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from serenitas.utils.db import dbconn
from serenitas.utils.env import DAILY_DIR
from headers import get_headers
from process_queue import get_filepath
import datetime
import csv
from io import StringIO
def rename_keys(d, mapping):
"""rename keys in dictionary according to mapping dict inplace"""
for k, v in mapping.items():
if k in d:
d[v] = d.pop(k)
def process_upload(trades):
buf = StringIO()
csvwriter = csv.writer(buf)
headers = get_headers("wire", "BOWDST")
csvwriter.writerow(headers)
csvwriter.writerows(trades)
buf = buf.getvalue().encode()
dest = get_filepath(DAILY_DIR, "wire", "BOWDST")
dest.parent.mkdir(exist_ok=True)
dest.write_bytes(buf)
CASH_STRATEGY_MAPPING = {
"COCSH": ["IGREC", "IGPAYER", "HYPAYER", "HYREC", "HYOPTDEL", "IGOPTDEL"],
"IRDEVCSH": ["DV01", "STEEP", "FLAT"],
"TCSH": [
"IGMEZ",
"IGSNR",
"IGEQY",
"HYMEZ",
"HYEQY",
"HYSNR",
"BSPK",
"XOMEZ",
"XOEQY",
"IGINX",
"HYINX",
"XOINX",
"EUMEZ",
"EUINX",
],
"MBSCDSCSH": [
"HEDGE_MBS",
"MBSCDS",
],
"M_CSH_CASH": [
"CRT_LD",
"CRT_LD_JNR",
"CRT_SD",
"MTG_FP",
"MTG_LMG",
],
"MACCDSCSH": ["HEDGE_MAC", "CASH_BASIS"],
"CVECSH": ["ITRXCURVE", "IGCURVE", "HYCURVE", "XCURVE"],
"CLOCDSCSH": ["HEDGE_CLO", "CLO_BB20"],
}
STRATEGY_CASH_MAPPING = {e: k for k, v in CASH_STRATEGY_MAPPING.items() for e in v}
wire_headers = get_headers("wire", "BOWDST")
dawndb = dbconn("dawndb")
with dawndb.cursor() as c, dawndb.cursor() as d:
date = datetime.date(2022, 5, 19)
c.execute(
"SELECT vr.*, accounts2.custodian, accounts2.cp_code, pfm.folder AS dirty_strat FROM (SELECT sum(endqty) AS endqty, port, strat, custacctname, invid FROM valuation_reports v WHERE periodenddate ='2022-05-19' AND fund='BOWDST' AND invid IN ('USD', 'EUR') AND port NOT IN ('GFS_HELPER_BUSINESS_UNIT', 'CASH') GROUP BY (port, strat,custacctname, invid) HAVING sum(endqty) !=0) vr LEFT JOIN accounts2 ON custacctname=cash_account LEFT JOIN portfolio_folder_mapping pfm ON vr.strat::text=pfm.clean_folder where pfm.folder is not NULL;",
(date,),
)
trades = []
for row in c:
if row.strat not in CASH_STRATEGY_MAPPING.keys():
d.execute(
"INSERT INTO strat_cash_realloc (portfolio, folder, trade_date, amount, currency, fund, cash_account) VALUES (%s, %s, %s, %s, %s, %s, %s) RETURNING dealid",
(
row.port,
row.strat,
date,
row.endqty,
row.invid,
"BOWDST",
row.custacctname,
),
)
(dealid,) = d.fetchone()
obj = row._asdict()
rename_keys(
obj,
{
"invid": "Currency",
"custacctname": "Cash Account",
"custodian": "Custodian",
"cp_code": "Counterparty",
"dirty_strat": "Folder",
},
)
obj["Deal Type"] = "CashFlowDeal"
obj["Deal Id"] = dealid
obj["Action"] = "NEW"
obj["Client"] = "HEDGEMARK"
obj["Fund"] = "BOS_PAT_BOWDOIN"
obj["State"] = "Valid"
obj["Trade Date"] = date
obj["Settlement Date"] = date
obj["Transaction Type"] = "Transfer"
obj["Instrument Type"] = "Cashflow"
obj["Amount"] = -obj["endqty"]
offset = obj.copy()
# create second leg
offset["Deal Id"] = obj["Deal Id"] + "_O"
offset["Amount"] = -obj["Amount"]
offset["Folder"] = STRATEGY_CASH_MAPPING[obj["Folder"]]
trades.append([obj.get(h, None) for h in wire_headers])
trades.append([offset.get(h, None) for h in wire_headers])
dawndb.commit()
if trades:
process_upload(trades)
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