diff options
| -rw-r--r-- | python/position.py | 30 |
1 files changed, 16 insertions, 14 deletions
diff --git a/python/position.py b/python/position.py index 5d95a488..7c9de7fe 100644 --- a/python/position.py +++ b/python/position.py @@ -57,20 +57,22 @@ def backpopulate_marks(begin_str='2015-01-15', end_str='2015-07-15'): def update_securities(engine, session, workdate): field = {'Corp': 'PREV_CPN_DT', 'Mtge': 'START_ACC_DT'} - all_securities = get_list(engine) + securities = get_list(engine) + securities = securities[securities.paid_down.isnull()] conn = engine.raw_connection() - for bbg_type in ['Corp', 'Mtge']: - securities = all_securities[all_securities.index.str.endswith(bbg_type)] - data = retrieve_data(session, securities.index.tolist(), [field[bbg_type], 'CUR_CPN']) - data = pd.DataFrame.from_dict(data, orient='index') - m = securities.merge(data, left_index=True, right_index=True) - with conn.cursor() as c: - for r in m.to_dict('records'): - if r[field[bbg_type]]<workdate: - c.execute("UPDATE securities SET start_accrued_date=%({0})s " - ",coupon=%(CUR_CPN)s WHERE identifier=%(identifier)s".format(field[bbg_type]), - r) - conn.commit() + data = retrieve_data(session, securities.index.tolist(), + ['PREV_CPN_DT', 'START_ACC_DT', 'CUR_CPN', 'CPN_ASOF_DT']) + data = pd.DataFrame.from_dict(data, orient='index') + data = data[data.CPN_ASOF_DT.isnull() |(data.CPN_ASOF_DT<=workdate)] + data = pd.DataFrame.from_dict(data, orient='index') + m = securities.merge(data, left_index=True, right_index=True) + with conn.cursor() as c: + for r in m.to_dict('records'): + if r[field[bbg_type]]<workdate: + c.execute("UPDATE securities SET start_accrued_date=%({0})s " + ",coupon=%(CUR_CPN)s WHERE identifier=%(identifier)s".format(field[r[bbg_type]]), + r) + conn.commit() def init_fx(session, engine, startdate): currencies = ['EURUSD', 'CADUSD'] @@ -144,7 +146,7 @@ def populate_cashflow_history(engine, session, workdate=None): if __name__=="__main__": engine = create_engine('postgresql://dawn_user@debian/dawndb') if len(sys.argv)>1: - workdate = pd.Timestamp(sys.argv[1]).date() + workdate = pd.Timestamp(sys.argv[1]) workdate = pd.datetime.today() with init_bbg_session(BBG_IP) as session: update_securities(engine, session, workdate) |