diff options
Diffstat (limited to 'python/analytics/index_data.py')
| -rw-r--r-- | python/analytics/index_data.py | 13 |
1 files changed, 10 insertions, 3 deletions
diff --git a/python/analytics/index_data.py b/python/analytics/index_data.py index 13e6c7b6..61d283e7 100644 --- a/python/analytics/index_data.py +++ b/python/analytics/index_data.py @@ -268,9 +268,16 @@ def get_singlenames_curves_prebuilt(conn, index_type, series, trade_date): def load_all_curves(conn, trade_date): with conn.cursor() as c: - c.execute("SELECT curve FROM cds_curves WHERE date=%s", (trade_date,)) - r = [SpreadCurve.from_bytes(b, True) for (b,) in c] - return pd.Series(r, index=[c.full_ticker for c in r]) + c.execute( + "SELECT curve, referenceentity FROM cds_curves " + "LEFT JOIN refentity ON redcode=redentitycode WHERE date=%s", + (trade_date,), + ) + r = [(name, SpreadCurve.from_bytes(b, True)) for (b, name) in c] + r = pd.DataFrame.from_records( + r, columns=["name", "curve"], index=[c.full_ticker for _, c in r] + ) + return r.loc[r.index.drop_duplicates()] def get_tranche_quotes( |
