1
2
3
4
5
6
7
8
9
10
11
12
13
14
15
16
17
18
19
20
21
22
23
24
25
26
27
28
29
30
31
32
33
34
35
36
37
38
39
40
41
42
43
44
45
46
47
48
49
50
51
52
53
54
55
56
57
58
59
60
61
62
63
64
65
66
67
68
69
70
71
72
73
74
75
76
77
78
79
80
81
82
83
84
85
86
87
88
89
90
91
92
93
94
95
96
97
98
99
100
101
102
103
104
105
106
107
108
109
110
111
112
113
114
115
116
117
118
119
120
121
122
123
124
125
126
127
128
129
130
131
132
133
134
135
136
137
138
139
140
141
142
143
144
145
146
147
148
149
150
151
152
153
154
155
156
157
158
159
160
161
162
163
164
165
166
167
168
169
170
171
172
173
174
175
176
177
178
179
180
181
182
183
184
185
186
187
188
189
190
191
192
193
194
195
196
197
198
199
200
201
202
203
204
205
206
207
208
209
|
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
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__)
place_holders = ",".join(["%s"] * len(cls.__annotations__))
columns = ",".join(c for c in cls._sql_fields)
cls._sql_insert = (
f"INSERT INTO {cls._table_name}({columns}) VALUES({place_holders})"
)
cls._sql_select = f"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"):
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
@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)
|
