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Diffstat (limited to 'python/build_default_table.py')
| -rw-r--r-- | python/build_default_table.py | 19 |
1 files changed, 19 insertions, 0 deletions
diff --git a/python/build_default_table.py b/python/build_default_table.py new file mode 100644 index 00000000..7a4318b2 --- /dev/null +++ b/python/build_default_table.py @@ -0,0 +1,19 @@ +import pandas as pd +from bbg_helpers import init_bbg_session, BBG_IP, retrieve_data +from db import dbengine +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'])] +breakpoint() +df = df[['Company ID', 'Auction Date', 'Event Date', 'CDS Recovery Rate']] +df.columns = ['id', 'auction_date', 'event_date', 'recovery'] +serenitas_engine = dbengine('serenitasdb') +df.to_sql('defaulted', serenitas_engine, if_exists='append', index=False) |