diff options
| -rw-r--r-- | python/thetas-durations.py | 39 |
1 files changed, 39 insertions, 0 deletions
diff --git a/python/thetas-durations.py b/python/thetas-durations.py new file mode 100644 index 00000000..75f889ff --- /dev/null +++ b/python/thetas-durations.py @@ -0,0 +1,39 @@ +import pandas as pd +from analytics import Index +from db import dbengine + +serenitas_engine = dbengine('serenitasdb') +tenors = {"IG": ("3yr", "5yr", "7yr", "10yr"), + "HY": ("3yr", "5yr", "7yr"), + "EU": ("3yr", "5yr", "7yr", "10yr"), + "XO": ("3yr", "5yr", "7yr", "10yr")} + +sql_str = "INSERT INTO index_risk VALUES(%s, %s, %s)" + +conn = serenitas_engine.raw_connection() +for index in ["IG", "HY", "EU", "XO"]: + for series in range(18, 31): + if index in ["EU", "XO"] and series == 30: + continue + indices = {t: Index.from_name(index, series, t) for t in tenors[index]} + index_quotes = pd.read_sql_query( + "SELECT id, date, tenor, close_price FROM index_quotes_pre " + "LEFT JOIN index_risk USING (id) " + "WHERE index=%s AND series=%s " + "AND source='MKIT' AND duration is NULL AND tenor IN %s", + serenitas_engine, + params=(index, series, tenors[index]), + parse_dates=['date'], + index_col='id') + if index_quotes.empty: + continue + with conn.cursor() as c: + for k, v in index_quotes.groupby('date'): + for id, tenor, close_price in v[['tenor', 'close_price']].itertuples(): + indices[tenor].value_date = k + indices[tenor].price = close_price + duration = indices[tenor].risky_annuity + theta = - indices[tenor].theta / indices[tenor].notional + c.execute(sql_str, (id, theta, duration)) + conn.commit() +conn.close() |