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import datetime
import csv
from io import StringIO
from serenitas.utils.misc import rename_keys
from serenitas.utils.remote import SftpClient
from serenitas.utils.env import DAILY_DIR
from pandas.tseries.offsets import MonthEnd
from serenitas.utils.exchange import ExchangeMessage, FileAttachment
from csv_headers.globeop_upload import POSITION_HEADERS
from serenitas.analytics.dates import prev_business_day
_otc_queries = {
"Tranche": "SELECT trb.trade_id, trb.serenitas_clean_nav + trb.serenitas_accrued as mtm, trb.notional * trb.tranche_factor as active_notional, cds.*, COALESCE(nextredindexcode, security_id) AS redindexcode FROM tranche_risk_bowdst trb left join cds on trade_id=id LEFT JOIN index_version_markit ivm ON security_id=redindexcode WHERE date=%s;",
"CDXSwaption": "SELECT abs(spr.notional) AS active_notional, spr.serenitas_nav as 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;",
"IRSwaption": "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;",
"CDX": "SELECT cds.*, ivm.effectivedate FROM list_cds_marks(%s, null, 'BOWDST') cds LEFT JOIN index_version_markit ivm ON security_id=redindexcode;",
}
def build_line(obj, asset_type):
return [obj.get(h, None) for h in POSITION_HEADERS[asset_type]]
def process_upload(positions, upload):
attachments = []
if upload:
sftp = SftpClient.from_creds("hm_globeop", folder="incoming")
for asset_type, trades in positions.items():
buf = StringIO()
csvwriter = csv.writer(buf)
csvwriter.writerow(POSITION_HEADERS[asset_type])
csvwriter.writerows(build_line(trade, asset_type) for trade in trades)
buf = buf.getvalue().encode()
timestamp = datetime.datetime.now()
fname = f"HEDGEMARK.POSITION.BOS_PAT_BOWDOIN.{timestamp:%Y%m%d.%H%M%S}.{asset_type.capitalize()}Deal.PositionsAsOf{args.date}.csv"
if upload:
sftp.put(buf, fname)
base_dir = DAILY_DIR / f"{timestamp:%Y-%m-%d}"
base_dir.mkdir(exist_ok=True, parents=True)
dest = base_dir / fname
dest.write_bytes(buf)
attachments.append(FileAttachment(name=fname, content=buf))
if upload:
em = ExchangeMessage()
recipients = (
"hm-operations@bnymellon.com",
"hedgemark.lmcg.ops@sscinc.com",
"Hedgemark.OTC@sscinc.com",
"catherine.porter@bnymellon.com",
"shkumar@sscinc.com",
)
cc_recipients = ("bowdoin-ops@lmcg.com",)
subject = f"Position_files for Bowdoin Street as of {args.date}"
body = f"Please see monthend positions for Bowdoin Street as of {args.date}. They have been uploaded to the SFTP as well."
em.send_email(
subject, body, recipients, cc_recipients=cc_recipients, attach=attachments
)
def positions_bond(conn, date):
with conn.cursor() as c:
c.execute("SELECT * FROM risk_positions(%s, null, 'BOWDST') ", (date,))
for row in c:
obj = row._asdict()
rename_keys(
obj,
{
"identifier": "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"
obj["CurrentFace"] = obj["Position"] * obj["factor"]
yield obj
def positions_future(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,),
)
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"
yield obj
def _otc_serialize(obj, product_type, 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",
"strike": "Strike",
"annexdate": "EffectiveDate",
"expiration_date": "Underlying Maturity",
"nav": "MTM Valuation",
},
)
data = {
"Client Name": "HEDGEMARK",
"Fund Name": "BOS_PAT_BOWDOIN",
"Product Type": "Credit Index Tranche",
"MTM Currency": "USD",
"COB Date": date,
}
obj.update(data)
if product_type == "Tranche":
obj["Underlying (ISIN / CUSP / RED CODES)"] = obj["redindexcode"]
obj["Product Type"] = "Credit Index Tranche"
obj["TransactionIndicator (Buy/Sell)"] = (
"B" if obj["protection"] == "Buyer" else "S"
)
elif product_type in ("CDXSwaption", "IRSwaption"):
obj["Product Type"] = (
"CD Swaption" if product_type == "CDXSwaption" else "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"
elif product_type == "CDX":
obj["Product Type"] = "Credit Index"
obj["Counterparty"] = "GS"
obj["Unique Deal ID"] = obj[
"Underlying (ISIN / CUSP / RED CODES)"
] # Different from rest, we will override
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["factor"]
obj["Start Date"] = date
obj["MTM Valuation"] = obj["clean_nav"] + obj["accrued"]
obj["Clearing House Name"] = "ICE"
obj["FixedRate"] = obj["coupon"] * 100
obj["Effective Date"] = obj["effectivedate"]
return obj
def positions_otc(conn, date):
with conn.cursor() as c:
for product_type, sql_query in _otc_queries.items():
c.execute(sql_query, (date,))
for row in c:
yield _otc_serialize(row._asdict(), product_type, date)
if __name__ == "__main__":
import argparse
from serenitas.utils.db import dbconn
parser = argparse.ArgumentParser(
description="Generate position files for Bowdoin Street"
)
parser.add_argument(
"date",
nargs="?",
type=datetime.date.fromisoformat,
default=prev_business_day((datetime.date.today().replace(day=1))),
)
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(
"--no-upload",
"-n",
action="store_true",
default=False,
help="uploads to globeop",
)
args = parser.parse_args()
conn = dbconn("dawndb")
positions = {
p: list(globals()[f"positions_{p}"](conn, args.date)) for p in args.product
}
if (
not prev_business_day(datetime.date.today()) == args.date and not args.no_upload
): # We only want to upload if the previous business day was monthend
pass
else:
process_upload(positions, not args.no_upload)
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