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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 trade_date <= %s "
"AND fund = %s ORDER BY trade_date")
params = (date, date, date, fund)
with conn.cursor() as c:
c.execute(sql_string, params)
trade_ids = [tuple(e) for e in c]
if by_strat:
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)
for t in trade_ids])
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 = Portfolio([DualCorrTranche.from_tradeid(dealid) for _, dealid in trade_ids],
trade_ids)
portf.value_date = date
portf.mark()
return portf
def insert_tranche_portfolio(portf, conn):
cols = ["clean_nav", "accrued", "duration", "delta", "gamma",
"theta", "tranche_factor", "upfront", "running",
"corr_attach", "corr_detach",
"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'] * 16)}) "
" ON CONFLICT (date, tranche_id) DO UPDATE "
f"SET {update_str}")
with conn.cursor() 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:
theta = None
c.execute(sql_str, (trade.value_date,
trade_id,
trade.clean_pv,
-trade._accrued * trade.notional,
trade.duration,
trade.delta,
trade.gamma,
theta,
trade.tranche_factor,
trade.upfront,
trade.tranche_running,
trade.rho[0],
trade.rho[1],
100 - float(trade._index.pv()) * 100,
trade._index._snacspread(trade._index.coupon(),
trade._index.recovery,
trade.maturity) * 10000,
float(trade._index.duration()))
)
conn.commit()
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