small script to build buffers in python

1 files changed, 45 insertions, 0 deletions

diff --git a/unpack.py b/unpack.py
new file mode 100644
index 0000000..555e26f
--- /dev/null
+++ b/unpack.py
@@ -0,0 +1,45 @@
+from serenitas.utils.db2 import dbconn
+from lz4.block import decompress
+import datetime
+from construct import Enum, CString, Struct, Int32ul, Int32sl, Int64ul, Int64sl, Float64l, this
+
+TRatePt = Struct("fDate" / Int64sl,
+                 "fRate" / Float64l)
+TCurve = Struct("fNumItems" / Int32sl,
+                "fArray" / TRatePt[this.fNumItems],
+                "fBaseDate" / Int64sl,
+                "fBasis" / Float64l,
+                "fDayCountConv" / Int64sl)
+YieldCurve = Struct("curve" / TCurve,
+                    "n_dates" / Int64ul,
+                    "dates" / Int64sl[this.n_dates])
+CurveName = Struct("Seniority" / Enum(Int32ul, Senior=0, Subordinated=1),
+                   "DocClause" / Enum(Int32ul, XR14=0, MR14=1, MM14=2, CR14=3),
+                   "ticker" / CString("utf8"))
+
+SurvivalCurve = Struct("curve" / TCurve,
+                       "recovery" / Float64l[this.curve.fNumItems],
+                       "defaulted" / Int64sl,
+                       "name" / CurveName)
+
+NewTCurve = Struct("fNumItems" / Int32sl,
+                   "fDayCountConv" / Int32sl,
+                   "fBaseDate" / Int64sl,
+                   "fBasis" / Float64l,
+                   "fArray" / TRatePt[this.fNumItems])
+
+serenitasdb = dbconn("serenitasdb")
+with serenitasdb.cursor(binary=True) as c:
+    c.execute('SELECT curve FROM rate_curves WHERE effective_date=%s AND curve_type=%s',
+              (datetime.date(2023, 1, 9), 532))
+    (state,) = c.fetchone()
+    curve = decompress(state, 500)
+    yc = YieldCurve.parse(curve)
+    c.execute('SELECT curve FROM cds_curves WHERE date=%s AND redcode=%s',
+              (datetime.date(2023, 1, 9), 'EKFHAH'))
+    (state,) = c.fetchone()
+    curve = decompress(state, 600)
+    sc = SurvivalCurve.parse(curve)
+
+new_yc = NewTCurve.build({"fNumItems":yc.curve.fNumItems, "fDayCountConv":yc.curve.fDayCountConv, "fBaseDate":yc.curve.fBaseDate,
+                          "fBasis":yc.curve.fBasis, "fArray":yc.curve.fArray})