diff options
Diffstat (limited to 'python/analytics/__init__.py')
| -rw-r--r-- | python/analytics/__init__.py | 19 |
1 files changed, 8 insertions, 11 deletions
diff --git a/python/analytics/__init__.py b/python/analytics/__init__.py index cd6ed746..e5a378b1 100644 --- a/python/analytics/__init__.py +++ b/python/analytics/__init__.py @@ -19,12 +19,11 @@ from .singlename_cds import SingleNameCds from .tranche_basket import DualCorrTranche, TrancheBasket from .ir_swaption import IRSwaption -import pandas as pd import datetime @lru_cache(32) -def on_the_run(index, value_date=datetime.date.today()): +def on_the_run(index: str, value_date: datetime.date = datetime.date.today()) -> int: if index == "HY": interval = "+ INTERVAL '7 days'" else: @@ -38,16 +37,14 @@ def on_the_run(index, value_date=datetime.date.today()): return series -def init_ontr(value_date=datetime.date.today()): +def init_ontr(value_date: datetime.date = datetime.date.today()) -> None: global _ontr, _beta _ontr = CreditIndex("HY", on_the_run("HY", value_date), "5yr", value_date) _ontr.mark() - df_beta = pd.read_sql_query( - "select distinct on (asset_class) " - "asset_class, beta from beta " - "where date <= %s order by asset_class, date desc", - dawn_engine, - ["asset_class"], - params=(value_date,), + r = dawn_engine.execute( + "SELECT DISTINCT ON (asset_class) " + "asset_class, beta FROM beta " + "WHERE date <= %s ORDER BY asset_class, date desc", + (value_date,), ) - _beta = df_beta["beta"].to_dict() + _beta = {e.asset_class: e.beta for e in r} |