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import numpy as np
from pyisda.date import cds_accrued
from serenitas.analytics.api import Portfolio, DualCorrTranche
from serenitas.analytics.dates import prev_business_day
from serenitas.analytics.utils import get_fx
import logging
logger = logging.getLogger(__name__)
def get_tranche_portfolio(date, conn, by_strat=False, funds=("SERCGMAST",), **kwargs):
if by_strat:
sql_string = "SELECT * FROM list_tranche_positions_by_strat(%s, %s)"
else:
sql_string = (
f"SELECT * FROM list_cds(%s, {','.join(['%s'] * len(funds))}) "
"WHERE orig_attach IS NOT NULL "
"ORDER BY security_desc, attach"
)
with conn.cursor() as c:
c.execute(sql_string, (date, *funds))
trade_ids = list(c)
portf = Portfolio(
[
DualCorrTranche(
redcode=t.security_id,
maturity=t.maturity,
notional=t.notional,
tranche_running=t.fixed_rate * 100,
attach=t.orig_attach,
detach=t.orig_detach,
corr_attach=None,
corr_detach=None,
value_date=t.trade_date,
trade_id=t.id,
)
for t in trade_ids
]
)
if by_strat:
portf.trade_ids = [
(tid.folder, f"{t.index_type} {t.series} {t.tenor} {t.attach}-{t.detach}")
for tid, t in zip(trade_ids, portf.trades)
]
else:
portf.trade_ids = [(t.folder, t.id) for t in trade_ids]
portf.value_date = date
portf.mark(**kwargs)
return portf
def insert_tranche_pnl_explain(portf, conn):
value_date = portf.value_date
prev_day = prev_business_day(value_date)
with conn.cursor(binary=True) as c:
c.execute("SELECT * FROM tranche_risk WHERE date=%s", (prev_day,))
prev_day_risk = {rec.tranche_id: rec for rec in c}
c.execute(
"SELECT cds.id, cds.upfront, cds_delta.upfront AS delta_upfront, "
"cds_delta.notional * (CASE WHEN cds_delta.protection='Buy' THEN -1.0 ELSE 1.0 END) AS notional, "
"cds.currency::text FROM cds "
" LEFT JOIN cds AS cds_delta ON cds_delta.id=cds.delta_id "
"WHERE cds.trade_date=%s",
(value_date,),
)
daily_trades = {rec.id: rec for rec in c}
c.execute(
"SELECT terminations.dealid, termination_amount, termination_fee, terminations.currency::text, "
"cds.notional * delta_alloc * (CASE WHEN cds.protection='Buy' THEN -1.0 ELSE 1.0 END) AS notional, "
"cds.upfront * delta_alloc AS delta_upfront "
"FROM terminations LEFT JOIN cds ON cds.id=terminations.delta_id "
"WHERE deal_type='CDS' AND termination_date=%s",
(value_date,),
)
terminations = {int(rec.dealid.removeprefix("SCCDS")): rec for rec in c}
current_trades = {trade_id: trade for (strat, trade_id), trade in portf.items()}
all_ids = current_trades.keys() | prev_day_risk.keys()
to_insert = []
for trade_id in all_ids:
pnl = 0.0
fx_pnl = 0.0
corr_pnl = 0.0
if trade_id in daily_trades:
trade = daily_trades[trade_id]
pnl = trade.upfront * get_fx(value_date, trade.currency)
if trade_id in terminations:
term = terminations[trade_id]
pnl += term.termination_fee * get_fx(value_date, term.currency)
fx_pnl += term.termination_fee * (
get_fx(value_date, term.currency) - get_fx(prev_day, term.currency)
)
if trade_id not in current_trades:
previous_risk = prev_day_risk[trade_id]
pnl = pnl - (previous_risk.clean_nav + previous_risk.accrued)
dirty_index_pv = (
1
- previous_risk.index_refprice * 0.01
- cds_accrued(prev_day, previous_risk.running * 1e-4)
)
if (
term.delta_upfront
): # if None means either no delta or we didn't populate
delta_pnl = (
term.delta_upfront
- term.notional * dirty_index_pv * previous_risk.index_factor
)
else:
delta_pnl = 0.0
else:
trade = current_trades[trade_id]
if trade_id in prev_day_risk:
previous_risk = prev_day_risk[trade_id]
pnl += trade.pv * get_fx(value_date, trade.currency) - (
previous_risk.clean_nav + previous_risk.accrued
)
fx_pnl = trade.pv * (
get_fx(value_date, trade.currency)
- get_fx(prev_day, trade.currency)
)
delta_pnl = (
previous_risk.delta
* previous_risk.index_factor
* previous_risk.notional
* (
float(trade._index.pv())
* get_fx(value_date, trade.currency)
- (1 - previous_risk.index_refprice * 0.01)
* get_fx(prev_day, trade.currency)
)
)
prev_rho = np.array(
[previous_risk.corr_attach, previous_risk.corr_detach]
)
rho = trade.rho
corr_pnl = np.nansum((rho - prev_rho) * previous_risk.corr01_vec)
else:
fx_pnl = 0.0
day_trade = daily_trades[trade_id]
dirty_index_pv = float(trade._index.pv() - trade._index.accrued())
if day_trade.notional:
delta_pnl = (
day_trade.notional * dirty_index_pv * trade._index.factor
- day_trade.delta_upfront
)
else: # if None means either no delta or we didn't populate
delta_pnl = 0
pnl += trade.pv * get_fx(value_date, trade.currency)
unexplained = pnl - delta_pnl - fx_pnl
to_insert.append(
(value_date, trade_id, pnl, fx_pnl, delta_pnl, corr_pnl, unexplained)
)
c.executemany(
"INSERT INTO tranche_pnl_explain(date, tranche_id, pnl, fx_pnl, delta_pnl, corr_pnl, unexplained) "
"VALUES (%s, %s, %s, %s, %s, %s, %s)",
to_insert,
)
conn.commit()
def insert_tranche_risk(portf, conn):
cols = [
"date",
"tranche_id",
"notional",
"clean_nav",
"accrued",
"duration",
"delta",
"gamma",
"theta",
"theta_amount",
"corr01_vec",
"tranche_factor",
"upfront",
"running",
"corr_attach",
"corr_detach",
"index_refprice",
"index_refspread",
"index_duration",
"hy_equiv",
"ir_dv01",
"index_factor",
]
update_str = ",".join(f"{c} = EXCLUDED.{c}" for c in cols[2:])
sql_str = (
f"INSERT INTO tranche_risk({','.join(cols)}) "
f"VALUES({','.join(['%s'] * len(cols))}) "
" ON CONFLICT (date, tranche_id) DO UPDATE "
f"SET {update_str}"
)
with conn.cursor(binary=True) as c:
for (strat, trade_id), trade in portf.items():
logger.info(f"marking tranche {trade_id} in {strat}")
try:
theta = trade.theta(method="TLP")
except (ValueError, RuntimeError) as e:
# when there is less than one year left we computed the theta to maturity
logger.info(str(e))
theta = (
trade.clean_pv
/ trade.notional
/ trade.tranche_factor
/ trade._index._fx
+ trade.tranche_running * 1e-4 * trade.duration
)
c.execute(
sql_str,
(
trade.value_date,
trade_id,
trade.notional,
trade.clean_pv,
trade.accrued,
trade.duration,
trade.delta,
trade.gamma,
theta,
-theta * trade.notional * trade.tranche_factor * trade._index._fx,
trade.corr01,
trade.tranche_factor,
trade.upfront,
trade.tranche_running,
trade.rho[0],
trade.rho[1],
100 * (1 - float(trade._index.pv())),
trade._index._snacspread(
trade._index.coupon(), trade._index.recovery, trade.maturity
)
* 10000,
float(trade._index.duration()),
trade.hy_equiv,
trade.IRDV01,
trade._index.factor,
),
)
conn.commit()
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