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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
import sys
pattern11 = re.compile("(REINVEST\[)\w+(::REINV_TBA1\]\[DEAL,\d+\]=)(.*$)")
pattern12 = re.compile("(REINVEST\[)\w+(::REINV_TBA2\]\[DEAL,\d+\]=)(.*$)")
# 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("GOLDL3")
reinvfloatpercentage = 85
reinvfixedpercentage = 15
def get_reinv_assets(dealname, workdate, cursor):
d = {'REINV_TBA1': None, 'REINV_TBA2': None}
sqlstr = 'select * from et_historicaldealinfo(%s, %s) where ReinvFlag IS TRUE'
cursor.execute(sqlstr, (dealname, workdate))
reinvassets = cursor.fetchall()
for line in reinvassets:
d[line[3]] = line[22]
return d
def convert_reinvtoperct(d):
newd = {'REINV_TBA1': None, 'REINV_TBA2': None}
if not d['REINV_TBA2']:
newd['REINV_TBA1'] = 100
return newd
if d['REINV_TBA1'] == d['REINV_TBA2']: # case when we have two float or two fixed assets
newd['REINV_TBA1'] = reinvfloatpercentage
newd['REINV_TBA2'] = reinvfixedpercentage
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
def generate_scenarios(workdate, dealnames, conn, cursor):
prometheus = os.path.join(common.root, "Scenarios", "prometheus.sss")
n_scenarios = 100
for dealname in dealnames:
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")
reinvflag = True
else:
print "missing reinvestment end date"
reinvflag = False
reinv_assets = get_reinv_assets(dealname, workdate, cursor)
perct_reinv_assets = convert_reinvtoperct(reinv_assets)
basedir = os.path.join(common.root, "Scenarios", "Intex curves_" + workdate)
floatreinvprices = []
fixedreinvprices = []
try:
with open(os.path.join(basedir, "csv", dealname + "-rollingmat"), "rb") as fh:
rollingmat = fh.readline().rstrip()
with open(os.path.join(basedir, "csv", dealname + "-floatreinvprices.csv"), "rb") as fhreinv:
for line in fhreinv:
floatreinvprices.append(line.rstrip("\n").split(","))
with open(os.path.join(basedir, "csv", dealname + "-fixedreinvprices.csv"), "rb") as fhreinv:
for line in fhreinv:
fixedreinvprices.append(line.rstrip("\n").split(","))
except IOError:
reinvflag=False
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])
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"
fh2.write(newline)
continue
if not reinvflag and "DO_REINV" in line:
fh2.write("DO_REINV[DEAL]=0\r\n")
continue
if reinvflag:
if pattern11.match(line):
line = re.sub(pattern11, r"\1{0}\2", line).format(dealname.upper())
if reinv_assets["REINV_TBA1"] == "FLOAT":
coupon = 4
elif reinv_assets["REINV_TBA1"] == "FIXED":
coupon = 7
line = line + \
"COUP_SPR={0}|AMORT=Bullet|USE_REINVEST_PIP=1|MAT_DATE={1}|".format(coupon,
rollingmat)
fh2.write(line + "\r\n")
continue
if pattern12.match(line):
line = re.sub(pattern12, r"\1{0}\2", line).format(dealname.upper())
if reinv_assets["REINV_TBA2"] == "FLOAT":
coupon = 4
elif reinv_assets["REINV_TBA2"] == "FIXED":
coupon = 7
line = line + \
"COUP_SPR={0}|AMORT=Bullet|USE_REINVEST_PIP=1|MAT_DATE={1}|".format(coupon,
rollingmat)
fh2.write(line + "\r\n")
continue
if pattern2.match(line):
line = re.sub(pattern2, r"\1{0}\2{1}", line).format(dealname.upper(), reinvenddate)
fh2.write(line + "\r\n")
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[i-2]))
elif reinv_assets['REINV_TBA1'] == 'FLOAT':
line = re.sub(pattern3, r"\1{0}\2{1}", line).format(dealname.upper(),
" ".join(floatreinvprices[i-2]))
fh2.write(line + "\r\n")
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[i-2]))
elif reinv_assets['REINV_TBA2'] == 'FLOAT':
line = re.sub(pattern4, r"\1{0}\2{1}", line).format(dealname.upper(),
" ".join(floatreinvprices[i-2]))
fh2.write(line + "\r\n")
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']).rstrip()
fh2.write(line + "\r\n")
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']).rstrip()
fh2.write(line + "\r\n")
continue
if pattern7.search(line):
line = re.sub(pattern7, dealname.upper(), line)
fh2.write(line + "\r\n")
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 + "\r\n")
continue
if "LOSS_SEVERITY[DEAL,{0}]".format(i) in line:
newrecoveryline = "LOSS_SEVERITY[DEAL,{0}]=".format(i) + recoveryline
fh2.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
fh2.write(line + "\r\n")
fh2.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, common.cursor)
common.cursor.close()
common.conn.close()
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