diff options
| -rw-r--r-- | docs/process.rst | 25 |
1 files changed, 16 insertions, 9 deletions
diff --git a/docs/process.rst b/docs/process.rst index 8a980fed..1e726d8b 100644 --- a/docs/process.rst +++ b/docs/process.rst @@ -4,13 +4,13 @@ Preamble In everything that follows the paths are relative from
our directory ``//WDSENTINEL/share/CorpCDOs``.
-Load data from intex
---------------------
+Load data from intex and populate the database
+----------------------------------------------
we need to fill up three tables:
-- cusip_universe table and the et_collateral
+- cusip_universe table
- et_collateral
-- clo_universe
+- cusip_universe
This is driven by the ``clo_universe.xslx`` file in the data directory.
It contains a clean deals tab. These deals need to be pasted as a
@@ -20,20 +20,27 @@ the column we need. First thing is to export the data as a text file from the portfolio
tab and save it as ``clo_universe_intex_%Y-%m-%d.txt`` in the data
directory. It can be loaded in the clo_universe table by using the
-python script: ``code/python/clo_universe.py``. It needs to be edited so
-that it loads the correct date.
+python script: ``code/python/clo_universe.py``. This script needs to
+be edited so that it loads the correct date.
-Next we go the Collat Detail tab in Collateral, make sure Asset detail
+Next, we go the Collat Detail tab in Collateral, make sure Asset detail
is selected, and export all bonds to a text file. It probably needs to
be cut in a few chunks. We extract the zip file generated by intex in
a folder inside ``./`` named ``Collaterals_%Y-%m%d``. It should be the same
date as for the ``clo_universe_intex_%Y-%m-%d.txt`` file.
-
+Next, we have to load all the cusip information into the
+``cusip_universe`` table. To get the list of cusips from the
+``clo_universe`` table, we can use the query: ``SELECT UNNEST("Deal
+Cusip List") FROM latest_clo_universe;``. The resulting list of cusips
+needs to be set up as a new portfolio in intex, and exported to text
+files. The script to load them in the database is called
+``cusip_universe.py``.
Steps to build the model
------------------------
- first we need to calibrate the implied factor distribution. This is done
- by using ``calibrate_tranches.R`` inside code
+ by using ``calibrate_tranches.R`` inside ``code/R``. The spreads
+ data is generated from the markit
-
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