diff options
Diffstat (limited to 'python/cds_curve.py')
| -rw-r--r-- | python/cds_curve.py | 12 |
1 files changed, 5 insertions, 7 deletions
diff --git a/python/cds_curve.py b/python/cds_curve.py index 80903c91..69ae8623 100644 --- a/python/cds_curve.py +++ b/python/cds_curve.py @@ -31,7 +31,6 @@ def all_curves_pv(curves, today_date, jp_yc, start_date, step_in_date, value_dat def calibrate_portfolio(index_type, series, tenors=['3yr', '5yr', '7yr', '10yr'], start_date=None): index = MarkitBasketIndex(index_type, series, tenors) - r = [] if start_date: index.index_quotes = index.index_quotes[start_date:] for value_date, v in index.index_quotes.groupby('date')['id']: @@ -40,9 +39,8 @@ def calibrate_portfolio(index_type, series, tenors=['3yr', '5yr', '7yr', '10yr'] df = pd.concat([index.theta(), index.duration(), pd.Series(index.tweaks, index=tenors, name='tweak')], axis=1) - df.index = v.values - r.append(df) - return pd.concat(r) + for (_, t), id in v.items(): + yield (id, df.loc[t]) if __name__ == "__main__": @@ -68,12 +66,12 @@ if __name__ == "__main__": else: start_date = None - df = calibrate_portfolio(index, series, ['3yr', '5yr', '7yr', '10yr'], + g = calibrate_portfolio(index, series, ['3yr', '5yr', '7yr', '10yr'], start_date) with conn.cursor() as c: - for t in df.itertuples(): + for id, t in g: c.execute("INSERT INTO index_risk2 VALUES(%s, %s, %s, %s) ON CONFLICT (id) " "DO UPDATE SET theta=%s, duration=%s, tweak=%s", - t + t[1:]) + (id,) + tuple(t) + tuple(t)) conn.commit() conn.close() |