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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
import ConfigParser
import pdb
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")
# 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, cursor):
sqlstr = 'select * from et_historicaldealinfo(%s, %s) where ReinvFlag IS TRUE'
cursor.execute(sqlstr, (dealname, workdate))
reinvassets = cursor.fetchall()
d = {}
for line in reinvassets:
d[line[3]] = line[22]
return d
def generate_scenarios(workdate, dealnames, conn, cursor):
prometheus = os.path.join(common.root, "Scenarios", "prometheus.sss")
n_scenarios = 100
basedir = os.path.join(common.root, "Scenarios", "Intex curves_" + workdate)
config = ConfigParser.ConfigParser()
for dealname in dealnames:
cursor.execute('SELECT \"Reinv End Date\" from latest_clo_universe where dealname=%s', (dealname,))
reinvenddate = cursor.fetchone()[0]
config.read(os.path.join(basedir, "csv", dealname + ".config"))
if reinvenddate:
reinvenddate = reinvenddate.strftime("%Y%m%d")
reinvflag = True
else:
print "missing reinvestment end date"
reinvflag = False
reinvflag = config.getboolean('config', 'reinvflag')
rollingmat = config.getint('config', 'rollingmat')
reinv_assets = get_reinv_assets(dealname, workdate, cursor)
if len([v for v in reinv_assets.values() if v == 'FIXED']) == 0:
reinvfixedpercentage = 0
else:
reinvfixedpercentage = global_reinvfixedpercentage
reinvfloatpercentage = (100-reinvfixedpercentage)/len([v for v in reinv_assets.values() if v == 'FLOAT'])
floatreinvprices = []
fixedreinvprices = []
try:
# 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(","))
with open(os.path.join(basedir, "csv", dealname + "-reinvprices.csv"), "rb") as fh:
for line in fh:
a, b = line.rstrip().split(",")
floatreinvprices.append(a)
fixedreinvprices.append(b)
floatreinvprices = ["{0:.3f}".format(float(p))for p in floatreinvprices]
fixedreinvprices = ["{0:.3f}".format(float(p)) for p in fixedreinvprices]
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 pattern8.match(line):
line = re.sub(pattern8, r"\1{0}\2=0".format(dealname.upper()), line)
fh2.write(line + "\r\n")
continue
m = pattern1.match(line)
if 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(),
scen_number,
reinv_number)
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
m = pattern3.match(line)
if m:
reinv_number, scen_number = m.groups()
key = "REINV_TBA" + reinv_number
if key in reinv_assets:
if reinv_assets[key] == 'FIXED':
line = "STANDARD_VAR[{0}::#PRICE100_TBA{1},{2}]={3}".format(dealname.upper(),
reinv_number,
scen_number,
" ".join(fixedreinvprices))
elif reinv_assets[key] == 'FLOAT':
line = "STANDARD_VAR[{0}::#PRICE100_TBA{1},{2}]={3}".format(dealname.upper(),
reinv_number,
scen_number,
" ".join(floatreinvprices))
fh2.write(line + "\r\n")
continue
m = pattern5.match(line)
if m:
reinv_number, scen_number = m.groups()
key = "REINV_TBA" + reinv_number
if key in reinv_assets:
if reinv_assets[key] == 'FIXED':
line = "STANDARD_VAR[{0}::#REINVPCT_TBA{1},{2}]={3}".format(dealname.upper(),
reinv_number,
scen_number,
reinvfixedpercentage)
elif reinv_assets['REINV_TBA' + reinv_number] == 'FLOAT':
line = "STANDARD_VAR[{0}::#REINVPCT_TBA{1},{2}]={3}".format(dealname.upper(),
reinv_number,
scen_number,
reinvfloatpercentage)
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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