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| -rw-r--r-- | python/mark_swaptions.py | 17 |
1 files changed, 17 insertions, 0 deletions
diff --git a/python/mark_swaptions.py b/python/mark_swaptions.py new file mode 100644 index 00000000..a7bb2b72 --- /dev/null +++ b/python/mark_swaptions.py @@ -0,0 +1,17 @@ +import datetime +import pandas as pd +from analytics import Index, Swaption +from db import dbengine + + +def get_trades(date, engine): + return pd.read_sql_query( + "SELECT dealid, buysell, swaption_type, notional, strike, " \ + "expiration_date, index, series FROM swaptions " \ + "JOIN index_version ON (swaptions.security_id = index_version.redindexcode) " \ + "WHERE termination_date is NULL and expiration_date > %s", + engine, 'dealid', params=(date,), parse_dates=['expiration_date']) + +if __name__ == "__main__": + engine = dbengine('dawndb') + df = get_trades(datetime.date.today(), engine) |