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import datetime
from pyisda.date import previous_twentieth
from utils.db import serenitas_pool, dbconn
from risk.tranches import get_tranche_portfolio
from dates import bus_day
def accrual_days(event_date, auction_date):
return (event_date - previous_twentieth(auction_date)).days + 1
dawndb = dbconn("dawndb")
conn = serenitas_pool.getconn()
with conn.cursor() as c:
c.execute("SELECT * FROM defaulted ORDER BY auction_date")
for r in c:
if r.recovery is None:
continue
if r.auction_date < datetime.date(2020, 5, 1):
continue
acc = accrual_days(r.event_date, r.auction_date)
severity = 1 - r.recovery
principal = -1e6 * severity
accrued = severity * acc * 0.05 / 360 * 1e6
with dawndb.cursor() as c:
for tranche_id in (1590, 1413, 1116):
c.execute(
"INSERT INTO tranche_cashflows VALUES(%s, %s, %s, %s, %s)",
(r.auction_date + bus_day, tranche_id, principal, accrued, "USD"),
)
dawndb.commit()
serenitas_pool.putconn(conn)
portf = get_tranche_portfolio(datetime.date(2020, 6, 19), dawndb)
with dawndb.cursor() as c:
for t in portf:
c.execute(
"INSERT INTO tranche_cashflows(date, tranche_id, accrued, currency) "
"VALUES(%s, %s, %s, %s)",
(
datetime.date(2020, 6, 22),
t.trade_id,
-t.cs["coupons"][0] * t.tranche_running * t.notional * 1e-4,
t.currency,
),
)
dawndb.commit()
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