diff options
| -rw-r--r-- | R/new_index_series.R | 8 | ||||
| -rw-r--r-- | python/Dawn/static/dawn.js | 4 | ||||
| -rw-r--r-- | python/bespoke_utils.py | 11 | ||||
| -rw-r--r-- | python/thetas-durations.py | 4 | ||||
| -rwxr-xr-x | scripts/curve.sh | 2 |
5 files changed, 17 insertions, 12 deletions
diff --git a/R/new_index_series.R b/R/new_index_series.R index e88d0d41..b8d16529 100644 --- a/R/new_index_series.R +++ b/R/new_index_series.R @@ -136,11 +136,11 @@ markit.mappings <- function(df){ } if(interactive()) { - basket.id <- newbasketID('XO', 32, 1, as.Date("2024-12-20"), 100, "2I666VCV5") - df <- newcurves('XO', 32, basket.id) + basket.id <- newbasketID('XO', 33, 1, as.Date("2025-06-20"), 500, "2I667KHL5") + df <- newcurves('XO', 33, basket.id) mappings <- data.frame(company_id = df$company_id, seniority = df$seniority, - markit_ticker=c("FAUR", "TEOLVOI", "SCHAAG", "VOLVCAR"), - markit_tier=c("SNRFOR", "SNRFOR", "SNRFOR","SNRFOR"), coupon=500) + markit_ticker=c("AIRLIQ"), + markit_tier=c("SNRFOR"), coupon=100) markit.mappings(mappings) ## then update index_list in markit/import_quotes.py and rerun insert_cds } diff --git a/python/Dawn/static/dawn.js b/python/Dawn/static/dawn.js index a45411f4..e9fd586c 100644 --- a/python/Dawn/static/dawn.js +++ b/python/Dawn/static/dawn.js @@ -1,7 +1,7 @@ var index_list = []; var bbg_map = {'CDX': ["IG", "HY"], 'ITRX': ["EUR", "XOVER"]}; -var series_map = {'CDX': ["24", "25", "26", "27", "28", "29", "30", "31", "32", "33"], - 'ITRX': ["24", "25", "26", "27", "28", "29", "30", "31", "32"]}; +var series_map = {'CDX': ["24", "25", "26", "27", "28", "29", "30", "31", "32", "33", "34"], + 'ITRX': ["24", "25", "26", "27", "28", "29", "30", "31", "32", "33"]}; var index_tenor = ["3Y", "5Y", "7Y", "10Y"]; for(var begin_index in bbg_map){ for(var i=0; i<bbg_map[begin_index].length; i++){ diff --git a/python/bespoke_utils.py b/python/bespoke_utils.py index 8cf9d4b1..33d9255d 100644 --- a/python/bespoke_utils.py +++ b/python/bespoke_utils.py @@ -126,13 +126,13 @@ def get_bbg_ids( def get_basketid(conn: connection, name: str) -> Tuple[int, int]: with conn.cursor() as c: c.execute("SELECT max(series)+1 FROM index_version where index='BS'") - serie, = c.fetchone() + (serie,) = c.fetchone() c.execute( "INSERT INTO index_version(index, series, version, redindexcode) " "VALUES('BS', %s, 1, %s) RETURNING basketid", (serie, name), ) - basket_id, = c.fetchone() + (basket_id,) = c.fetchone() conn.commit() return serie, basket_id @@ -194,7 +194,12 @@ def new_index_series(conn, basketid, index_type, series): c.executemany( "INSERT INTO basket_constituents VALUES(%s, %s, %s, %s)", [ - (t.company_id, t.seniority, basketid, 1.0) + ( + t.company_id, + "SLA" if t.seniority == "LAC" else t.seniority, + basketid, + 1.0, + ) for t in df.itertuples(index=False) ], ) diff --git a/python/thetas-durations.py b/python/thetas-durations.py index feffc869..4d61a009 100644 --- a/python/thetas-durations.py +++ b/python/thetas-durations.py @@ -63,8 +63,8 @@ if __name__ == "__main__": recoveries = np.full(len(tenors[index]), 0.3) else: recoveries = np.full(len(tenors[index]), 0.4) - for series in range(18, 34): - if index in ["EU", "XO"] and series == 33: + for series in range(18, 35): + if index in ["EU", "XO"] and series == 34: continue if index == "HYBB" and series != 33: continue diff --git a/scripts/curve.sh b/scripts/curve.sh index 5aafef7f..f265361a 100755 --- a/scripts/curve.sh +++ b/scripts/curve.sh @@ -9,7 +9,7 @@ #done #popd > /dev/null indices=("EU" "IG" "HY" "XO" "HYBB") -series=(22 23 24 25 26 27 28 29 30 31 32 33) +series=(22 23 24 25 26 27 28 29 30 31 32 33 34) pushd "$CODE_DIR/python" > /dev/null for index in ${indices[@]}; do for s in ${series[@]}; do |