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import datetime
from serenitas.utils.env import DATA_DIR
from io import BytesIO
from psycopg2 import sql
from psycopg2.extras import DateRange
import requests
import xml.etree.ElementTree as ET
import zipfile
from serenitas.analytics.yieldcurve import YC, ql_to_jp, CurveType
from serenitas.analytics.bbg_helpers import retrieve_data
from serenitas.analytics.utils import prev_business_day
def downloadMarkitIRData(conn, download_date=datetime.date.today(), currency="USD"):
base_dir = DATA_DIR / "Yield Curves"
curve_file = base_dir / f"InterestRates_{currency}_{download_date:%Y%m%d}.xml"
if not curve_file.exists():
r = requests.post(f"http://www.markit.com/news/{curve_file.stem}.zip")
if "zip" in r.headers["content-type"]:
with zipfile.ZipFile(BytesIO(r.content)) as z:
z.extractall(path=base_dir)
else:
raise ValueError(r.content.decode().rstrip())
tree = ET.parse(curve_file)
deposits = zip(
[e.text for e in tree.findall("./deposits/*/tenor")],
[float(e.text) for e in tree.findall("./deposits/*/parrate")],
)
swaps = zip(
[e.text for e in tree.findall("./swaps/*/tenor")],
[float(e.text) for e in tree.findall("./swaps/*/parrate")],
)
effectiveasof = tree.find("./effectiveasof").text
MarkitData = {
"deposits": list(deposits),
"swaps": list(swaps),
"effectiveasof": datetime.date.fromisoformat(effectiveasof),
}
ql_yc = YC(
currency=currency,
MarkitData=MarkitData,
evaluation_date=MarkitData["effectiveasof"],
)
jp_yc = ql_to_jp(ql_yc)
sql_str = f"INSERT INTO {currency}_curves VALUES(%s, %s) ON CONFLICT DO NOTHING"
with conn.cursor() as c:
c.execute(
sql_str,
(MarkitData["effectiveasof"], jp_yc.__getstate__()),
)
instruments = MarkitData["deposits"] + MarkitData["swaps"]
names = sql.SQL(", ").join([sql.Identifier(r[0]) for r in instruments])
values = sql.SQL(", ").join(
sql.Placeholder() * (len(instruments) + 1)
) # +1 for effective_date
insert_str = sql.SQL(
f"INSERT INTO {currency}_rates(effective_date, {{}}) VALUES({{}}) "
"ON CONFLICT DO NOTHING"
).format(names, values)
with conn.cursor() as c:
c.execute(
insert_str, [MarkitData["effectiveasof"]] + [r[1] for r in instruments]
)
conn.commit()
def update_bbg_members(conn, session, curve_type, download_date):
if curve_type == CurveType.USD_SOFR_SWAPS:
return
data = retrieve_data(
session,
[curve_type.bbg_name],
["CURVE_MEMBERS"],
overrides={"CURVE_DATE": download_date},
)
new_members = data[curve_type.bbg_name]["CURVE_MEMBERS"]["Curve Members"].to_list()
with conn.cursor() as c:
c.execute(
"SELECT members, in_effect FROM bbg_curves WHERE curve_type=%s AND in_effect @> %s",
(curve_type.value, download_date),
)
try:
(members, in_effect) = c.fetchone()
except TypeError:
with conn.cursor() as c:
c.execute(
"SELECT in_effect, members FROM bbg_curves "
"WHERE curve_type=%s ORDER BY lower(in_effect) LIMIT 1",
(curve_type.value,),
)
(
in_effect,
members,
) = c.fetchone()
if new_members == members:
with conn.cursor() as c:
c.execute(
"UPDATE bbg_curves SET in_effect=%s "
"WHERE in_effect=%s AND curve_type=%s",
(
DateRange(download_date, in_effect.upper),
in_effect,
curve_type.value,
),
)
else:
with conn.cursor() as c:
c.execute(
"INSERT INTO bbg_curves VALUES(%s, %s, %s)",
(
curve_type.value,
new_members,
DateRange(download_date, in_effect.lower),
),
)
conn.commit()
else:
if new_members != members:
with conn.cursor() as c:
c.execute(
"UPDATE bbg_curves SET in_effect=%s "
"WHERE curve_type=%s AND in_effect @> %s",
(
DateRange(in_effect.lower, download_date),
curve_type.value,
download_date,
),
)
c.execute(
"INSERT INTO bbg_curves VALUES(%s, %s, %s)",
(
curve_type.value,
new_members,
DateRange(download_date, in_effect.upper),
),
)
conn.commit()
def update_bbg_desc(conn, session, download_date):
with conn.cursor() as c:
c.execute(
"SELECT bbg_ticker FROM ("
" SELECT unnest(members) AS bbg_ticker FROM bbg_curves "
" WHERE in_effect @> %s) a "
"LEFT JOIN bbg_rate_tickers USING (bbg_ticker) "
"WHERE quote_type IS null",
(download_date,),
)
missing_tickers = [t for (t,) in c]
if not missing_tickers:
return
fields = [
"SECURITY_TENOR_ONE",
"SECURITY_TENOR_TWO",
"SECURITY_TYP2",
"INT_RATE_FUT_START_DT",
"INT_RATE_FUT_END_DT",
"CRNCY",
"FUT_NOTL_BOND",
]
data = retrieve_data(session, missing_tickers, fields)
with conn.cursor() as c:
for k, v in data.items():
if v["SECURITY_TYP2"] == "Future":
if v["FUT_NOTL_BOND"] == "Euro$ 3Mo TD":
params = (
k,
"FUT",
v["CRNCY"],
"3M",
v["INT_RATE_FUT_START_DT"].date(),
v["INT_RATE_FUT_END_DT"].date(),
)
elif v["FUT_NOTL_BOND"] == "1mo SOFR":
params = (
k,
"SFR_FUT",
v["CRNCY"],
"1M",
v["INT_RATE_FUT_START_DT"].date(),
v["INT_RATE_FUT_END_DT"].date(),
)
elif v["FUT_NOTL_BOND"] == "3mo SOFR":
params = (
k,
"SFR_FUT",
v["CRNCY"],
"3M",
v["INT_RATE_FUT_START_DT"].date(),
v["INT_RATE_FUT_END_DT"].date(),
)
else:
raise ValueError(f"Unknown future type {k['FUT_NOTL_BOND']}")
elif v["SECURITY_TYP2"] == "FIXED_FLOAT":
params = (k, "SWP", v["CRNCY"], v["SECURITY_TENOR_TWO"], None, None)
elif v["SECURITY_TYP2"] == "FIXED_FLOAT_OIS":
params = (k, "OIS", v["CRNCY"], v["SECURITY_TENOR_TWO"], None, None)
elif v["SECURITY_TYP2"] == "DEPOSIT":
params = (k, "DEP", v["CRNCY"], v["SECURITY_TENOR_ONE"], None, None)
elif v["SECURITY_TYP2"] == "Index":
params = (k, "IND", v["CRNCY"], None, None, None)
elif v["SECURITY_TYP2"] == "BASIS":
params = (k, "BASIS", v["CRNCY"], v["SECURITY_TENOR_TWO"], None, None)
else:
raise ValueError("Unkown security type")
c.execute(
"INSERT INTO bbg_rate_tickers VALUES(%s, %s, %s, %s, %s, %s) "
"ON CONFLICT (bbg_ticker) DO UPDATE SET end_date=EXCLUDED.end_date, "
"tenor=EXCLUDED.tenor, quote_type=EXCLUDED.quote_type",
params,
)
conn.commit()
def get_bbg_quotes(conn, session, start_from):
fields = ["PX_LAST"]
indices = ["SOFRRATE Index", "ESTRON Index"]
with conn.cursor() as c:
c.execute("SELECT unnest(members) AS bbg_ticker FROM bbg_curves")
tickers = set(t for (t,) in c if t not in indices)
def update_aux(conn, session, tickers, fields, start_from):
data = retrieve_data(session, tickers, fields, start_date=start_from)
with conn.cursor() as c:
for k, v in data.items():
c.executemany(
"INSERT INTO bbg_rate_quotes(bbg_ticker, date, quote1) "
"VALUES(%s, %s, %s) "
"ON CONFLICT (date, bbg_ticker) "
"DO UPDATE SET quote1=EXCLUDED.quote1",
[(k, *t) for t in v.itertuples()],
)
conn.commit()
update_aux(conn, session, tickers, fields, start_from)
# indices are published on a one day lag
update_aux(conn, session, indices, fields, prev_business_day(start_from))
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