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import logging
from analytics import Portfolio, BlackSwaption
from db import DataError
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):
sql_str = "INSERT INTO swaption_marks VALUES(%s, %s, %s, %s, %s, %s, %s)"
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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