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c66935d51e
* refactor openbb-cftc for v5 * add SHIBOR to fixings --------- Co-authored-by: deeleeramone <>
96 lines
2.6 KiB
Python
96 lines
2.6 KiB
Python
"""CDS index print extraction from DTCC PPD slice records."""
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from collections.abc import Iterable
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from datetime import date as dateType
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def tenor_at_execution(maturity: dateType, executed: dateType) -> str | None:
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"""Snap the years from execution to maturity onto a standard CDS index tenor."""
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from openbb_cftc.utils.constants import (
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CDS_STANDARD_TENORS,
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CDS_TENOR_TOLERANCE_YEARS,
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DAYS_PER_YEAR,
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)
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years = (maturity - executed).days / DAYS_PER_YEAR
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if years <= 0:
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return None
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nearest = min(CDS_STANDARD_TENORS, key=lambda tenor: abs(years - tenor))
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if abs(years - nearest) <= CDS_TENOR_TOLERANCE_YEARS:
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return f"{nearest:g}Y"
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return f"{max(round(years), 1)}Y"
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def is_index_print(record: dict) -> bool:
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"""Return whether a credits record is a CDS index print."""
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from openbb_cftc.utils.constants import CDS_INDEX_FISNS
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return (record.get("UPI FISN") or "").strip() in CDS_INDEX_FISNS
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def curate_print(record: dict, dissemination_date: dateType) -> dict | None:
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"""Add a print's dissemination date and tenor, or None when it cannot be dated."""
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from openbb_cftc.utils.curve import parse_date
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maturity = parse_date(record.get("Expiration Date"))
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executed = parse_date(record.get("Execution Timestamp"))
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if maturity is None or executed is None:
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return None
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row = dict(record)
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row["dissemination_date"] = dissemination_date
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row["tenor"] = tenor_at_execution(maturity, executed)
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return row
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def extract_prints(
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records: Iterable[dict],
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dissemination_date: dateType,
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index: str | None = None,
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tenor: str | None = None,
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min_notional: float | None = None,
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limit: int | None = None,
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) -> list[dict]:
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"""Select the CDS index prints matching a query and curate each into a row."""
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from openbb_cftc.utils.curve import parse_notional
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rows: list[dict] = []
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for record in records:
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if not is_index_print(record):
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continue
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if (
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index
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and (record.get("UPI Underlier Name") or "").strip().upper()
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!= index.strip().upper()
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):
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continue
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row = curate_print(record, dissemination_date)
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if row is None:
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continue
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if tenor and (row["tenor"] or "").upper() != tenor.strip().upper():
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continue
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if min_notional is not None:
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notional, _ = parse_notional(record.get("Notional amount-Leg 1"))
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if notional is None or notional < min_notional:
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continue
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rows.append(row)
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if limit and len(rows) >= limit:
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break
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return rows
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