diff options
Diffstat (limited to 'python/build_default_table.py')
| -rw-r--r-- | python/build_default_table.py | 36 |
1 files changed, 22 insertions, 14 deletions
diff --git a/python/build_default_table.py b/python/build_default_table.py index 5842d2ea..7a91ca83 100644 --- a/python/build_default_table.py +++ b/python/build_default_table.py @@ -1,18 +1,26 @@ import pandas as pd -from bbg_helpers import init_bbg_session, BBG_IP, retrieve_data +from bbg_helpers import init_bbg_session, retrieve_data from utils.db import serenitas_engine -indices = ["CDX HY CDSI S19 5Y", "ITRX XOVER CDSI S25 5Y", - "CDX HY CDSI S15 5Y", "ITRX XOVER CDSI S20 5Y", - "CDX HY CDSI S25 5Y", - "ITRX EUR CDSI S17 10Y"] -with init_bbg_session(BBG_IP) as session: - d = retrieve_data(session, [f"{i} Corp" for i in indices], "CDS_INDEX_DEFAULT_INFORMATION") -df = pd.concat([v["CDS_INDEX_DEFAULT_INFORMATION"] for v in d.values()], - ignore_index=True) -df['Company ID'] = df['Company ID'].astype('int') -df = df[~df.duplicated(['Company ID'])] +indices = [ + "CDX HY CDSI S19 5Y", + "ITRX XOVER CDSI S25 5Y", + "CDX HY CDSI S15 5Y", + "ITRX XOVER CDSI S20 5Y", + "CDX HY CDSI S25 5Y", + "ITRX EUR CDSI S17 10Y", +] +with init_bbg_session() as session: + d = retrieve_data( + session, [f"{i} Corp" for i in indices], "CDS_INDEX_DEFAULT_INFORMATION" + ) + +df = pd.concat( + [v["CDS_INDEX_DEFAULT_INFORMATION"] for v in d.values()], ignore_index=True +) +df["Company ID"] = df["Company ID"].astype("int") +df = df[~df.duplicated(["Company ID"])] breakpoint() -df = df[['Company ID', 'Auction Date', 'Event Date', 'CDS Recovery Rate']] -df.columns = ['id', 'auction_date', 'event_date', 'recovery'] -df.to_sql('defaulted', serenitas_engine, if_exists='append', index=False) +df = df[["Company ID", "Auction Date", "Event Date", "CDS Recovery Rate"]] +df.columns = ["id", "auction_date", "event_date", "recovery"] +df.to_sql("defaulted", serenitas_engine, if_exists="append", index=False) |