + "\n"
recoveryline = csvrecovery.next()
recoveryline = "\t".join(["{0:.3f}".format(float(recovery)) \
for recovery in recoveryline]) + "\n"
continue
fh2.write(line)
fh2.close()
fhrecovery.close()
fhcdr.close()
cursor.close()
conn.close()
# sed -i -e "s/\(LOSS_NONPERF_SEVERITY\\[DEAL,[0-9]*\\]\)=.*$/\1=mkt(70)/g" stonln1_100.sss
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