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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 serenitas.analytics.dates import prev_business_day
def process_upload(trades, upload):
buf = StringIO()
csvwriter = csv.writer(buf)
csvwriter.writerow(ISOSEL_HEADERS)
csvwriter.writerows(build_line(trade) for trade in trades)
buf = buf.getvalue().encode()
fname = f"Innocap_ISOSEL_positions_{args.date}.csv"
if upload:
innocap_sftp = SftpClient.from_creds("innocap", folder="Innocap")
innocap_sftp.put(buf, fname)
citco_sftp = SftpClient.from_creds("citco", folder="incoming")
citco_sftp.put(buf, fname)
base_dir = DAILY_DIR / str(datetime.date.today())
base_dir.mkdir(exist_ok=True, parents=True)
dest = base_dir / fname
dest.write_bytes(buf)
return fname, buf
def build_line(obj):
return [obj.get(h, None) for h in ISOSEL_HEADERS]
ISOSEL_HEADERS = [
"Client Name",
"Fund Name",
"Counterparty",
"AccountNumber",
"COB Date",
"SecurityDescription",
"Prime Broker",
"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",
"MarketPrice",
"COB Date",
"Clearing House Name",
]
_sql_query = {
"bond": "SELECT * FROM risk_positions(%s, null, 'ISOSEL') ",
"future": (
"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='ISOSEL' 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';"
),
"tranche": "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_isosel trb left join cds on trade_id=id WHERE date=%s",
"cdx_swaption": "SELECT abs(spr.notional) AS active_notional, spr.serenitas_nav, swaptions.*, index_version_markit.annexdate FROM list_swaption_positions_and_risks(%s, 'ISOSEL') spr LEFT JOIN swaptions ON deal_id=dealid LEFT JOIN index_version_markit ON swaptions.security_id=redindexcode;",
"ir_swaption": "SELECT abs(spr.notional) AS active_notional, spr.nav as serenitas_nav, swaptions.*, index_version_markit.effectivedate FROM list_ir_swaption_positions(%s, 'ISOSEL') 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, 'ISOSEL') cds LEFT JOIN index_version_markit ivm ON security_id=redindexcode;",
}
def _base_attrs(asset_class, date, obj):
obj["Client Name"] = "INNOCAP"
obj["Fund Name"] = "ISOSEL"
obj["COB Date"] = date
obj["Product Type"] = asset_class
obj["MTM Currency"] = "USD"
match asset_class:
case "bond":
rename_keys(
obj,
{
"identifier": "Underlying (ISIN / CUSP / RED CODES)",
"description": "SecurityDescription",
"notional": "NotionalA",
"price": "MarketPrice",
"local_market_value": "Local Market Value",
"usd_market_value": "MTM Valuation",
},
)
obj["Account Number"] = "NT"
obj["Prime Broker"] = "NT"
obj["DealCurrencyA"] = "USD"
case "future":
rename_keys(
obj,
{
"bbg_ticker": "Underlying (ISIN / CUSP / RED CODES)",
"notional": "NotionalA",
"cp_code": "Prime Broker",
"cash_account": "AccountNumber",
"security_desc": "SecurityDescription",
"currency": "DealCurrencyA",
"maturity": "MaturityDate",
},
)
case "tranche":
obj["TransactionIndicator (Buy/Sell)"] = (
"B" if obj["protection"] == "Buyer" else "S"
)
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",
},
)
case "ir_swaption" | "cdx_swaption":
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",
},
)
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"
case "cdx":
obj["Counterparty"] = "BOA_FC"
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["factor"]
obj["Start Date"] = date
obj["MTM Valuation"] = obj["clean_nav"] + obj["accrued"]
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",
},
)
return obj
def main(conn, date, upload):
trades = []
with conn.cursor() as c:
for asset_class in (
"bond",
"future",
"tranche",
"cdx_swaption",
"ir_swaption",
"cdx",
):
c.execute(_sql_query[asset_class], (date,))
for row in c:
obj = row._asdict()
obj = _base_attrs(asset_class, date, obj)
trades.append(obj)
process_upload(trades, upload=True)
if __name__ == "__main__":
import argparse
from serenitas.utils.db import dbconn
parser = argparse.ArgumentParser(
description="Generate position files for ISOSEL Street"
)
parser.add_argument(
"date",
nargs="?",
type=datetime.date.fromisoformat,
default=prev_business_day(datetime.date.today()),
)
parser.add_argument(
"--no-upload",
"-n",
action="store_true",
default=False,
help="uploads to citco and innocap",
)
args = parser.parse_args()
conn = dbconn("dawndb")
main(conn, args.date, not args.no_upload)
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