diff options
| -rw-r--r-- | python/analytics/index.py | 19 |
1 files changed, 10 insertions, 9 deletions
diff --git a/python/analytics/index.py b/python/analytics/index.py index acf17e79..4c921c38 100644 --- a/python/analytics/index.py +++ b/python/analytics/index.py @@ -9,14 +9,14 @@ from quantlib.settings import Settings from quantlib.time.api import Date, Actual365Fixed from termcolor import colored from pandas.tseries.offsets import BDay -from db import dbconn -from psycopg2 import DataError +from db import dbengine +from sqlalchemy import exc from pyisda.curve import SpreadCurve from .utils import previous_twentieth from scipy.optimize import brentq from yieldcurve import YC, ql_to_jp, roll_yc, rate_helpers -serenitasdb = dbconn('serenitasdb') +engine = dbengine('serenitasdb') def g(index, spread, exercise_date, forward_yc = None): """computes the strike clean price using the expected forward yield curve """ @@ -232,13 +232,14 @@ class Index(object): def from_name(cls, index, series, tenor, trade_date = datetime.date.today(), notional = 10e6): try: - with serenitasdb.cursor() as c: - c.execute("SELECT maturity, coupon FROM index_maturity " \ - "WHERE index=%s AND series=%s AND tenor = %s", - (index.upper(), series, tenor)) - maturity, coupon = next(c) - except DataError as e: + r = engine.execute("SELECT maturity, coupon FROM index_maturity " \ + "WHERE index=%s AND series=%s AND tenor = %s", + (index.upper(), series, tenor)) + maturity, coupon = r.fetchone() + except exc.DataError as e: raise + except TypeError: + raise ValueError("Index not found") else: recovery = 0.4 if index.lower() == "ig" else 0.3 instance = cls(trade_date, maturity, recovery, coupon) |