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from serenitas.utils.db import dbconn
import datetime
import csv
from io import StringIO
from pathlib import Path
from process_queue import rename_keys
from serenitas.utils.remote import SftpClient
from serenitas.utils.env import DAILY_DIR
from pandas.tseries.offsets import MonthEnd
def process_upload(trades, asset_type, upload):
buf = StringIO()
csvwriter = csv.writer(buf)
csvwriter.writerow(HEADERS[asset_type])
csvwriter.writerows(build_line(trade, asset_type) for trade in trades)
buf = buf.getvalue().encode()
fname = f"HEDGEMARK.POSITION.BOS_PAT_BOWDOIN.{datetime.datetime.now():%Y%m%d.%H%M%S}.{asset_type.capitalize()}Deal.PositionsAsOf{args.date}.csv"
if upload:
sftp = SftpClient.from_creds("hm_globeop")
sftp.client.chdir("incoming")
sftp.put(buf, fname)
dest = DAILY_DIR / str(datetime.date.today()) / fname
dest.write_bytes(buf)
def build_line(obj, asset_type):
return [obj.get(h, None) for h in HEADERS[asset_type]]
HEADERS = {
"bond": [
"AccountNumber",
"COB Date",
"Prime Broker",
"SecurityType",
"CUSIP",
"ISIN",
"SEDOL",
"SecurityDescription",
"Position",
"MarketPrice",
"Currency",
"Base Market Value",
"Local Market Value",
"Fx Rate",
],
"future": [
"AccountNumber",
"COB Date",
"Prime Broker",
"SecurityType",
"BBGTicker",
"RIC",
"UnderlyingSecurity",
"SecurityDescription",
"Currency",
"Quantity",
"OpenTradeEquity",
"ClosingPrice",
"MaturityDate",
"Unrealised P&L in USD",
"Local Market Value",
"Fx Rate",
],
"otc": [
"Client Name",
"Fund Name",
"Counterparty",
"Product Type",
"Unique Deal ID",
"TransactionIndicator (Buy/Sell)",
"PutCall Indicator (Call/Put)",
"CapFloorIndicator",
"CurrencyPair",
"DealCurrencyA",
"DealCurrencyB",
"NotionalA",
"NotionalB",
"OriginalPrice",
"Strike",
"FixedRate",
"Quantity",
"Start Date",
"Effective Date",
"Maturity Date",
"Underlying Maturity",
"RecPayFixed",
"Underlying (ISIN / CUSP / RED CODES)",
"Underlying Desc",
"Exercise Type",
"MTM Currency",
"MTM Valuation",
"COB Date",
"Clearing House Name",
],
}
def positions_bond(positions, conn, date):
with conn.cursor() as c:
c.execute("SELECT * FROM risk_positions(%s, null, 'BOWDST') ", (date,))
trades = []
for row in c:
obj = row._asdict()
rename_keys(
obj,
{
"cusip": "CUSIP",
"description": "SecurityDescription",
"notional": "Position",
"price": "MarketPrice",
"local_market_value": "Local Market Value",
"usd_market_value": "Base Market Value",
},
)
try:
obj["Fx Rate"] = obj["Local Market Value"] / obj["Base Market Value"]
except ZeroDivisionError:
obj["Fx Rate"] = 1
obj["AccountNumber"] = "319478"
obj["Prime Broker"] = "BONY"
obj["COB Date"] = date
obj["Currency"] = "USD"
obj["SecurityType"] = "Bond"
positions["bond"].append(obj)
# quotes['bond']
# process_upload(trades, "bond")
def positions_future(positions, conn, date):
with conn.cursor() as c:
c.execute(
"WITH tmp AS (SELECT bbg_ticker, fund, security_desc, currency, maturity, sum(quantity * (2*buysell::int-1)) OVER (PARTITION BY bbg_ticker, fund, security_desc, currency, maturity) notional FROM futures "
"WHERE fund='BOWDST' AND trade_date <= %s) "
"SELECT bbg_ticker, notional, code AS cp_code, cash_account, security_desc, currency, maturity FROM tmp LEFT JOIN accounts USING (fund) WHERE tmp.notional != 0 AND account_type='Future';",
(date,),
)
trades = []
for row in c:
obj = row._asdict()
rename_keys(
obj,
{
"bbg_ticker": "BBGTicker",
"notional": "Quantity",
"cp_code": "Prime Broker",
"cash_account": "AccountNumber",
"security_desc": "SecurityDescription",
"currency": "Currency",
"maturity": "MaturityDate",
},
)
obj["COB Date"] = date
obj["SecurityType"] = "Futures"
positions["future"].append(obj)
# process_upload(trades, "future")
def positions_otc(positions, conn, date):
with conn.cursor() as c:
c.execute(
"SELECT trb.trade_id, trb.serenitas_clean_nav + trb.serenitas_accrued as mtm, trb.notional * trb.tranche_factor as active_notional, cds.* FROM tranche_risk_bowdst trb left join cds on trade_id=id WHERE date=%s",
(date,),
)
otc_trades = []
for row in c:
obj = row._asdict()
obj["Client Name"] = "HEDGEMARK"
obj["Fund Name"] = "BOS_PAT_BOWDOIN"
obj["Product Type"] = "Credit Index Tranche"
obj["TransactionIndicator (Buy/Sell)"] = (
"B" if obj["protection"] == "Buyer" else "S"
)
obj["MTM Currency"] = "USD"
obj["COB Date"] = date
rename_keys(
obj,
{
"dealid": "Unique Deal ID",
"cp_code": "Counterparty",
"currency": "DealCurrencyA",
"active_notional": "NotionalA",
"fixed_rate": "FixedRate",
"trade_date": "Start Date",
"effective_date": "EffectiveDate",
"maturity": "Maturity Date",
"security_id": "Underlying (ISIN / CUSP / RED CODES)",
"security_desc": "Underlying Desc",
"mtm": "MTM Valuation",
},
)
positions["otc"].append(obj)
c.execute(
"SELECT abs(spr.notional) AS active_notional, spr.serenitas_nav, swaptions.*, index_version_markit.annexdate FROM list_swaption_positions_and_risks(%s, 'BOWDST') spr LEFT JOIN swaptions ON deal_id=dealid LEFT JOIN index_version_markit ON swaptions.security_id=redindexcode;",
(date,),
)
for row in c:
obj = row._asdict()
obj["Client Name"] = "HEDGEMARK"
obj["Fund Name"] = "BOS_PAT_BOWDOIN"
obj["Product Type"] = "CD Swaption"
obj["TransactionIndicator (Buy/Sell)"] = "B" if obj["buysell"] else "S"
obj["PutCall Indicator (Call/Put)"] = (
"P" if obj["option_type"] == "PAYER" else "C"
)
obj["Exercise Type"] = "European"
obj["MTM Currency"] = "USD"
obj["COB Date"] = date
rename_keys(
obj,
{
"dealid": "Unique Deal ID",
"cp_code": "Counterparty",
"currency": "DealCurrencyA",
"active_notional": "NotionalA",
"fixed_rate": "FixedRate",
"strike": "Strike",
"annexdate": "EffectiveDate",
"trade_date": "Start Date",
"maturity": "Maturity Date",
"expiration_date": "Underlying Maturity",
"security_id": "Underlying (ISIN / CUSP / RED CODES)",
"security_desc": "Underlying Desc",
"serenitas_nav": "MTM Valuation",
},
)
positions["otc"].append(obj)
c.execute(
"SELECT abs(spr.notional) AS active_notional, spr.nav, swaptions.*, index_version_markit.effectivedate FROM list_ir_swaption_positions(%s, 'BOWDST') spr LEFT JOIN swaptions ON deal_id=dealid LEFT JOIN index_version_markit ON swaptions.security_id=redindexcode;",
(date,),
)
for row in c:
obj = row._asdict()
obj["Client Name"] = "HEDGEMARK"
obj["Fund Name"] = "BOS_PAT_BOWDOIN"
obj["Product Type"] = "Swaption"
obj["TransactionIndicator (Buy/Sell)"] = "B" if obj["buysell"] else "S"
obj["PutCall Indicator (Call/Put)"] = (
"P" if obj["option_type"] == "PAYER" else "C"
)
obj["Exercise Type"] = "European"
obj["MTM Currency"] = "USD"
obj["COB Date"] = date
rename_keys(
obj,
{
"dealid": "Unique Deal ID",
"cp_code": "Counterparty",
"currency": "DealCurrencyA",
"active_notional": "NotionalA",
"fixed_rate": "FixedRate",
"strike": "Strike",
"effectivedate": "Effective Date",
"trade_date": "Start Date",
"maturity": "Maturity Date",
"expiration_date": "Underlying Maturity",
"security_id": "Underlying (ISIN / CUSP / RED CODES)",
"security_desc": "Underlying Desc",
"nav": "MTM Valuation",
},
)
positions["otc"].append(obj)
c.execute(
"SELECT cds.*, ivm.effectivedate FROM list_cds_marks(%s, null, 'BOWDST') cds LEFT JOIN index_version_markit ivm ON security_id=redindexcode;",
(date,),
)
for row in c:
obj = row._asdict()
obj["Client Name"] = "HEDGEMARK"
obj["Fund Name"] = "BOS_PAT_BOWDOIN"
obj["Counterparty"] = "GS"
obj["Product Type"] = "Credit Index"
obj["Unique Deal ID"] = obj["security_id"]
obj["TransactionIndicator (Buy/Sell)"] = "B" if obj["notional"] > 0 else "S"
obj["DealCurrencyA"] = "EUR" if obj["index"] in ("EU", "XO") else "USD"
obj["NotionalA"] = abs(obj["notional"])
obj["Start Date"] = date
obj["MTM Currency"] = "USD"
obj["MTM Valuation"] = obj["clean_nav"] + obj["accrued"]
obj["COB Date"] = date
obj["Clearing House Name"] = "ICE"
obj["FixedRate"] = obj["coupon"] * 100
rename_keys(
obj,
{
"effectivedate": "Effective Date",
"maturity": "Maturity Date",
"security_id": "Underlying (ISIN / CUSP / RED CODES)",
"security_desc": "Underlying Desc",
},
)
positions["otc"].append(obj)
if __name__ == "__main__":
import argparse
from serenitas.utils.db import dbconn
from serenitas.analytics.bbg_helpers import init_bbg_session, retrieve_data
parser = argparse.ArgumentParser(
description="Generate position files for Bowdoin Street"
)
parser.add_argument(
"--date",
type=datetime.date.fromisoformat,
default=(datetime.date.today() - MonthEnd(1)).date(),
)
parser.add_argument(
"--product",
nargs="+",
choices=["bond", "future", "otc"],
default=["bond", "future", "otc"],
help="list of products to generate position files for",
)
parser.add_argument(
"--u",
action="store_true",
default=False,
help="uploads to globeop",
)
args = parser.parse_args()
conn = dbconn("dawndb")
positions = {"bond": [], "future": [], "otc": []}
for p in args.product:
globals()[f"positions_{p}"](positions, conn, args.date)
for asset_type, trades in positions.items():
process_upload(trades, asset_type, args.u)
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