diff options
| -rw-r--r-- | python/markit_tranche_quotes_csv.py | 2 | ||||
| -rw-r--r-- | sql/serenitasdb.sql | 27 |
2 files changed, 28 insertions, 1 deletions
diff --git a/python/markit_tranche_quotes_csv.py b/python/markit_tranche_quotes_csv.py index 6393edc1..b73d2cdd 100644 --- a/python/markit_tranche_quotes_csv.py +++ b/python/markit_tranche_quotes_csv.py @@ -10,7 +10,7 @@ index_mapping = {'ITRAXX-Europe': 'EU', 'CDX-NAIG': 'IG', 'CDX-NAHY': 'HY'} -sql_str = f"""INSERT INTO tranche_quotes_test(quotedate, index, series, version, tenor, attach, detach, +sql_str = f"""INSERT INTO tranche_quotes_csv(quotedate, index, series, version, tenor, attach, detach, trancheupfrontbid, trancheupfrontmid, trancheupfrontask, trancherunningbid, trancherunningmid, trancherunningask, indexrefprice, indexrefspread, tranchedelta, quotesource, markit_id) diff --git a/sql/serenitasdb.sql b/sql/serenitasdb.sql index 7afa1e54..25ce6006 100644 --- a/sql/serenitasdb.sql +++ b/sql/serenitasdb.sql @@ -140,6 +140,33 @@ CREATE TABLE tranche_quotes ( UNIQUE (QuoteDate, Index, Series, Version, Tenor, Attach, Detach, QuoteSource, trancherunningmid, markit_id)
);
+CREATE TABLE tranche_quotes_csv(
+ id serial PRIMARY KEY,
+ QuoteDate timestamptz,
+ Index index_type,
+ Series smallint,
+ Version smallint,
+ Tenor tenor,
+ Attach smallint,
+ Detach smallint,
+ TrancheUpfrontBid float,
+ TrancheUpfrontMid float,
+ TrancheUpfrontAsk float,
+ TrancheRunningBid float,
+ TrancheRunningMid float,
+ TrancheRunningAsk float,
+ IndexRefPrice real,
+ IndexRefSpread smallint,
+ IndexDuration real,
+ TrancheDuration real,
+ TrancheDelta real,
+ CorrAtDetachment real,
+ Basis real,
+ QuoteSource varchar(4),
+ markit_id integer UNIQUE,
+ UNIQUE (QuoteDate, Index, Series, Version, Tenor, Attach, Detach, QuoteSource, trancherunningmid, markit_id)
+);
+
CREATE INDEX tranche_quotes_idx ON
tranche_quotes(index, series, DATE(quotedate AT TIME ZONE 'localtime'), tenor, attach ASC)
|