1
2
3
4
5
6
7
8
9
10
11
12
13
14
15
16
17
18
19
20
21
22
23
24
25
26
27
28
29
30
31
32
33
34
35
36
37
38
39
40
41
42
43
44
45
46
47
48
49
50
51
52
53
54
55
56
57
58
59
60
61
62
63
64
65
66
67
68
69
70
71
72
73
74
75
76
77
78
79
80
81
82
83
84
85
86
87
88
89
90
91
92
93
94
95
96
97
98
99
100
101
102
103
104
105
106
107
108
109
110
111
112
113
114
115
116
117
118
119
120
121
122
123
124
125
126
127
128
129
130
131
132
|
from db import dbconn
from pathlib import Path
import datetime
import re
import lxml.etree as etree
parser = etree.XMLParser(remove_blank_text=True)
from psycopg2.extras import Json
def todict(xml, uselist=set()):
if len(xml):
if xml.tag in uselist:
return [todict(c, uselist) for c in xml]
else:
d = {}
for c in xml:
if c.tag in d:
d[c.tag].append(todict(c, uselist))
else:
if c.tag in ['cdssuccession', 'creditevent', 'auctionccyrate']:
d[c.tag] = [todict(c, uselist)]
else:
d[c.tag] = todict(c, uselist)
return d
else:
return xml.text.strip()
def dispatch_parsing(col, uselist):
if len(col):
if col.tag == 'ratings':
return [el.text for el in col.iterfind(".//tier")]
else:
return Json(todict(col, uselist))
else:
if col.tag == "holdco":
return col.text == "TRUE"
else:
return col.text
def insert_refentity(fname):
tree = etree.parse(fname,
parser=parser)
conn = dbconn('serenitasdb')
names = ['referenceentity', 'shortname', 'ticker', 'redentitycode',
'entitycusip', 'lei', 'entitytype', 'jurisdiction', 'depthlevel',
'markitsector', 'isdatradingdefinition', 'recorddate', 'ratings',
'entityform', 'companynumber', 'alternativenames',
'isdatransactiontypes', 'validto', 'validfrom', 'events',
'holdco', 'country',]
# these are tags which enclose a list
uselist = set(['events', 'isdatransactiontypes', 'nextredentitycodes', 'prevredentitycodes',
'isdatransactiontypes', 'tiers', 'auctions'])
sql_str = ("""INSERT INTO RefEntity VALUES({})
ON CONFLICT(redentitycode) DO UPDATE SET {}""".
format(",".join(["%s"] * len(names)),
",".join(f"{name}=EXCLUDED.{name}" for name in names[1:])))
skipfirst = True
with conn.cursor() as c:
for child in tree.getroot():
if skipfirst:
skipfirst = False
continue
d = {col.tag: dispatch_parsing(col, uselist) for col in child}
c.execute(sql_str, [d.get(name) for name in names])
conn.commit()
def parse_prospectus(xml):
return Json({c.tag: [e.text for e in c] for c in xml})
def insert_refobligation(fname):
tree = etree.parse(fname,
parser=parser)
conn = dbconn('serenitasdb')
names_redpair = ['redpaircode', 'role', 'referenceentity', 'redentitycode',
'tier', 'pairiscurrent', 'pairvalidfrom', 'pairvalidto',
'ticker', 'ispreferred', 'preferreddate', 'indexconstituents',
'recorddate', 'publiccomments', 'myticker',
'subordinationtype', 'holdco', 'preferredremovaldate']
names_refobligation = ['obligationname', 'prospectusinfo', 'refentities',
'type', 'isconvert', 'isperp', 'coupontype', 'ccy',
'maturity', 'issuedate', 'coupon', 'isin', 'cusip', 'event']
redpair_insert = ("""INSERT INTO RedPairMapping VALUES({})
ON CONFLICT(redpaircode) DO UPDATE SET {}""".
format(",".join(["%s"] * len(names_redpair)),
",".join(f"{name}=EXCLUDED.{name}" for name in names_redpair[1:])))
refobligation_insert = ("""INSERT INTO RefObligation({}) VALUES({})
ON CONFLICT(obligationname) DO UPDATE SET {}""".
format(",".join(names_refobligation),
",".join(["%s"] * len(names_refobligation)),
",".join(f"{name}=EXCLUDED.{name}" for name in names_refobligation[1:])))
skipfirst = True
def simple_parse(e):
if e.tag == 'indexconstituents':
return [ic.text for ic in e]
elif e.tag == 'holdco':
return e.text == "TRUE"
else:
return e.text
with conn.cursor() as c:
for child in tree.getroot():
if skipfirst:
skipfirst = False
continue
d = {col.tag: col if len(col) else col.text for col in child}
with conn.cursor() as c2:
for el in d['refentities']:
redpair = {e.tag: simple_parse(e) for e in el}
c2.execute(redpair_insert, [redpair.get(name) for name in names_redpair])
conn.commit()
d['refentities'] = [el.text for el in d['refentities'].iterfind('.//redpaircode')]
if 'prospectusinfo' in d:
d['prospectusinfo'] = parse_prospectus(d['prospectusinfo'])
c.execute(refobligation_insert, [d.get(name) for name in names_refobligation])
conn.commit()
def get_date(f):
m = re.search("(\d*)\.", f.name)
if m:
timestamp = int(m.groups(0)[0])
return datetime.datetime.fromtimestamp(timestamp/1000)
if __name__ == "__main__":
from markit_red import download_report
base_dir = Path('/home/serenitas/CorpCDOs/Tranche_data/RED_reports/Deltas')
for report in ['REDEntityDelta', 'REDObligationDelta']:
g = download_report(report)
f = base_dir / next(g)[0]
if "Entity" in report:
insert_refentity(f.as_posix())
else:
insert_refobligation(f.as_posix())
|
