diff options
Diffstat (limited to 'python/bespoke_utils.py')
| -rw-r--r-- | python/bespoke_utils.py | 51 |
1 files changed, 1 insertions, 50 deletions
diff --git a/python/bespoke_utils.py b/python/bespoke_utils.py index 33d9255d..3f005ba1 100644 --- a/python/bespoke_utils.py +++ b/python/bespoke_utils.py @@ -1,5 +1,6 @@ from bbg_helpers import BBG_IP, init_bbg_session, retrieve_data from psycopg2.extensions import connection + from typing import List, Dict, Tuple import datetime import pandas as pd @@ -156,56 +157,6 @@ def add_basket_constituents( conn.commit() -def bbg_name(index_type: str, series: int, tenor="5yr"): - if index_type == "EU": - index_type = "EUR" - index_name = "ITRX" - elif index_type == "XO": - index_type = "XOVER" - index_name = "ITRX" - elif index_type == "HYBB": - index_name = "" - else: - index_name = "CDX" - return f"{index_name} {index_type} CDSI S{series} {tenor[:2].upper()} Corp".lstrip() - - -def get_index_members(index_type: str, series: int): - name = bbg_name(index_type, series) - with init_bbg_session(BBG_IP) as session: - df = retrieve_data(session, [name], ["INDX_MEMBERS"]) - df = df[name]["INDX_MEMBERS"] - tickers = df["column 4"] - company_ids = retrieve_data( - session, [t + " Corp" for t in tickers], ["cds_company_id"] - ) - company_ids = pd.DataFrame.from_dict(company_ids, orient="index") - company_ids = company_ids.reset_index() - company_ids["index"] = company_ids["index"].str.replace(" Corp", "") - company_ids = company_ids.set_index("index") - df = df.set_index("column 4").join(company_ids)[["cds_company_id", "column 3"]] - df.columns = ["company_id", "seniority"] - return df - - -def new_index_series(conn, basketid, index_type, series): - df = get_index_members(index_type, series) - with conn.cursor() as c: - c.executemany( - "INSERT INTO basket_constituents VALUES(%s, %s, %s, %s)", - [ - ( - t.company_id, - "SLA" if t.seniority == "LAC" else t.seniority, - basketid, - 1.0, - ) - for t in df.itertuples(index=False) - ], - ) - conn.commit() - - if __name__ == "__main__": df = pd.read_clipboard(header=None) from utils.db import serenitas_pool |