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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
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")
_sql_fields: ClassVar[list[str]] = []
_sql_insert: ClassVar[str] = ""
_sql_select: ClassVar[str] = ""
_insert_queue: ClassVar[list] = []
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):
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):
faceamount: float
price: float()
cp_code: str
cusip: str
isin: str
identifier: str
trade_date: datetime.date = field(default_factory=datetime.date.today())
settle_date: datetime.date = field(
default_factory=lambda: next_business_day(datetime.date.today())
)
buysell: bool
description: str
folder: BondStrat = field(default=None)
portfolio: Portfolio = field(default=None)
asset_class: AssetClass = field(default=None)
CDSDeal._sql_fields = [f.name for f in fields(CDSDeal)]
place_holders = ",".join(["%s"] * len(fields(CDSDeal)))
columns = ",".join(c for c in CDSDeal._sql_fields)
CDSDeal._sql_insert = f"INSERT INTO cds({columns}) VALUES({place_holders})"
CDSDeal._sql_select = f"SELECT {columns} FROM cds WHERE id=%s"
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