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| -rw-r--r-- | python/compute_price.py | 22 |
1 files changed, 22 insertions, 0 deletions
diff --git a/python/compute_price.py b/python/compute_price.py new file mode 100644 index 00000000..2d9f29e8 --- /dev/null +++ b/python/compute_price.py @@ -0,0 +1,22 @@ +from db import dbconn +from analytics import Index +serenitasdb = dbconn('serenitasdb') +to_insert = [] +with serenitasdb.cursor() as c: + c.execute("SELECT date, index, series, version, tenor, closespread FROM " + "index_quotes WHERE closespread IS NOT NULL and closeprice is NULL") + for r in c: + index = Index.from_name(r['index'], r['series'], r['tenor'], value_date=r['date'], + notional=100) + try: + index.spread = r['closespread'] + except ValueError: + continue + else: + to_insert.append( + (index.price, r['index'], r['series'], r['tenor'], r['version'], r['date'])) +with serenitasdb.cursor() as c: + c.executemany("UPDATE index_quotes SET closeprice=%s WHERE index=%s AND " + "series=%s AND tenor=%s AND version=%s AND date=%s", + to_insert) +serenitasdb.commit() |