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Diffstat (limited to 'python/backfill_index.py')
| -rw-r--r-- | python/backfill_index.py | 22 |
1 files changed, 22 insertions, 0 deletions
diff --git a/python/backfill_index.py b/python/backfill_index.py new file mode 100644 index 00000000..99f61ae4 --- /dev/null +++ b/python/backfill_index.py @@ -0,0 +1,22 @@ +from sqlalchemy import MetaData, create_engine, Table +engine = create_engine('postgresql://serenitas_user:Serenitas1@debian/serenitasdb') +import pandas as pd + +metadata = MetaData(bind = engine) +index_quotes = Table('index_quotes', metadata, autoload=True) +series = [9, 11, 13, 15, 17, 19, 21] +tenor = ['3yr', '5yr', '7yr', '10yr'] + +for s in series: + for t in tenor: + index = "ig{0}".format(s) + stmt = index_quotes.delete().where((index_quotes.c.index=='IG') & + (index_quotes.c.series==s) & + (index_quotes.c.tenor==t)) + engine.execute(stmt) + df = pd.read_excel('/home/share/CorpCDOs/index historical.xlsx', "{0} {1}".format(index, t)) + df.rename(columns={k: k.lower() for k in df.columns.tolist()}, inplace=True) + df['index']='IG' + df['series']=s + df['tenor']=t + df.to_sql('index_quotes', engine, if_exists='append', index=False) |