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from serenitas.utils.db import dbconn
from io import StringIO
import csv
from serenitas.utils.env import DAILY_DIR
from serenitas.utils.remote import SftpClient
from serenitas.analytics.dates import next_business_day
import datetime
from trade_dataclasses import CDSDeal, SwaptionDeal
from headers import MTM_HEADERS
def rename_keys(d, mapping):
"""rename keys in dictionary according to mapping dict inplace"""
for k, v in mapping.items():
if k in d:
d[v] = d.pop(k)
def tranche_trades(tradeids, conn):
trades = []
for tradeid in tradeids:
obj = CDSDeal.from_tradeid(tradeid).to_markit()
trades.append(obj)
return trades
def swaption_trades(tradeids, conn):
trades = []
for tradeid in tradeids:
obj = SwaptionDeal.from_tradeid(tradeid).to_markit()
trades.append(obj)
return trades
def tranche_term_trades(conn):
with conn.cursor() as c:
trades = []
c.execute(
"SELECT terminations.*, cds.fund, cds.cp_code FROM terminations left join cds using (dealid) where termination_date >= %s and dealid LIKE %s",
(datetime.date(2022, 3, 1), "SCCDS%"),
)
for row in c:
obj = row._asdict()
rename_keys(
obj,
{
"dealid": "Swap ID",
"termination_cp": "Broker Id",
"termination_amount": "1st Leg Notional",
"termination_fee": "Initial Payment",
"termination_date": "Trade Date",
"fee_payment_date": "Settle Date",
"fund": "Account Abbreviation",
"termination_cp": "Broker Id",
"cp_code": "Remaining Party",
},
)
if obj["Initial Payment"] >= 0:
obj["Transaction Code"] = "Receive"
else:
obj["Initial Payment"] = abs(obj["Initial Payment"])
obj["Transaction Code"] = "Pay"
obj["Currency Code"] = "USD"
obj["Product Type"] = "TRN"
obj["Entity Matrix"] = "Publisher"
obj["Definitions Type"] = "ISDA2003Credit"
obj["Trade ID"] = obj["Swap ID"] + "-" + str(obj["id"])
obj["Transaction Type"] = "Partial Assignment"
obj["Effective Date"] = obj["Trade Date"] + datetime.timedelta(days=1)
trades.append(obj)
return trades
def terminations(tradeid, conn):
with conn.cursor() as c:
termination_query = (
"""SELECT terminations.*, coalesce(cds.cp_code, swaptions.cp_code) AS orig_cp, COALESCE (cds."currency", swaptions."currency") AS currency, """
"""COALESCE (cds."swap_type", 'SWAPTION') as swap_type FROM terminations LEFT JOIN cds USING (dealid) LEFT JOIN swaptions USING (dealid) where terminations.id = %s ORDER BY id desc;"""
)
c.execute(termination_query, (tradeid,))
for row in c:
obj = row._asdict()
rename_keys(
obj,
{
"dealid": "Swap ID",
"termination_cp": "Broker Id",
"termination_amount": "1st Leg Notional",
"termination_fee": "Initial Payment",
"termination_date": "Trade Date",
"fee_payment_date": "Settle Date",
"fund": "Account Abbreviation",
"termination_cp": "Broker Id",
"orig_cp": "Remaining Party",
"currency": "Currency Code",
},
)
if obj["Initial Payment"] >= 0:
obj["Transaction Code"] = "Receive"
else:
obj["Initial Payment"] = abs(obj["Initial Payment"])
obj["Transaction Code"] = "Pay"
match obj["swap_type"]:
case "CD_INDEX_TRANCHE":
obj["Product Type"] = "TRN"
case "SWAPTION":
obj["Product Type"] = "CDISW"
case _:
print("Not a valid termination")
obj["Trade ID"] = obj["Swap ID"] + "-" + str(obj["id"])
obj["Transaction Type"] = (
"Termination"
if obj["Remaining Party"] == obj["Broker Id"]
else "Assignment"
)
obj["Effective Date"] = obj["Trade Date"] + datetime.timedelta(days=1)
trades.append(obj)
def build_line(obj, asset_type):
return [obj.get(h, None) for h in MTM_HEADERS[asset_type]]
def process_upload(trades, asset_type, upload):
buf = StringIO()
csvwriter = csv.writer(buf)
csvwriter.writerow(MTM_HEADERS[asset_type])
csvwriter.writerows(build_line(trade, asset_type) for trade in trades)
buf = buf.getvalue().encode()
fname = f"MTM.{datetime.datetime.now():%Y%m%d.%H%M%S}.{asset_type.capitalize()}.csv"
sftp = SftpClient.from_creds("mtm")
sftp.put(buf, fname)
dest = DAILY_DIR / str(datetime.date.today()) / fname
dest.write_bytes(buf)
def upload_mtm_trades(trade_type, tradeid, conn=None):
match trade_type:
case "swaption":
process_upload(
SwaptionDeal.from_tradeid(tradeid).to_markit(), trade_type, True
)
case "cds":
process_upload(CDSDeal.from_tradeid(tradeid).to_markit(), trade_type, True)
case "termination":
process_upload(terminations(tradeid, conn), trade_type, True)
if __name__ == "__main__":
conn = dbconn("dawndb")
upload_trades(conn)
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