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import serenitas.analytics
import argparse
import datetime
from serenitas.utils.db import dbconn, dbengine
from .bonds import subprime_risk, clo_risk, crt_risk, insert_subprime_risk
from serenitas.analytics import init_ontr
from serenitas.analytics.dates import prev_business_day
from .indices import insert_curve_risk
from .swaptions import get_swaption_portfolio, insert_swaption_portfolio
from .tranches import get_tranche_portfolio, insert_tranche_portfolio
parser = argparse.ArgumentParser()
parser.add_argument(
"cob",
nargs="?",
type=datetime.date.fromisoformat,
default=prev_business_day(datetime.date.today()),
help="close of business date",
)
args = parser.parse_args()
workdate = args.cob
init_ontr(workdate)
serenitas.analytics._include_todays_cashflows = True
serenitas.analytics._local = False
mysql_engine = dbengine("rmbs_model")
mysqlcrt_engine = dbengine("crt")
with dbconn("dawndb") as conn:
for fund in ("SERCGMAST", "BOWDST", "BRINKER"):
portf = get_swaption_portfolio(workdate, conn, source_list=["MS"], fund=fund)
insert_swaption_portfolio(portf, conn)
portf = get_tranche_portfolio(workdate, conn, fund=fund)
insert_tranche_portfolio(portf, conn)
insert_curve_risk(
workdate,
conn,
fund,
("SER_IGCURVE", "SER_ITRXCURVE", "XCURVE", "SER_HYCURVE"),
)
with dbconn("etdb") as etconn, dbconn("dawndb") as dawnconn:
subprime = subprime_risk(workdate, dawnconn, mysql_engine)
insert_subprime_risk(subprime, dawnconn)
clo = clo_risk(workdate, dawnconn, etconn)
crt = crt_risk(workdate, dawnconn, mysqlcrt_engine)
# portf = get_rmbs_portfolio(workdate, conn)
# crt_portf = portf[portf.strategy.str.contains("CRT")]
# subprime_portf = portf[~portf.strategy.str.contains("CRT")]
# subprime_portf_zero = subprime_portf[subprime_portf.identifier.str.endswith("_A")]
# subprime_portf = subprime_portf[~subprime_portf.identifier.str.endswith("_A")]
# df = subprime_risk(workdate)
# subprime_portf = subprime_portf.join(df)
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