diff options
Diffstat (limited to 'python/adj_index_price.py')
| -rw-r--r-- | python/adj_index_price.py | 13 |
1 files changed, 7 insertions, 6 deletions
diff --git a/python/adj_index_price.py b/python/adj_index_price.py index 2b8c6103..3dfe57d7 100644 --- a/python/adj_index_price.py +++ b/python/adj_index_price.py @@ -1,11 +1,11 @@ from sqlalchemy import create_engine, MetaData, Table, bindparam import pandas as pd -import pdb -#index='HY' +index='HY' #series=[10, 11, 13, 15, 17, 19, 21, 23] -index='IG' -series= [9, 11, 13, 15, 17, 19, 21, 23] +series = [9] +# index='IG' +# series= [9, 11, 13, 15, 17, 19, 21, 23] engine = create_engine('postgresql://serenitas_user:Serenitas1@debian/serenitasdb') metadata = MetaData(bind=engine) index_quotes= Table('index_quotes', metadata, autoload=True) @@ -13,9 +13,10 @@ index_quotes= Table('index_quotes', metadata, autoload=True) for s in series: factors = pd.read_sql_query("select lastdate, indexfactor, cumulativeloss from index_version " \ "where index=%s and series=%s", engine, params = (index, s), - parse_dates = ['lastdate']) + parse_dates = ['lastdate'], index_col='lastdate') + factors.sort_index(inplace=True) factors['recovery'] = 1+factors.cumulativeloss.diff(-1) - for t in ['3yr', '5yr', '7yr', '10yr']: + for t in ['3yr', '5yr', '7yr']: df = pd.read_sql_query("select date as b_date, version, closeprice, modelprice from index_quotes " \ "where index=%s and series=%s and tenor=%s", engine, params = (index, s, t), parse_dates =['b_date']) |