diff options
| -rw-r--r-- | python/markit/import_quotes.py | 11 |
1 files changed, 6 insertions, 5 deletions
diff --git a/python/markit/import_quotes.py b/python/markit/import_quotes.py index 7b3517f5..cd4152b3 100644 --- a/python/markit/import_quotes.py +++ b/python/markit/import_quotes.py @@ -88,20 +88,21 @@ def insert_cds(database, workdate): "runningbid, runningask, source, recovery) VALUES(%s, %s, %s, %s, %s, %s, %s, %s) " \ "ON CONFLICT DO NOTHING" - tickers_found = set([]) + tickers_found = set() with open(os.path.join(os.environ['BASE_DIR'], "Tranche_data", "CDS", filename)) as fh: csvreader = csv.DictReader(fh) with database.cursor() as c: for line in csvreader: + spread = float(line['RunningCoupon']) k = (line['Ticker'], line['Tier'], line['Ccy'], - line['DocClause'], float(line['RunningCoupon'])) + line['DocClause'], spread) if k in markit_bbg_mapping: for curves in markit_bbg_mapping[k]: c.executemany(sqlstr, - [(workdate, t, convert(line[colnames[i]]), convert(line[colnames[i]]), - float(line['RunningCoupon'])*10000, float(line['RunningCoupon'])*10000, + [(workdate, t, convert(line[col]), convert(line[col]), + spread * 10000, spread * 10000, 'MKIT', convert(line['RealRecovery'])/100) - for i, t in enumerate(curves)]) + for col, t in zip(colnames, curves)]) tickers_found.add((line['Ticker'], line['Tier'])) database.commit() logger.warning('missing_quotes for {0}'.format(all_tickers-tickers_found)) |