diff options
Diffstat (limited to 'python/calibrate_swaption.py')
| -rw-r--r-- | python/calibrate_swaption.py | 16 |
1 files changed, 12 insertions, 4 deletions
diff --git a/python/calibrate_swaption.py b/python/calibrate_swaption.py index 0bcfb8f8..51e99a5a 100644 --- a/python/calibrate_swaption.py +++ b/python/calibrate_swaption.py @@ -3,9 +3,12 @@ import argparse from analytics import Index, Swaption import datetime from db import dbengine +from contextlib import contextmanager +from itertools import starmap from functools import partial from multiprocessing import Pool from itertools import repeat + serenitas_engine = dbengine('serenitasdb') def get_data(index, series, date = datetime.date.min): @@ -61,6 +64,10 @@ def calib(option, ref, strike, pay_bid, pay_offer, rec_bid, rec_offer): r.append(option.sigma) return [strike] + r +@contextmanager +def MaybePool(nproc): + yield Pool(nproc) if nproc > 1 else None + 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))) @@ -69,16 +76,17 @@ def calibrate(index_type=None, series=None, date=None, nproc=4, latest=False): else: data = get_data(index_type, series, date) - with Pool(nproc) as pool: + with MaybePool(nproc) as pool: + pstarmap = pool.starmap if pool else starmap for k, v in data.groupby([data['quotedate'].dt.date, 'index', 'series']): trade_date, index_type, series = k index = Index.from_name(index_type, series, "5yr", trade_date) for expiry, df in v.groupby(['expiry']): option = Swaption(index, expiry.date(), 100) mycalib = partial(calib, option) - r = pool.starmap(mycalib, df[['ref', 'strike', 'pay_bid', - 'pay_offer', 'rec_bid', 'rec_offer']]. - itertuples(index=False, name=None)) + 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)] serenitas_engine.execute(sql_str, to_insert) |