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import logging
from analytics import Portfolio, BlackSwaption, DataError
from psycopg2 import sql
logger = logging.getLogger(__name__)
def get_swaption_portfolio(date, conn, **kwargs):
with conn.cursor() as c:
c.execute("SELECT id, dealid FROM swaptions "
"WHERE (termination_date is NULL or termination_date > %s) "
"AND expiration_date > %s AND trade_date <= %s "
"AND swap_type='CD_INDEX_OPTION'", (date, date, date))
try:
trade_ids, deal_ids = zip(*c)
except ValueError:
return {}
portf = Portfolio([BlackSwaption.from_tradeid(t) for t in trade_ids],
trade_ids=deal_ids)
portf.value_date = date
portf.mark(interp_method='bivariate_linear', **kwargs)
return portf
def insert_swaption_portfolio(portf, conn, overwrite=True):
columns = ["market_value", "delta", "gamma", "vega", "theta"]
place_holders = sql.SQL(", ").join([sql.Placeholder()] * 7)
if overwrite:
update_str = (sql.SQL("DO UPDATE SET {}").
format(sql.SQL(", ").
join(sql.SQL("{} = excluded.{}").
format(sql.Identifier(col), sql.Identifier(col))
for col in columns)))
else:
update_str = sql.SQL("DO NOTHING")
sql_str = (sql.SQL("INSERT INTO swaption_marks VALUES({}) "
"ON CONFLICT (dealid, date) {} ").
format(place_holders, update_str))
with conn.cursor() as c:
for id, trade in portf.items():
to_insert = (id, trade.value_date, trade.pv, trade.delta,
trade.gamma, trade.vega, trade.theta)
try:
c.execute(sql_str, to_insert)
except DataError as e:
logger.error(e)
finally:
logger.info("succesfully marked trade id: %s", id)
conn.commit()
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