diff options
| -rw-r--r-- | python/bbg_index_quotes.py | 11 |
1 files changed, 10 insertions, 1 deletions
diff --git a/python/bbg_index_quotes.py b/python/bbg_index_quotes.py index 52db019a..6b9a3c0b 100644 --- a/python/bbg_index_quotes.py +++ b/python/bbg_index_quotes.py @@ -3,11 +3,16 @@ import datetime from db import dbconn securities = {} -for series in range(9, 30): +for series in range(9, 31): for index_type in ["IG", "HY"]: for t in [3, 5, 7, 10]: securities[f"CDX {index_type} CDSI S{series} {t}Y Corp"] = \ (series, index_type, f"{t}yr") +for series in range(10, 30): + for index_type in ["EUR", "XOVER"]: + for t in [3, 5, 7, 10]: + securities[f"ITRX {index_type} CDSI S{series} {t}Y Corp"] = \ + (series, index_type, f"{t}yr") sql_str = (f"INSERT INTO bbg_index_quotes VALUES({','.join(['%s'] * 8)}) " "ON CONFLICT DO NOTHING") @@ -25,6 +30,10 @@ with init_bbg_session(BBG_IP) as session: for k, v in d2.items(): ticker = k.split()[0] series, index, tenor, version = ticker_mapping[ticker] + if index == "EUR": + index = "EU" + if index == "XOVER": + index = "XO" if not v.empty: c.executemany(sql_str, [(t[0], ticker, index, series, tenor, version, t[1], pcs) |