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from analytics import Portfolio, DualCorrTranche
import logging
logger = logging.getLogger(__name__)
def get_tranche_portfolio(date, conn, by_strat=False, fund="SERCGMAST"):
if by_strat:
sql_string = "SELECT * from list_tranche_positions_by_strat(%s, %s)"
params = (date, fund)
else:
sql_string = ("SELECT folder, id from cds "
"WHERE orig_attach IS NOT NULL "
"AND (termination_date IS NULL OR termination_date > %s) "
"AND maturity > %s AND fund = %s ORDER BY trade_date")
params = (date, date, fund)
with conn.cursor() as c:
c.execute(sql_string, params)
trade_ids = list(c)
if by_strat:
portf = Portfolio([DualCorrTranche(redcode=d['security_id'],
maturity=d['maturity'],
notional=d['notional'],
tranche_running=d['fixed_rate']*100,
attach=d['orig_attach'],
detach=d['orig_detach'],
corr_attach=None, corr_detach=None)
for d in trade_ids])
portf.trade_ids = [(d["folder"],
f"{t.index_type} {t.series} {t.tenor} {t.attach}-{t.detach}")
for d, t in zip(trade_ids, portf.trades)]
else:
portf = Portfolio([DualCorrTranche.from_tradeid(dealid) for _, dealid in trade_ids],
trade_ids)
portf.value_date = date
portf.mark()
return portf
def insert_tranche_marks(portf, conn):
cols = ["clean_nav", "accrued", "theta", "duration", "delta",
"upfront", "running", "index_refprice", "index_refspread",
"index_duration"]
update_str = ",".join(f"{c} = EXCLUDED.{c}" for c in cols)
sql_str = (f"INSERT INTO tranche_risk VALUES({','.join(['%s'] * 12)}) "
" ON CONFLICT (date, tranche_id) DO UPDATE "
f"SET {update_str}")
with conn.cursor() as c:
for trade_id, trade in portf.items():
c.execute(sql_str, (trade.value_date,
trade_id,
trade.clean_pv,
-trade._accrued * trade.notional,
None,
trade.duration,
trade.delta,
trade.upfront,
trade.tranche_running,
100 - float(trade._index.pv()) * 100,
trade._index._snacspread(trade._index.coupon(),
trade._index.recovery,
trade._index.maturities[0]) * 10000,
float(trade._index.duration()))
)
conn.commit()
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