diff options
Diffstat (limited to 'python/calibrate_swaption.py')
| -rw-r--r-- | python/calibrate_swaption.py | 18 |
1 files changed, 9 insertions, 9 deletions
diff --git a/python/calibrate_swaption.py b/python/calibrate_swaption.py index d10236f7..63a44213 100644 --- a/python/calibrate_swaption.py +++ b/python/calibrate_swaption.py @@ -12,7 +12,7 @@ serenitas_engine = dbengine('serenitasdb') def get_data(index, series, date=datetime.date.min): df = pd.read_sql_query("SELECT * from swaption_ref_quotes JOIN swaption_quotes " \ - "USING (quotedate, index, series, expiry) WHERE index=%s and series=%s " \ + "USING (ref_id) WHERE index=%s and series=%s " \ "and quotedate >=%s ORDER BY quotedate", serenitas_engine, params=(index, series, date), parse_dates=['quotedate', 'expiry']) @@ -22,11 +22,11 @@ def get_data(index, series, date=datetime.date.min): return df def get_data_latest(): - df = pd.read_sql_query("SELECT swaption_quotes.*, ref FROM swaption_quotes " \ - "JOIN swaption_ref_quotes USING (quotedate, index, series, expiry) " \ - "LEFT JOIN swaption_calib " \ - "USING (quotedate, index, series, expiry, strike) " \ - "WHERE swaption_calib.quotedate is NULL", + df = pd.read_sql_query("SELECT quotedate, index, series, expiry, ref, quote_source, " + "swaption_quotes.* FROM swaption_ref_quotes " \ + "JOIN swaption_quotes USING (ref_id) " \ + "LEFT JOIN swaption_calib USING (quote_id) " \ + "WHERE swaption_calib.quote_id is NULL", serenitas_engine, parse_dates=['quotedate', 'expiry']) df.loc[(df.quote_source == "GS") & (df['index'] == "HY"), @@ -53,7 +53,7 @@ def calib(option, ref, strike, pay_bid, pay_offer, rec_bid, rec_offer): print(e) else: r.append(option.sigma) - return [strike] + r + return r @contextmanager def MaybePool(nproc): @@ -61,7 +61,7 @@ def MaybePool(nproc): def calibrate(index_type=None, series=None, date=None, nproc=4, latest=False): sql_str = ("INSERT INTO swaption_calib VALUES({}) ON CONFLICT DO NOTHING". - format(",".join(["%s"] * 9))) + format(",".join(["%s"] * 5))) if latest: data = get_data_latest() else: @@ -78,7 +78,7 @@ def calibrate(index_type=None, series=None, date=None, nproc=4, latest=False): r = pstarmap(mycalib, df[['ref', 'strike', 'pay_bid', 'pay_offer', 'rec_bid', 'rec_offer']]. itertuples(index=False, name=None)) - to_insert = [[a, index_type, series, expiry] + b for a, b in zip(df.quotedate.tolist(), r)] + to_insert = [[a] + b for a, b in zip(df.quote_id, r)] serenitas_engine.execute(sql_str, to_insert) if __name__ == "__main__": |