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from dataclasses import dataclass, field, fields
from typing import ClassVar
from decimal import Decimal
from typing import Literal
import datetime
from enum import Enum
from psycopg2.extensions import register_adapter, AsIs
from serenitas.analytics.dates import next_business_day, previous_twentieth
from serenitas.analytics.index import CreditIndex
from serenitas.utils.db import dbconn
from process_queue import rename_keys
Fund = Literal["SERCGMAST", "BRINKER", "BOWDST"]
Portfolio = Literal[
"OPTIONS", "IR", "MORTGAGES", "CURVE", "TRANCHE", "CLO", "HEDGE_MAC"
] # deprecated IG, HY, STRUCTURED
class BusDayConvention(str, Enum):
modified_following = "Modified Following"
following = "Following"
modified_preceding = "Modified Preceding"
second_day_after = "Second-Day-After"
end_of_month = "End-of-Month"
DayCount = Literal["ACT/360", "ACT/ACT", "30/360", "ACT/365"]
IsdaDoc = Literal["ISDA2014", "ISDA2003Cred"]
class Frequency(Enum):
Quarterly = 4
Monthly = 12
Ccy = Literal["USD", "CAD", "EUR", "YEN"]
SwapType = Literal[
"CD_INDEX", "CD_INDEX_TRANCHE", "CD_BASKET_TRANCHE", "ABS_CDS", "BESPOKE"
]
ClearingFacility = Literal["ICE-CREDIT", "NOT CLEARED"]
CdsStrat = Literal[
"HEDGE_CSO",
"HEDGE_CLO",
"HEDGE_MAC",
"HEDGE_MBS",
"SER_IGSNR",
"SER_IGMEZ",
"SER_IGEQY",
"SER_IGINX",
"SER_HYSNR",
"SER_HYMEZ",
"SER_HYEQY",
"SER_HYINX",
"SER_HYCURVE",
"SER_IGCURVE",
"SER_ITRXCURVE",
"XCURVE",
"MBSCDS",
"IGOPTDEL",
"HYOPTDEL",
"HYEQY",
"HYMEZ",
"HYSNR",
"HYINX",
"IGEQY",
"IGMEZ",
"IGSNR",
"IGINX",
"XOEQY",
"XOMEZ",
"XOINX",
"EUEQY",
"EUMEZ",
"EUSNR",
"EUINX",
"BSPK",
"*",
]
BondStrat = Literal[
"M_STR_MAV",
"M_STR_MEZZ",
"CSO_TRANCH",
"M_CLO_BB20",
"M_CLO_AAA",
"M_CLO_BBB",
"M_MTG_IO",
"M_MTG_THRU",
"M_MTG_GOOD",
"M_MTG_B4PR",
"M_MTG_RW",
"M_MTG_FP",
"M_MTG_LMG",
"M_MTG_SD",
"M_MTG_PR",
"M_MTG_CRT_SD",
"CRT_LD",
"CRT_LD_JNR",
"CRT_SD",
"IGNORE",
"MTG_REPO",
]
AssetClass = Literal["CSO", "Subprime", "CLO", "CRT"]
@dataclass
class Counterparty:
name: str
register_adapter(Frequency, lambda f: AsIs(f.value))
class Deal:
_conn: ClassVar = dbconn("dawndb", application_name="autobooker")
_table_name: None
_sql_fields: ClassVar[list[str]]
_sql_insert: ClassVar[str]
_sql_select: ClassVar[str]
_insert_queue: ClassVar[list] = []
def __init_subclass__(cls, table_name: str):
super().__init_subclass__()
cls._table_name = table_name
cls._sql_fields = list(cls.__annotations__)
_sql_insert_fields = list(
c for c in cls.__annotations__ if c not in ("id", "dealid")
)
insert_place_holders = ",".join(["%s"] * len(_sql_insert_fields))
insert_columns = ",".join(c for c in _sql_insert_fields)
select_columns = ",".join(c for c in cls._sql_fields)
cls._sql_insert = f"INSERT INTO {cls._table_name}({insert_columns}) VALUES({insert_place_holders})"
cls._sql_select = f"SELECT {select_columns} FROM {cls._table_name} WHERE id=%s"
def stage(self):
self._insert_queue.append([getattr(self, f) for f in self._sql_fields])
@classmethod
def commit(cls):
with cls._conn.cursor() as c:
c.executemany(cls._sql_insert, cls._insert_queue)
cls._conn.commit()
cls._insert_queue.clear()
@classmethod
def from_tradeid(cls, trade_id: int):
with cls._conn.cursor() as c:
c.execute(cls._sql_select, (trade_id,))
r = c.fetchone()
return cls(*r)
@dataclass
class CDSDeal(Deal, table_name="cds"):
id: field(default=None)
dealid: field(default=None)
initial_margin_percentage: field(default=None)
fund: Fund
account_code: str
cp_code: str
security_id: str
security_desc: str
maturity: datetime.date
currency: Ccy
protection: Literal["Buy", "Sell"]
notional: float
fixed_rate: float
upfront: float
traded_level: Decimal
effective_date: datetime.date = field(default=None)
portfolio: Portfolio = field(default=None)
folder: CdsStrat = field(default=None)
payment_rolldate: BusDayConvention = BusDayConvention.following
day_count: DayCount = "ACT/360"
frequency: Frequency = Frequency.Quarterly
trade_date: datetime.date = field(default_factory=datetime.date.today())
upfront_settle_date: datetime.date = field(
default_factory=lambda: next_business_day(datetime.date.today())
)
swap_type: SwapType = "CD_INDEX"
clearing_facility: ClearingFacility = "ICE-CREDIT"
isda_definition: IsdaDoc = "ISDA2014"
def __post_init__(self):
self.effective_date = previous_twentieth(self.trade_date)
def credit_index(self):
index = CreditIndex(
redcode=self.security_id,
maturity=self.maturity,
notional=self.notional,
value_date=self.trade_date,
)
index.direction = self.protection
def to_markit(self):
obj = self.__dict__
rename_keys(
obj,
{
"dealid": "Swap ID",
"cp_code": "Broker Id",
"trade_date": "Trade Date",
"effective_date": "Effective Date",
"maturity": "Maturity Date",
"notional": "1st Leg Notional",
"fixed_rate": "1st Leg Rate",
"upfront": "Initial Payment",
"security_id": "RED",
"orig_attach": "Attachment Point",
"orig_detach": "Exhaustion Point",
"currency": "Currency Code",
"upfront_settle_date": "First Payment Date",
"cp_code": "Broker Id",
"fund": "Account Abbreviation",
},
)
if obj["Initial Payment"] >= 0:
obj["Transaction Code"] = "Receive"
else:
obj["Initial Payment"] = abs(round(obj["Initial Payment"], 2))
obj["Transaction Code"] = "Pay"
obj["Trade ID"] = obj["Swap ID"]
obj["Product Type"] = "TRN"
obj["Transaction Type"] = "NEW"
obj["Protection"] = "Buy" if obj["protection"] == "Buyer" else "Sell"
obj["Entity Matrix"] = "Publisher"
obj["Definitions Type"] = "ISDA2014Credit"
obj["Independent Amount (%)"] = obj["initial_margin_percentage"]
if "ITRX" in obj["security_desc"]:
obj["Include Contractual Supplement"] = "Y"
obj["Contractual Supplement"] = "StandardiTraxxEuropeTranche"
return obj
@dataclass
class BondDeal(Deal, table_name="bonds"):
buysell: bool
description: str
faceamount: float
price: float
cp_code: str
cusip: str = None
isin: str = None
identifier: str = None
trade_date: datetime.date = field(default_factory=datetime.date.today())
settle_date: datetime.date = field(
default_factory=lambda: next_business_day(datetime.date.today())
)
folder: BondStrat = field(default=None)
portfolio: Portfolio = field(default=None)
asset_class: AssetClass = field(default=None)
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