def compute_underlying_security(portfolios, tracks, spots, portfolio, operation, inner_security, key_date, work_date=None):
portfolio_id = str(portfolio.id)
inner_container = SecurityContainer.objects.get(id=inner_security)
if not tracks.has_key(inner_security):
track = get_main_track_content(inner_container)
tracks[inner_security] = track
value = get_closest_value(tracks[inner_security], operation.value_date if work_date==None else work_date)
if value==None:
LOGGER.error("No NAV available for " + inner_container.name + " as of " + str(from_epoch(long(key_date))))
return None
divisor = get_price_divisor(inner_container)
portfolios[portfolio_id][key_date][inner_security]['price'] = value['value']
portfolios[portfolio_id][key_date][inner_security]['price_divisor'] = divisor
spot_pf = 1.0
if inner_container.currency.short_name!=portfolio.currency.short_name and (not spots.has_key(inner_container.currency.short_name) or not spots[inner_container.currency.short_name].has_key(portfolio.currency.short_name)):
spot_track = get_exchange_rate(inner_container.currency.short_name, portfolio.currency.short_name)
if not spots.has_key(inner_container.currency.short_name):
spots[inner_container.currency.short_name] = {}
spots[inner_container.currency.short_name][portfolio.currency.short_name] = spot_track
if inner_container.currency.short_name!=portfolio.currency.short_name and spots.has_key(inner_container.currency.short_name) and spots[inner_container.currency.short_name].has_key(portfolio.currency.short_name):
value = get_closest_value(spots[inner_container.currency.short_name][portfolio.currency.short_name], operation.value_date if work_date==None else work_date)
if value!=None:
spot_pf = value['value']
else:
LOGGER.error("No SPOT available for " + inner_container.currency.short_name + '/' + portfolio.currency.short_name + " as of " + str(from_epoch(long(key_date))))
return None
portfolios[portfolio_id][key_date][inner_security]['price_pf'] = portfolios[portfolio_id][key_date][inner_security]['price'] * spot_pf
portfolios[portfolio_id][key_date][inner_security]['price_pf_divisor'] = portfolios[portfolio_id][key_date][inner_security]['price'] * spot_pf / divisor
portfolios[portfolio_id][key_date][inner_security]['spot_pf'] = spot_pf
portfolios[portfolio_id][key_date][inner_security]['price_date'] = value['date'].strftime('%Y-%m-%d')
def universe_details(request):
if request.POST.has_key('universe_id'):
universe_id = request.POST['universe_id']
else:
universe_id = request.GET['universe_id']
# TODO: Check user
user = User.objects.get(id=request.user.id)
try:
source = Universe.objects.get(Q(id=universe_id),Q(public=True)|Q(owner__id=request.user.id))
except:
# TODO: Return error message
return redirect('universes.html')
context = {'universe': source, 'tracks': {}}
for member in source.members.all():
if member.type.identifier not in ['CONT_COMPANY', 'CONT_BACKTEST', 'CONT_PORTFOLIO', 'CONT_COMPANY', 'CONT_OPERATION', 'CONT_PERSON', 'CONT_UNIVERSE']:
effective_class_name = Attributes.objects.get(identifier=member.type.identifier + '_CLASS', active=True).name
effective_class = classes.my_class_import(effective_class_name)
member = effective_class.objects.get(id=member.id)
content = get_main_track_content(member, True, True)
if content!=None:
context['tracks']['track_' + str(member.id)] = content
else:
context['tracks']['track_' + str(member.id)] = []
return render(request, 'universe_details.html', context)
def get_exchange_rate_price(source_currency, destination_currency, value_date):
currency = SecurityContainer.objects.filter(name__startswith=source_currency + destination_currency)
if not currency.exists():
threaded.bloomberg_data_query('NO_NEED', [source_currency + destination_currency + ' Curncy'], True)
currency = SecurityContainer.objects.filter(name__startswith=source_currency + destination_currency)
if currency.exists():
value = get_closest_value(get_main_track_content(currency[0]), dt.combine(value_date, dt.min.time()))
if value==None:
return 1.0
else:
return value['value']
def create_security_movement(container, source, target, details, label):
current_account_type = Attributes.objects.get(identifier='ACC_CURRENT', active=True)
security_account_type = Attributes.objects.get(identifier='ACC_SECURITY', active=True)
operation = FinancialOperation()
operation.name = label if label!=None else generate_security_movement_label(target, details)
operation.short_name = generate_security_movement_short_label(target, details)
operation.status = Attributes.objects.get(identifier='OPE_STATUS_EXECUTED', active=True) if not details.has_key('status') else details['status']
operation.operation_type = generate_security_movement_operation_type(details)
operation.creation_date = details['operation_date']
operation.operator = None
operation.validator = None
operation.source = get_account(container, details, current_account_type) if details['impact_pnl'] else None
operation.target = target['security']
if operation.target.status.identifer!='STATUS_ACTIVE':
# Status cannot be executed on a pending security
operation.status = Attributes.objects.get(identifier='OPE_STATUS_PENDING', active=True) if not details.has_key('status') else details['status']
operation.spot = details['spot_rate']
operation.repository = get_account(container, details, security_account_type)
operation.quantity = target['quantity']
used_price = target['price']
if not details['impact_pnl'] and (used_price==None or used_price==0.0):
track = get_main_track_content(target['security'])
value = get_closest_value(track, dt.strptime(details['trade_date'], '%Y-%m-%d'))
if value==None:
LOGGER.warn(target['security'].name + " - Transaction does not have a correct price but no valid price could be found.")
used_price = 0.0
else:
LOGGER.warn(target['security'].name + " - Transaction does not have a correct price but a valid price could be found.")
used_price = value['value']
divisor = get_price_divisor(target['security'])
operation.amount = (target['quantity'] * used_price * details['spot_rate']) / divisor
operation.price = target['price']
operation.operation_date = details['trade_date']
operation.operation_pnl = 0.0
operation.value_date = details['value_date']
operation.termination_date = details['value_date']
operation.associated_operation = None
operation.save()
if details['impact_pnl']:
create_expenses(operation, operation.source, details['source_expenses'])
create_expenses(operation, operation.source, details['target_expenses'])
if details.has_key('accrued_interest'):
if details['accrued_interest'].has_key('source') and details['accrued_interest']['source']!=None and details['accrued_interest']['source']!=0.0:
create_accrued(operation, operation.source, details['accrued_interest']['source'])
if details['accrued_interest'].has_key('target') and details['accrued_interest']['target']!=None and details['accrued_interest']['target']!=0.0:
create_accrued(operation, operation.source, details['accrued_interest']['target'])
return operation
def get_security_price(isin_code,bloomberg_code, value_date):
securities = []
if isin_code!=None and isin_code!='':
securities = SecurityContainer.objects.filter(aliases__alias_type__name='ISIN', aliases__alias_value=isin_code)
elif bloomberg_code!=None and bloomberg_code!='':
securities = SecurityContainer.objects.filter(aliases__alias_type__name='BLOOMBERG', aliases__alias_value=bloomberg_code)
if len(securities)==0 and ((bloomberg_code!=None and bloomberg_code!='') or (isin_code!=None and isin_code!='')):
threaded.bloomberg_data_query('NO_NEED', [isin_code if bloomberg_code==None or bloomberg_code=='' else bloomberg_code], True)
if isin_code!=None and isin_code!='':
securities = SecurityContainer.objects.filter(aliases__alias_type__name='ISIN', aliases__alias_value=isin_code)
elif bloomberg_code!=None and bloomberg_code!='':
securities = SecurityContainer.objects.filter(aliases__alias_type__name='BLOOMBERG', aliases__alias_value=bloomberg_code)
if len(securities)==0:
LOGGER.warn("Security cannot be found:" + str(isin_code) + "/" + str(bloomberg_code))
return 1.0
else:
value = get_closest_value(get_main_track_content(securities[0]), dt.combine(value_date, dt.min.time()))
if value==None:
return 1.0
else:
return value['value']
